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davidn
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Advice to start as a quant in late 30s

September 14th, 2009, 9:24 pm

QuoteOriginally posted by: twofishQuoteOriginally posted by: davidnhow so? point is, I'd take a position in the markets for less than half of what I made last yearMay I ask why? If you have to take a substantial pay cut to enter the market, that's the markets way of telling you not to enter the market.I thought that meant it's a good time to enter?I'm beginning to think I read too much Taleb, it boils down to Mediocristan -vs- Extremistan. A starting base in Mediocristan but 20 years from now I'm sure I'll be ahead with a thoughtful and continuous exposure to positive black swans. Even if not, I love the international view you can only get by studying commodities, rates, and currencies. I've worked altogether around a year in Asia and year in Europe. I find the rate and magnitude of change in the world unprecedented and accelerating (and a bit scary to an engineer that has trained folks to do what I do that make 5% of what I did at the time). The markets are intellectually rewarding due to the front row seat it affords; technically satisfying in the endless streams of data available for their study; socially attractive from my limited view from the diversity of people and ideas it exposes you to; and if you're right in a big way, I'm betting can be incredibly rewarding financially.
 
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KackToodles
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Advice to start as a quant in late 30s

September 15th, 2009, 5:50 am

QuoteOriginally posted by: davidnEven if not, I love the international view you can only get by studying commodities, rates, and currencies. I've worked altogether around a year in Asia and year in Europe. I find the rate and magnitude of change in the world unprecedented and accelerating (and a bit scary to an engineer that has trained folks to do what I do that make 5% of what I did at the time). The markets are intellectually rewarding due to the front row seat it affords. hee hee. Sorry to pop your dream bubble, but unless you have a phd in economics from stanford or harvard, your chances of getting a job "studying" international markets is tiny. Most likely, you'll be like 90% of the quants who spend their days coding up production code to price some kind of highly specialized exotic swap or derivative. You won't have much time to dwell on the greater international issues of commodities or central banks. You dream of being a heart transplant surgeon but chances are you'll wind up being a radiologist who won't ever see the operatng room much less the heart.
Last edited by KackToodles on September 14th, 2009, 10:00 pm, edited 1 time in total.
 
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twofish
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Advice to start as a quant in late 30s

September 15th, 2009, 12:58 pm

QuoteOriginally posted by: davidnI thought that meant it's a good time to enter?If you have to take a 50% pay cut then it's not a good time to enter. I think that's likely to improve in about six months or so. If it does then you'll be able to move in with a decent salary. If it isn't, oh well.Quote A starting base in Mediocristan but 20 years from now I'm sure I'll be ahead with a thoughtful and continuous exposure to positive black swans.I don't think so. One thing that you have to realize is that the business you are entering into is all about finding the proper price of things. If you think that getting in right now is worth a 50% cut in salary, then the amount of growth that you need to make up for that initial loss is huge and I think much too overly optimistic (unless you totally hate your current job). If you are coming from outside of NYC, you'll need a 20% increase in total comp to break even.Also, you need to google for the people that have written counterarguments to Taleb. Personally, I think that the big mistake that Taleb makes is that he argues that certain things are black swans when in fact they are white swans. Bubbles and crashes are not things that just appear out of nowhere. We've had a major bubble and crash every few years since the start of the industrial revolution.QuoteEven if not, I love the international view you can only get by studying commodities, rates, and currencies.A bank is certainly not the only place, and may not be the best plan to study these things. You can get a good overview of currencies, commodities, and currencies by working in the oil industry, as an importer, doing private equity, working as a buyer for Walmart, or trying to sell (or buy) computers from/to China.QuoteThe markets are intellectually rewarding due to the front row seat it affords; technically satisfying in the endless streams of data available for their study;Maybe, but a 50% cut in salary seems awfully high. One other thing that you have to realize is that if you make it into finance, you'll get more pay and less transition difficulty if you end up doing what you are more or less doing now.Quoteif you're right in a big way, I'm betting can be incredibly rewarding financially.What if you are wrong? There are two things that people in quantitative finance do. Price and risk manage, and you need to be pretty hard nosed in both. Unless there is some specific circumstance (i.e. you are desperate to get out of your current job), then I don't see how one can justify jumping with a 50% salary cut. You should be able to wait a few months for the market to stabilize and then jump with a salary increase, and if the markets don't stabilize, then there are probably better ways of getting what you want.
 
