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Treasuries have rallied now... lol market basically telling S&P to f*** off.

The markets are definitely getting hit pretty hard today. EUR/USD is low, treasuries are lower, all the indexes are taking a hit, gold spiked up along with silver. So anyone have any thoughts on the negative outlook for US credit rating? It's competitors have positive outlooks. Is S&P just...

A great question! I have been asked this in many interviews!

Maybe people haven't had any crazy interviews. My interview in this category would be staying up from 12am-9am at the firm and then being asked questions in the morning. It was a stress test interview to see if I can still function properly analytical and physically after staying up all night...

I got the Kindle DX. It is amazing!

Almost time for the competition!

A PhD in Quant Finance is better. It makes no sense to do a degree when you go into it to switch.

Financial firms hired people with Physics and Math PhD's because they were the ones who had the strong math backgrounds. They did not hire them because they were Theoretical Phycisits, but because they knew that theoretical phycists can handle the math. If there were PhD's from MIT who had PhD...

Trader Workstation for one of our classes, more so this year than previously.

What "trading platform" do you guys use?

Anyone have any interesting interview stories? Something outrageous. Any stress tests, psycholigical tests? etc. Or What is the most intense interview you have been to? 4 hrs 8 people 9 hours 20 people..etc 26 interviews over a period of 2 months. Just curious.

This is a very general question. You have to be more specific. If you work on the trading desk it will be very fast paced and stressful especially during trading hours. If you work in MO/BO it won't be as stressful and you will not work crazy hours.

That is kept confidential unfortunately.

I don't know enough to comment much but at a conference I was at not too long ago a panel did say that the BIGGEST bottleneck currently is TECHNOLOGY, not the mathematics. So it only makes sense to hire more developers.

Here are some more... Stock price today is $20 and it follows a Geometric Brownian Motion. The beta of stock is 1. You are trying to model a stock price a year from today. Which outcome is more likely; stock price >$20 or stock price <$20 (Quant risk modelling) How many tennis balls are made...

I do not have a detailed answer for the first question. All I can say is that the algo trading class at Baruch is taught by industry professionals who have PhD's. Maybe some other people can reply better to this. I don't know anything about women in algo trading. Unfortunately I have not seen...

I am not sure. I just stated exactly what I was told.

From what I have seen, MFE MSCF, MFM, etc, in QR have support roles mostly assisting the PhD's. It would be very hard for anyone with only a Masters to surpass a PhD in the research area. I highly doubt PhD's in QR will let a MFE get promoted above another PhD. So, as an MFE you will almost...

There is really no such thing as an "algo trader". The only place you can really call yourself an 'algo trader' is if you work in a prop trading firm and you develop your strategy/algorithm, implement it (coding), and launch it(asset allocation/execute). I was offered an internship in algo...

No. It doesn't matter. All the information required is there.

Congrats Ilya!

I don't like this new interview format. The question/answer type of format was much better.

I thought I would toss some questions I got asked in an interview here since I guess most of the questions asked in the contest will probably be quant interview type questions... 1) The probability that bank will default in any single year is 10%. What is the probability that the bank will...

On the buy-side at hedge funds especially I have noticed that the structure is reverse. Analyst is higher than Associate.

I had expected UIUC to have a good program given their reputation as a university in general. I was very surprised to hear some of the comments but this review and hopefully more to come will give us a better picture.

This is a very promising review.

Ooo new pic.

Hey guys... A few of you have got admission at Baruch MFE and I am sure you have questions about the program. Please feel free to post ANY question you have here, and myself or current students/alumni will more than love to answer your questions. I have got messages from most of the admits I...

Feel free to ask any questions you have about the program. I am sure myself or the current students/alumni would love to answer any queries.

Send me a private message. I don't want to put too much information out in the public. I am in the Baruch MFE program.

I heard this year might be the lowest acceptance rate yet.

Awesome. Congrats to you too Roni!

Congratulations!

I know that Citadel and Chicago Trading Company have interviewed students at UIUC.

I worked in 2008. I lived in Edmonton for a year. Mill"h00ds" represent! haha. Loved my time there. Went snowboarding almost every weekend to Banff or Jasper

http://www.cnbc.com/id/42305525 Anne Hathaway and Warren Buffett have recently been linked in the media—though not romantically, thank god. No, this linkage is purely statistical. Dan Mirvish over at Huffington Post spotted the following unusual data blip: Whenever Anne Hathaway's name appeared...

Yeah. She was good. I think she mentioned that she is a Desk Quant at a Hedge Fund.

I would have to agree with Ken. Comparing the schools based on first year compensation is not worth it at all as it will be peanuts compared to what you make 10 years down the line, or at least it should if you're good. Both the schools are great. I have met a few profs at both schools and both...

did anyone beat @bob and @WilliamY at b pong?

Definitely an amazing time. Andy definitely kept his word about buying people drinks. I think for 30 mins it was literally an open bar. Thanks for the food too! Looking forward to the next event! MFE program Table Tennis tournament hopefully!

