SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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Nikkei
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Being a quant - is it a right choice for a quantitative modeler?

January 27th, 2011, 7:57 pm

Hello:This thread is a sequel to what I published here:last postI haven't found a job yet, but now that I've had lots of time on my hands, I am wondering if the quant career was the right choice in the first place. As I already said, what I enjoy doing is applied and advanced (PhD-level) quantitative modeling. Let me throw in a few thoughts that I need your opinion on:1) At the end of the day, financial data are not that amenable to quantitative analysis. As a result, the advanced modeling skills are excessive. If one wants to do model "on a PhD level", he has to look elsewhere.2) Quant work consists mainly of programming, not quantitative modeling.3) When advanced models are used, they are just for show. Nobody really believes in them. In particular, in his Encyclopedia of Quantitative Finance Paul Wilmott states explicitly that he is "cynical" about quant modeling: the only justification for doing that in Finance is to supply a plausible reason for introducing new financial instruments. Of course, quants do not care about enriching the set of financial instruments in the world, and only do it for money. In his Financial Modelers' Manifesto Paul kind of pulled back, but that's irrelevant. The point is, that's how the quant industry works regardless of what Paul thinks.4) On the Wall Street, quants do not have any political influence. Even when they have something to offer, their advice is not appreciated unless it coincides with what the non-quant management wants to hear (see item 3) again).I need to hear from some experienced people. If the statements above are close to the truth, I am going to direct my job search away from the quant space.Thanks in advance,Nikkei
Last edited by Nikkei on January 27th, 2011, 11:00 pm, edited 1 time in total.
 
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DevonFangs
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Being a quant - is it a right choice for a quantitative modeler?

January 27th, 2011, 10:27 pm

1) Frankly, considering your expectations you don't look like cut for this job. Look elsewhere.2) In general yes. There are positions in which you have to develop/ really understand models and you can survive with some scripting level programming, but IMHO to be a good (and useful) quant you have to like coding.3) You are completely missing the point. Get back to academia if you want a cosmogonic model to believe in.4) I'm not from the street, but my impression: pretty true If I may ask, what have you been doing between your two posts? What's your career situation that you're eventually going to change, period?
 
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Nikkei
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Being a quant - is it a right choice for a quantitative modeler?

January 27th, 2011, 10:44 pm

3) You are completely missing the point. Get back to academia if you want a cosmogonic model to believe in.------In financial academia, it's even worse / about the same. The only thing an academic cares for is how many papers he has published. Whether the results presented in them work in practice is absolutely irrelevant. That's why so many papers published by financial academics have little to do with reality.To clarify: I don't have a problem with imperfect models. I have a problem with the idea that selling snake oil is ok. If the entire quant industry supports it, I'd rather be elsewhere.------------If I may ask, what have you been doing between your two posts? What's your career situation that you're eventually going to change, period? Practically speaking, I'd like to know whether I should continue investing time in studying quant books, especially those on interview preparation (Joshi, Crack, etc). Since the quant interview questions are very specific, I can save some time if I decide to drop that avenue altogether.
 
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sunra
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 2:32 am

get thee back to academe
 
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Nikkei
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 3:03 am

Ok, short version: bonus on the Wall Street = published paper count in academia. Results: snake oil models and practically useless papers, correspondingly. I am not comfortable with either. Besides, I dislike teaching.
 
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AbhiJ
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 5:51 am

Nikkei,You sound like a skeptical idealist. Your versions of Wall Street as well academia is half-true. There are good and bad people both on Wall Street and in academia. You seem to have difficulty compromising. Sometimes its a good thing but too much of it is not good, in a world that is more grey than black & white. You have to choose between independence and money. What matters more to you ? Its difficult to have both in the short term.Wall street is about money and academia is about intellectual indepedence (with limits in both cases). There are people like Peter Carr and Jim Simons who spent years in academia before coming to Wall Street. You also have people like Mark Joshi who entered Finance and reverted back to academia. Remember there is also life outside work, having a pretty gf/wife helps even if you are an idealist.
 
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Nikkei
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 6:13 am

I'm not trying to divide people into "good" and "bad". After all, selling penis enlargment pills is a profitable business, and who am I to judge? If it exists, it must bring some value to all the parties. I just don't want to participate because I find it boring.In my last post, the replies also mentioned DE Shaw and RenTech, but that's not enough to remove my skepticism. First, we don't know what's really going on in those firms. Maybe a compulsory Ph.D. entrance requirement is just for show, and everything boils down to C++ programming again. Even if they are "quantitative" quant shops, they are too few.As you probably guessed, I threw in this provocative post to initiate some grounded denials, but, so far, I have seen none.
 
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DevonFangs
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 7:14 am

0) No, it's exactly like you said. Go somewhere else.1) You seem a bit frustrated byt not finding a career path you like, or maybe just a job - dunno. If that's the case, I'd really understand. You'd probably better try to work in academia an be one of the good researchers who do their job for the sake of science and not just to produce as many articles as possible (yes, they exist).2) No matter what you think, good c++ programming is something for smart people.3) I agree that the PhD stigma is often just a shortcut to find smart people and not a founded requirement.BTW, do you like finance at all?
 