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davidn
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Advice to start as a quant in late 30s

September 15th, 2009, 1:24 pm

kick 'em while they're up, kick 'em while they're down.i've all but said I'm throwing in the towel that the naysayers here were right... was simply answering the questions here not looking for more reality. i enjoy reading the comments and your points of view.'a boy a ball of dreams' give me that at least.if 40% market crashes aren't black swans show me how these are addressed by guassian rooted models. maybe we should start adding jumps and counter jumps like those used in electricity models to equities and keep on fudging till things look white again.
 
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twofish
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Advice to start as a quant in late 30s

September 15th, 2009, 1:26 pm

QuoteOriginally posted by: KackToodlesSorry to pop your dream bubble, but unless you have a phd in economics from stanford or harvard, your chances of getting a job "studying" international markets is tiny.If you end up in the right place, you end up not so much studying international markets, but rather living in one. This makes you shocked at some of the dumb things that people with Ph.D. in economics from Stanford and Harvard say sometimes. Don't get me started on the Chicago school.QuoteYou won't have much time to dwell on the greater international issues of commodities or central banks.Depending on the role you will. The fun parts of the job involve relating what you read in the Wall Street Journal to the work you are doing. The Fed does something, and then suddenly a new class of bugs appears. It also works the other way. You do something, and then you see the result in the Wall Street Journal.QuoteYou dream of being a heart transplant surgeon but chances are you'll wind up being a radiologist who won't ever see the operatng room much less the heart. I think a better analogy is battle field medic. You may be an anonymous soldier on the battlefield whose name will never be known. But you were still there, and what you did in some small way changed history.
 
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twofish
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Advice to start as a quant in late 30s

September 15th, 2009, 1:47 pm

QuoteOriginally posted by: davidnkick 'em while they're up, kick 'em while they're down.Really no. One thing that you have to sometimes accept is that plan A, just won't work. So you try plan B, which won't work. Then you try plans C, D, E, F and G and by the time you get to plan M, things might be going in a good way.Quotei've all but said I'm throwing in the towel that the naysayers here were right... was simply answering the questions here not looking for more reality.The first thing is to figure out what you want. OK suppose you want to learn about commodities. Can't find any bank jobs. What about oil companies, metal companies, factories, sugar plantations. The cool thing about markets is that the market touches everything. Also markets are all about reality. Reality is harsh, but there are some cool bits of it. There are also some pretty scary bits of it. Quoteif 40% market crashes aren't black swans show me how these are addressed by guassian rooted models.OK this is one of the things that really irks me (and a lot of other people) about Taleb is that it makes people seem like idiots even when they aren't. No one in finance has used a gaussian model literally for at least twenty years. Gaussian distributions have this nice property in that when you combine two gaussian distributions, you get another gaussian distribution. So what you do is that you include fat tails as a correction to the Gaussian distribution. So what you calculate is a (gauss + fat tail correction) * (gaussian + fat tail correction) = (gaussian + fat tail correction)If you try to work with the fat tailed distributions directly, you end up with a computational mess that takes a thousand times longer to get the same answer. This is why no one that I know uses the Mandelbrot fractal stuff for derivatives valuation that Taleb keeps talking about. It takes a lot more computer horse power, and you come up with the ****same answer****.40% drops in the market are *not* black swan events. Neither are 30-50% drops in house prices. They've happened over and over again, and if you are *surprised* by them, then there is something seriously wrong (and yes there *was* something seriously wrong).Quotemaybe we should start adding jumps and counter jumps like those used in electricity models to equities and keep on fudging till things look white again.Which is what people have been doing since 1987. The techniques for dealing with jumps in equity markets are pretty standard by now. They involve gaussian + correction because it makes it possible to compute.
Last edited by twofish on September 14th, 2009, 10:00 pm, edited 1 time in total.
 