Wow....Last night. Ridiculous. So glad no pics were taken.

Looking forward to seeing everyone tomorrow at the seminar.

April fool lol ?

PhD Finance is weighted wayyy above PhD Economics in the academic world. Also which school is this at?

IIT has a huge class for this upcoming year. Almost 400. They have almost close to no support in terms of placement. There is a placement/career services department that have a job board and companies do post on the job board but it is mostly upto the individual to secure themselves...

haha. Canada represent! I am from Windsor.

If you getinto UCB go there. They had 100% placement for internship this year and basically all at Associate level. They placed all their students like more than 2 months ago.

I am sure we will have more. Join the Facebook group to be updated: http://www.facebook.com/quantnet

Sorry, you did mention you had an MBA already. We all do get together a lot. We will be having a Quantnet meetup for drinks on April 2nd in Mid-town NYC. Feel free to drop by.

Your background seems is really cool and seems like you want to go into S&T, AM or consulting. How come you picked MSOR over MBA or MFin programs?

If you just want to sit at home and trade then even $1000 will get you started. If you want to trade as a hedge fund, the current asking price is a standard $150M. You can goto a prop firm with your money($25K at some firms, and 0 at others) and get a decent leverage to trade and use their...

Don't forget guys! It's this Saturday! RSVP: http://www.facebook.com/event.php?eid=101363519948426

Just ran into this in an ad online... A new Masters degree related to Quant finance for executives in risk management. It's a unique module system based curriculum. http://w4.stern.nyu.edu/academic/global/riskmanagement/

Many universities give you admission without first year funding. You can compete for funding once in the program for second year.

I was sure last year I read somewhere them claiming they had basically 100% placement. I will try to dig it up and post. If it's not true their recent 85% claim is still pretty good. Regardless, I think it is definitely a good program.

NYU is a well established program with basically 100% placement since inception. The location is great and the professors are great.

The MFE program does get a few associate level quant positions. JP Morgan Quant Research group and Morgan Stanley Strats and Modelling were both associate level quant programs and they interviewed students from the Baruch MFE program. There are some other students who did get associate level...

The bank I am going to intern at just hired a student full-time who graduated from Michigan MFE. I also met a Michigan MFE during superday at another bank. I think Michigan MFE is a good place to go if you're okay with analyst level positions. They are not a target associate level school, but...

Yup. I can empathize. I worked for Syncrude R&D in Edmonton.

It depends on where you work. Most companies that hire engineers don't have profit sharing schemes. There is a significant over-time concept at Ford and GM. Although the base salary is low, many engineers make 100K+ with OT. That is a great pay for young engineers. If you work for Schlumberger...

For what company?

There are two students in my year at Baruch MFE who were accepted to Cornell also and picked Baruch MFE over it. One of them even mentions it in their intro on the website in the student section. I think Baruch MFE was the best fit for them and thats why they picked it. Pick the university that...

Baruch MFE is great due to dedicated given to the students from the staff, especially the program director. Nyu-Poly has the potential to be great given the professors they have and the location but I have not seen them step up at all in this front. Regarding IIT, it is in the heart of Chicago...

The background of Zeez's picture is comedy. I keep finding new things and cracking up about it.

I am pretty sure they are absolutely independent of each other. They offer NYU-POLY degrees.

Lol No. Almost... I am at Baruch MFE.

IIT is not a small class size. They have doubled their intake this year. I think it's 400 students now.

@bob That is absolutely hilarious.

Of course we can discuss Baruch. I was just saying that since I knew that our program director would reply considering he is relatively active on this forum.

Want to do a project with a hedge fund on finding an algorithm/mathematical system to find the a certain type of synthetic swap? If so... send me a message.

hahaha. It's okay, I will buy you some dumplings later today.

I don't know if I should answer...or wait till the Program Director of Baruch MFE who will interview you answers this question.

You can use MATLAB for the last portion. I have done it before and have used MATLAB along with other people. Many people used R also. You will not be explaining prop algo trading strateges to a regulator....ever, unless you tank the whole market with a fat finger.

Leeson did not really "steal" anything proprietary. There was theft in this case. He stole something that could make millions of dollars. He in a way ... robbed a bank.

Haha. Not only do directors of high profile programs read posts, Managing Directors of a few NYC based investment Banks are frequent posters and avid readers. So always be careful what you say.

None. It is project/assignment based. There really isn't any good algorithmic(Stat arb) trading book that can be used.

This would be a great opportunity for the several New York area MFE students to meet each other and network. I hope NYU, CMU, Fordham, NYU Poly, etc come out. I am sure there will be several of my Baruch MFE classmates and alumni there.

Spring 2011 is current semester. The course is currently going on.

Actually I forgot to put Texas A&M on the list. Yes, it is up there. U Houston seems to get more due to there focus on commodities trading and risk management courses/research in their business school.