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Quant0k
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 8:43 am

QuoteBTW, do you like finance at all?And with that, DF has hit the nail on the head. Thats the first question you should be asking yourself. If finance doesnt excite you, no matter what you do on Wall Street, you will be bored all the time.
 
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mj
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 8:56 am

Re 1), well derivatives pricing as a methodology for deducing the prices of exotic instruments from less exotic ones does generally work. (Except in credit)re 2) well you program quantitative modelsre 3) depends on your definition of advanced... there are plenty of fancy models that are useless because they can't be calibrated or can't produce sensitivity numbers in less than 24 hrs. A truly advanced model can be calibrated and used to produce sensitivities in a short amount of time so a lot of effort is spent on these two activities. re 4) largely truewhy do people do it -- they enjoy playing with computers and mathematics, and it's well paid.
 
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twofish
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 9:54 am

QuoteOriginally posted by: Nikkei1) At the end of the day, financial data are not that amenable to quantitative analysis. As a result, the advanced modeling skills are excessive. If one wants to do model "on a PhD level", he has to look elsewhere.I think otherwise. Even when you figure out that something is random noise, that's significant, and any sort of signal that you can find in the middle of noise can be profitable. Also I'm finding my astrophysics research skills to be quite useful.Quote2) Quant work consists mainly of programming, not quantitative modeling.Sure.Quote3) When advanced models are used, they are just for show. Nobody really believes in them."Belief" is something that is a topic of religion. I don't "believe" in any of the models that I produce, but on the other hand I don't "believe in" general relativity either. The model works, it seems to describe reality, and can be used for useful things. It may turn out that the model is wrong under different conditions, but reality is like that.Also, not all models are quantitative. Sometimes words are useful. The other thing is that derivative markets aren't the only markets that can be modeled. Labor markets can me modeled also.The other thing is that advanced != lots of fancy math. Sometimes it turns out that a dead simple linear model happens to be more "advanced." Quote4) On the Wall Street, quants do not have any political influence.Depends on the place. It should be pointed out that the people that are really running things right now are government regulators, and a lot of quant work involves writing reports to convince the government that you are not blowing up the world economy.Also, it may because I come from a physics background. Finance is very similar. Observe X, try to write down some equations that describe X, use equations to do something useful (like make money).
Last edited by twofish on January 27th, 2011, 11:00 pm, edited 1 time in total.
 
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AbhiJ
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 10:27 am

QuoteOriginally posted by: Quant0kQuoteBTW, do you like finance at all?And with that, DF has hit the nail on the head. Thats the first question you should be asking yourself. If finance doesnt excite you, no matter what you do on Wall Street, you will be bored all the time.Define Finance. Finance is too broad a term to be used in a singular sense. It turns out that anone who likes to make money tends to find a place somewhere in finance.
 
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traderjoe1976
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 10:35 am

Nikkei, I do find it a bit strange that you are not able to get a Finance position even with a PhD in Statistics. What is your visa status? Do you have USA Green Card or Citizenship? Does the company need to sponsor H1-B work permit for you? Maybe that is creating the problem.I would advise against acaedmia. You will have plenty of time to teach after you turn 50 years old and leave Wall Street. It is quite difficult to get faculty positions in the Math department and the salaries are really low. I think that they pay less than one-third of what the Business School professors are paid. It is a complete waste of time unless you are totally idealistic.Get a job. Make some good money. Later on you can figure out what you want to do with your life.Some people don't need much in life. All they want is a nice house on the beach in California or Hawaii. That is easily achievable.
 
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Quant0k
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 10:38 am

QuoteOriginally posted by: AbhiJQuoteOriginally posted by: Quant0kQuoteBTW, do you like finance at all?And with that, DF has hit the nail on the head. Thats the first question you should be asking yourself. If finance doesnt excite you, no matter what you do on Wall Street, you will be bored all the time.Define Finance. Finance is too broad a term to be used in a singular sense. It turns out that anone who likes to make money tends to find a place somewhere in finance.By that I meant seeing the bigger picture. You could spend zillions of hours coding up a trading platform with a team of 10 other smart guys. If you dont understand "what" the platform will eventually do, "how" it will trade and "how" it will make money for you, you will feel like you are doing some shitty C++ coding and nothing more. Liking to make money and building a successful career in finance are correlated, but only so much. The most successful ppl that I see in the business are ones who actually understand the business and the markets, and are excited about them.
 
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katastrofa
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Being a quant - is it a right choice for a quantitative modeler?

January 28th, 2011, 10:40 am

QuoteOriginally posted by: NikkeiIn financial academia, it's even worse / about the same. The only thing an academic cares for is how many papers he has published.This is true in all academia because of what the incentives are.
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