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davidn
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Advice to start as a quant in late 30s

September 15th, 2009, 2:45 pm

QuoteOriginally posted by: twofishQuoteOriginally posted by: davidnkick 'em while they're up, kick 'em while they're down.Really no. One thing that you have to sometimes accept is that plan A, just won't work. So you try plan B, which won't work. Then you try plans C, D, E, F and G and by the time you get to plan M, things might be going in a good way.Thanks twofish, my reply was primarily directed at KackToodles, though all the posts are appreciated. I'd love to argue the point about models, but that's not why I brought up Taleb. (Though, I can't resist, isn't a larger percentage of the entire meltdown attributed to selling insurance based on faulty models by greedy bike riding brass that didn't get it even after it was pointed out to them?)Philosophy, not models. Taleb even says there's not a lot that can be done to measure and work with the tails, estimating the exponent is not repeatable... I'm not saying white/black that the models are all crap and such. The key idea for me that has been a driving force in my desired shift from solving problems in the physical product world with all the impedence of selling, making, shipping, and disposing, to that of the digital world is that a successful product is scaleable as software or small dollars in the big market to a much greater extent. A low base in finance is a fair living in Mediocristan. Digital skills (programming and trading) + insight and access to the markets is the positive exposure to the tails I eluded to (I'm not talking about my potential bonus as a disgruntled code janitor). I realize most people won't agree, but my perspective on salary is that over a range of something like 70k to 200k you're life is more or less the same. The utility is practically the same. You drive a car, you go to work, you have a nice home, take three weeks vacation and you plug away and dream about having more TIME. (Actually maybe you work harder and your life outside work is non-existent at 200 versus 70.) Either way, there's no "f you" money there. I want to spend my next 25 years working all the same with a shot at some "f you" money while still enjoying meaningfull day to day problem solving and a bigger picture view on my cross-section in life. Gladwell mentions three qualities for work to be satisfying - autonomy, complexity, and a connection between effort and reward. I agree. Only, I want the connection in the skills, knowledge, and network gained in my next 10,000 hours becoming an expert to lead down a path toward scaleable payoffs. A 20k bonus on a 130k base is not scaleable. Creativity, plus insight, plus timing, in the digital world is. Globally we're in for one hell of a wild ride over the next 25 years. There will be some incredible opportunities for the astute just good enough to get lucky.
 
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quantmeh
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Advice to start as a quant in late 30s

September 15th, 2009, 4:00 pm

QuoteOriginally posted by: davidnI realize most people won't agree, but my perspective on salary is that over a range of something like 70k to 200k you're life is more or less the same. are you single? you certainly sound like a single man. with a couple of kids 100k makes a BIG difference
 
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twofish
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Advice to start as a quant in late 30s

