SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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mbunea
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Joined: March 26th, 2015, 11:39 am

What's like to be a quantitative developer in a hedge fund

February 3rd, 2016, 6:30 am

I've stumbled upon this page: https://www.quantstart.com/articles/My- ... Hedge-Fund Author's experience as a quantitative developer makes him identify three key areas. I'm reproducing here what he says, emphasizing the parts I'll comment about.1) Pricing/Feeds: Quantitative researchers and traders need to develop their algorithms against security price time series. Hence an important part of quantitative research is obtaining excellent quality securities pricing information. The variety of feed types is extensive. The data needs to be retrieved, stored, cleaned and made available to quants in a unified manner. This is the job of the pricing quantitative developer. This was about 80% of my job.2) Signals/Algorithm(s): This aspect involves performing statistical research on the obtained pricing data in order to identify trading opportunities. The strategies employed by hedge funds are extremely diverse. For systematic funds, they will often fall into the groups of trend-following, mean-reversion, statistical arbitrage or high frequency/market making. All funds keep their cards extremely close to their chest so good strategies are rarely revealed. This area is the job of the quantitative researcher or trader.2) Execution/Orders: Once a trading strategy has passed any necessary backtesting and has gained sufficient theoretical performance, it is the job of the execution quants to build models for effectively getting the trades to the exchange without incurring too much slippage or transaction costs. As with pricing, teams of PhDs often work on effective execution algorithms - in fact execution and signals have significant overlap. Once the execution algorithm has been designed, it is the job of the execution quantitative developer to build an interface to a prime broker that allows trades to be carried out. In addition, portfolio management and reconciliation tools need to be fully automated, with the ability to generate snapshot reports on demand. The latter was about 20% of my job.
 
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mbunea
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Joined: March 26th, 2015, 11:39 am

What's like to be a quantitative developer in a hedge fund

February 3rd, 2016, 6:37 am

Now, my thoughts on this. From the beginning I must say that what he calls 'quant' is not at all my image of it. The part I consider quant work is #2 and he says his involvement in it was exactly 0%. Then I tend to have a very simple rule of thumb for discerning between high quality (career-enhancing) work and low quality (career killing) work: 'data wrangling: bad, data analysis: good'.Am I wrong?
 
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Hansi
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What's like to be a quantitative developer in a hedge fund

February 3rd, 2016, 8:01 am

Copy pasting my reply to these threads: http://www.wilmott.com/messageview.cfm? ... 9QuoteThis is just my perspective but there isn't a clearly defined rulebook for what the 'front office quant' roles are called, how they are positioned, what the qualifications are and what they involve on a day to day basis. My team has four 'quantitative analysts' none of us do the same job, none of us have the same background but from an outside perspective we'd most likely be referred to as front office quants.IMO you are asking for a clear cut, black and white answer for a question that simply doesn't have one. Different places have different structures and even within the same company you may see numerous different structures split by asset groups, functional teams etc etc. Each fund can have different roles with different titles all doing the same or doing completely different roles. What he describes is not an uncommon Quant Developer* area of responsibility as sometimes the title is used for developers with highly quantitative skills (also generally gives the hiring manger a higher budget for the role to allow for hiring a more experienced developer).*As opposed to Quant Analyst, Quant Researcher, Quant Trader, Quant Architect, Quant Gymnist whatever.For my team the responsibilities of the team include 1 and 2 plus a dozen more things but 3 is pure IT developer responsibility (large asset manager), in a hedge fund those lines are more blurred.At work on my left I have team member that has a Quant Analyst title who focuses mainly on research but also does coding and deals with data and on my right I have a team member that has a Quant Developer title that focuses mainly on coding and data but understands the research. The team members focus on what is their comparative advantage and we work as a whole.
 
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mbunea
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Joined: March 26th, 2015, 11:39 am

What's like to be a quantitative developer in a hedge fund

February 3rd, 2016, 12:09 pm

From one of the other threads referred by Hansi: "Working as an air-hostess will not make you a pilot."Reminds me of Tommy from 'Come Fly With Me' :
 
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liam
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Joined: November 16th, 2004, 11:51 am

What's like to be a quantitative developer in a hedge fund

February 6th, 2016, 12:31 pm

QuoteOriginally posted by: mbuneaNow, my thoughts on this. From the beginning I must say that what he calls 'quant' is not at all my image of it. The part I consider quant work is #2 and he says his involvement in it was exactly 0%. Then I tend to have a very simple rule of thumb for discerning between high quality (career-enhancing) work and low quality (career killing) work: 'data wrangling: bad, data analysis: good'.Am I wrong?I'd say right if you are talking about quant resarch or trading (and quite a few other analyst roles in corporate banking or MBA finance too). Often banks sucker people into thinking they are 'working their way up' like in other industries, but in reality they are wasting their skills on stuff other firms probably computerise - happened to a classmate at HBOS and destroyed his career and him mentally (8 years on I still stay way from him).In terms of the website, where he is trying to sell trading algorithms, this is important as he seems to be implicitly saying he is a trading guru, but in my experience, quant developers' work is as he describes (i.e. vastly different from a derivatives pricer), more or less, albeit Hansi has an important point in the sense that quant roles are very variable. So my reading of this is that he hasn't lied on his website, but is using the 'I worked alongside these people' gambit to fool people into thinking he actually learnt this stuff in the workplace and to pass over money for his books, while covering himself legally. Maybe I'm really stating the obvious, but if you ever been lectured about careers by some arseholes in my family you would realise just how insanely thick people are and how, once the notion that this guy is a trading guru gets into people's head there's no taking it out.It's not the worst crap I have ever come across about quants and at least his section on becoming a quant doesn't have shite like 'it's about who you know, not what you know", which I have come across on other 'getting into quant finance' guides. Also it's nowhere near as retarded as some of the half baked 'career advice' family and friends sometimes barf out.And there are far, far worse cons - check out Greg Secker's "Knowledge 2 Action" or "Learn to Trade" and prepare to laugh so loud you get sectioned but also prepare for being revolted at the same time. A mate of mine took me one of his seminars in 2007 - I thought he was talking about a talk from some bank like GS on trading, but when I saw this it made me laugh. The strategy was obviously bullshit and his workers walked around in uniforms that looked like something you'd wear to work in Sainsbury's trying to convince people they were earning thousands of pounds a month using his strategy. The thing that makes me wretch is that the FSA actually approved his retarded trading course (that costs £3k!!!!) even though he lies through his teeth about being an ex-trader (wasn't one). Doubt the new regulators are any better. A friend of mine that worked at Credit Suisse in settlements came across it recently thinking it was a genuine course for helping people invest and said he couldn't stop laughing - scary that the course is STILL there, just because he changes it's name when people complain (used to be Trader's University). And punters are still handing over their cash to this twat.QuoteOriginally posted by: mbuneaFrom one of the other threads referred by Hansi: "Working as an air-hostess will not make you a pilot."Another classic example - John Cleese had to tell a chartered accountant that he can't become a lion tamer just because he has a lion tamer's hat.
Last edited by liam on February 5th, 2016, 11:00 pm, edited 1 time in total.
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