September 15th, 2009, 9:03 pm

QuoteOriginally posted by: davidnI'd love to argue the point about models, but that's not why I brought up Taleb. (Though, I can't resist, isn't a larger percentage of the entire meltdown attributed to selling insurance based on faulty models by greedy bike riding brass that didn't get it even after it was pointed out to them?)That's one way of looking at it. But it's not totally accurate. One problem is that it's not just the brass that that was greedy, and greed isn't necessarily a bad thing stupidity is. QuoteTaleb even says there's not a lot that can be done to measure and work with the tails, estimating the exponent is not repeatable...Well he is wrong. We aren't talking about aliens landing from Mars. Financial crashes happen with great regularity. There have been dozens of major crashes this century, there will be dozens more. Heck, we had a major financial crash *this decade*. We aren't dealing with black swan events at all. These are white swans events, and they are no more surprising than major Gulf coast hurricanes or earthquakes in California.QuoteThe key idea for me that has been a driving force in my desired shift from solving problems in the physical product world with all the impedence of selling, making, shipping, and disposing, to that of the digital world is that a successful product is scaleable as software or small dollars in the big market to a much greater extent.I think you are going to be in for a rude shock. There is a huge amount of impedence in the digital world involved with selling, making, shipping, and disposing bits of electrons. QuoteI realize most people won't agree, but my perspective on salary is that over a range of something like 70k to 200k you're life is more or less the same.It's not. At least in NYC.QuoteThe utility is practically the same. You drive a car, you go to work, you have a nice home, take three weeks vacation and you plug away and dream about having more TIME.With 70K in NYC, you are not going to be able to afford a nice house (or for that matter a rotten house), and I seriously doubt you'll be able to maintain a car (the cost of the parking lot will get you). Almost no one in NYC drives to work since the stress is just too much. If you want more time, you might consider moving to Europe, since people there have attitudes about time and money that are very different from most Americans.You really, really seriously need to read up on NYC before taking the leap. To maintain the same standard of living in comparison to Austin, Texas you need about a 30+% jump in salary. The good and scary thing is that in good times, you can find comparably skilled positions that pay 80% more in NYC. However we aren't in good economic times right now, and personally I think to move to NYC with a 50% salary cut is close to financial suicide. QuoteEither way, there's no "f you" money there. I want to spend my next 25 years working all the same with a shot at some "f you" money while still enjoying meaningfull day to day problem solving and a bigger picture view on my cross-section in life. You aren't going to get it. There are people in finance that are wildly wealthy, but it's an addictive life. No matter how much you make, you'll find it very difficult to leave, because you either can't financially, or you don't want to. You need to look at the bottom line which is income - expenses. If you move to NYC, your expenses are going to mushroom and for it to make any sense at all your income has to match.QuoteOnly, I want the connection in the skills, knowledge, and network gained in my next 10,000 hours becoming an expert to lead down a path toward scaleable payoffsThis is going to sound harsh, but I mean it well. If you don't realize that most New Yorkers don't drive to work, then this doesn't bode well for financial success. You need to get your head out of the clouds and look at details like the cost of living in NYC versus that in other parts of the country or the world. If you can't think like a businessman in your personal life, then it's going to be hard to convince someone that you can make money for them in your professional life.Finance is all about the details, and instead of looking at big abstract issues you need to look at concrete practical ones. Do you plan to get married and have kids. If yes then you should probably look at things like the cost and quality of schools. You want skills, knowledge, and networks. Cool. There are a million ways of getting them, and you need a broad view of those, since the first dozen ideas you have won't work.QuoteA 20k bonus on a 130k base is not scaleable.In a good year, bonus is about 50% of base.QuoteCreativity, plus insight, plus timing, in the digital world is.No it's not. Creative and insightful people get paid crap. If you look at who makes the money in any creative industry, it's not the creative people. It's the distributors. The internet is just going to *increase* this trend. The problem with creativity is that one brilliant idea can change the world. So if you have two people, one of them is likely to make megabucks, while the second is totally unnecessary. The other problem with creativity is that there isn't a shortage of creative people. It's not that hard to learn to write a decent short story, play music, or come up with astrophysical theories, which means that you have tons of great short stories out there, and a massive overproduction of talented musicians and astrophysicists.Creativity is also fun. Most musicians will do music for free. This is a problem, since it means that if you need a musician, you can pay one crap and get them to do the work. Fixing toilets, not so fun. That's why plumbers make more money than musicians.QuoteGlobally we're in for one hell of a wild ride over the next 25 years. There will be some incredible opportunities for the astute just good enough to get lucky.Yes. But.... You aren't going to get many usable business ideas reading Taleb or Gladwell. The trouble is that both Taleb and Gladwell are best selling authors, so any ideas that you get from reading their books are ideas that some other person among the millions of their readers have already come up with.
 
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davidn
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Advice to start as a quant in late 30s

September 15th, 2009, 11:02 pm

okay, okay, on NYC you have a point, but you're still missing mine.on Impedance, with a small account, even over the internet far from Chicago or NY, I haven't really noted much impedence whether I'm buying or selling at market I've ALWAYS found someone instantly on the other end just like the lit market showed when the order was placed, I've never been thicker than the market. It's always taken all of my orders. Should I ever move the market so much I can't buy/sell more with my own account, I'll be a happy man.on fixing toliets.I was an action sports product designer. Trust me, I know about people that are willing to work for peanuts and how to leverage them. Exactly why I thought I'd find someone psyched to leverage me for awhile. I hate plumbing, but have been doing it myself this year.Quote Yes. But.... You aren't going to get many usable business ideas reading Taleb or Gladwell. The trouble is that both Taleb and Gladwell are best selling authors, so any ideas that you get from reading their books are ideas that some other person among the millions of their readers have already come up with.I already have, but I didn't realize Dynamic Hedging was a best seller.on Aliens. that's right, type 3.
Last edited by davidn on September 15th, 2009, 10:00 pm, edited 1 time in total.
 
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twofish
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Advice to start as a quant in late 30s

September 15th, 2009, 11:03 pm

One other thing. You have to be very careful about your own weaknesses. I happen to like playing with complex mathematical models. This can be a weakness that I have to watch our for, since it could be dangerous. One problem with CDO models is that the mathematics that tells you that you have a very serious problem if you have large number of subprime defaults is high school algebra. In fact, some junior high school students can do that sort of modelling. This meant that quants were interested in correlation modeling and not in default modeling, since you can have a clever 6th grader do that.This worked in a perverse way with management. If someone explains to you CDO models in a clear simple way that even a 6th grader can understand, it becomes obvious that CDO's on sub-primes are a bad, bad idea. But then you don't get a bonus. So instead of having someone explain the issue to you in clear easy-to-understand simple math, you have a physics Ph.D. explain the problem to you in a way that you can't understand. It helps if the physics Ph.D. is a math geek that just wants to crunch numbers is not the slightest bit curious about sub-prime mortgages and real estate, and gets some thrill from talking in a language that managers can't understand. So the MBA's and the physicist makes their bonuses, inconvenent questions are not asked, and everyone is happy.Until the world blows up. (I get annoyed when people talk about complex derivatives. They really aren't that complex.)
 
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davidn
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Advice to start as a quant in late 30s

September 15th, 2009, 11:33 pm

QuoteOriginally posted by: twofishOne other thing. ... (I get annoyed when people talk about complex derivatives. They really aren't that complex.)That's right, let's keep it simple. Income - expenses. They didn't teach us this in the CQF or maybe I missed it one morning when I was out skiing and only caught the tail end of the live session.
Last edited by davidn on September 15th, 2009, 10:00 pm, edited 1 time in total.
 
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quantmeh
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Advice to start as a quant in late 30s

September 16th, 2009, 12:40 am

QuoteOriginally posted by: twofish If someone explains to you CDO models in a clear simple way that even a 6th grader can understand,)one guy already did it. i believe he's hiding somewhere in China now
 
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twofish
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Advice to start as a quant in late 30s

September 16th, 2009, 9:30 am

QuoteOriginally posted by: jawabeanone guy already did it. i believe he's hiding somewhere in China nowDavid Li? He's doing pretty well for himself working as a risk manager at CICC. He shows up a lot at Chinese Financial Association events, where they are hiring lots and lots of people.
 
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twofish
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Advice to start as a quant in late 30s

September 16th, 2009, 9:54 am

QuoteOriginally posted by: davidnon Impedance, with a small account, even over the internet far from Chicago or NY, I haven't really noted much impedence whether I'm buying or selling at market I've ALWAYS found someone instantly on the other end just like the lit market showed when the order was placed.That's because you are missing the tens of thousands of people and the hundreds of millions of dollars of infrastructure to make sure that happens.QuoteIt's always taken all of my orders.That's because there is a huge amount of machinery involved which you don't notice. For example, it's unlikely that you were actually selling at the market price. What happened was that you sold your shares to someone that was charging something slightly above market and then reselling them to someone below market, and then pocketing the difference. To make money doing this, they have to process a huge number of orders.It looks like magic. It is magic, but once you go backstage you find out how hard the magic is. For example, there are people that just sit around ready to buy and sell anything with the expectation that they can resell at a later time and make a profit. They are called traders. So when you sell 1000 shares of Microsoft stock, it looks as if there is someone magically there that wants to buy 1000 shares of Microsoft stock, when in fact it's very unlikely that at that very moment, someone is around that magically wants to buy and hold 1000 shares of Microsoft stock. There is someone there that buys your Microsoft stock knowing that at some point in the future someone will turn out that wants to buy 1000 shares of Microsoft. Both the buyer and the seller think that they are getting "market price" when there is a hidden transaction cost.QuoteShould I ever move the market so much I can't buy/sell more with my own account, I'll be a happy man.It's unlikely to happen since you are buying/selling to someone with huge cash reserves.
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