Rice, UTA and U Houston are where most of the Texas based energy companies goto recruit. There is also recruiting at SMU, TCU and local universities but not at the same level as the big three.

http://www.facebook.com/event.php?eid=101363519948426 Please RSVP on the Facebook event. The Meet-up for drinks will be at 1 Republik/Beer Garden in Midtown NYC on April 2nd at 6:00pm. See you all there! As Andy mentioned, first round on QuantNet!

There really aren't many investment bank jobs in Chicago. They are all in New York. UBS Asset management has a hub there and I think BMO Harris has its American HQ there and few other banks have small offices in the area, but the main IB jobs are all in the New York area. Chicago has tons of...

If you are going to go for PhD in Finance or Economics, or any PhD, having a big name school aids A LOT. UCLA PhD Finance is top 10. If you go there I am sure it will only help. Then again, PhD Finance programs enroll 2-3 students max only. If you have contacts and can get a job easily, go...

Purdue is not a top school? Since when...

You should always pick the school that "fits" you best. It seems like CGU fits you the best but also remember that this is an MFE degree. The biggest gauge of a GOOD MFE degree is it's placement numbers. Curriculum is very good and fit is very important but if you cannot get a job after it is...

If there is a Toronto meet-up I am going to come too.

There have been cases of students from MFE programs who graduated and started off at 150-180K with sign on bonus who had previous experience. Baruch MFE stats show that. I unfortunately do not know the individuals who got these salaries. I would assume if you're a quant developer such salaries...

Looks interesting. Most brokerage platforms have technical analysis built into them. What kind of neural network market prediction algorithm are you going to ad to yours? I have not seen too many things of that sort on platforms. Plus why only BAT exchange?

The banks usually treat everyone equally for internships. I am not an American citizen or have a greencard, nor do my friends in the program who will be working at other banks this summer. So I would not worry too much about it. It's usually the hedge funds and small firms where it is hard to...

The problem with this is not the one about actually making money and the regulations. The problem is raising $150M. How is someone to raise $150M. You better hope you either become the right hand man of Soros to get that kind of funding or spend the next 15 years as a Sales Trader or a Trader at...

It has been a little while since my last post. I have been very busy with interviews and the recruiting season. It has been quite a ride. I have interviewed with several firms as I had mentioned in my last post. I have narrowed down my offers to the firm I will be doing my internship at. It is a...

April 2nd! NYC drinks meet up

Preach !

@Cjs We have to push this a week further. I got emails from a few people and that weekend would not be ideal since it's midterm season for many MFE programs that week. So April 2nd.

I would say it should have... Name of Company - Division - level of Internship (analyst or associate) - City - and then rounds of interviews and some space for some comments possibly.

NYC drinks meet up - March 26th.

Good job at a decent bank over a mediocre job at a big name. Any day.

haha. This is great.

Hey @Cjs March 26th is the target date. Currently, figuring out a place that would be most convenient.

Wouldn't you know this better considering you applied to these schools after doing your own research about them?

Alright. So would people like this weekend or next? I say March 26th just because this saturday might be a bit too early for some people.

I know of one person who got an One person that I know of got an internship offer through here. So stay positive!

I will be moving to CT end of May so I am sure I will be looking for several opportunities to get back to the city. HaHa

t That is the potential plan depending on how many people come out. Having a monthly meet-up/drinks event in the city.

Well Dow dropped almost 300 points this morning.

This is all the interest? I figured everyone would jump on an event like this especially during internship/recruiting season.

It would be good to get some more information? Which school for PhD ...etc

Haha. So much for that...

Would NY and NY area MFE students and Quantnet members be interested in a meet up in the city to just hang out,talk shop and network? Post here if you would be interested in getting together for some drinks on the weekend (fri or sat). Does not have to be this weekend. We can probably figure out...

There are many trading firms where you don't have to put up any capital. $45K base and 40% of benefits is a pretty standard package with many firms.

I heard Citadel,CTC,etc are recruiting from UIUC MFE. Call and find out if this is true.

If you have a top school PhD just reach out to headhunters. They will get you something to match your skills.

Actually, I would rather not point on, considering he/she is going to be leaving soon for finance. Just in-case you do know him/her.

LoL -cough- nerd -cough-

Are you a post-doc at UM too? You're the second physics PhD post-doc with a quant investing blog from Michigan. I will read through your posts later.

I am surprised @Scooot hasn't posted. He is a professional poker player and was looking into algo poker playing.

American markets are up.

http://www.marketfolly.com/2011/03/forbes-billionaire-list-2011-top.html

What should I have for lunch?

Really interesting discussion. Turns out I will be in oil and gas in the summer and then onto IR or MBS desk in fall so I still have some time to learn more about each.

If person A flips 99 fair coins and obtains heads x times. Person B flips 100 fair coins and obtains heads y times. What is the probability that x < y?

I would like this too.

I recently had to make a a somewhat similar choice. I have chosen the big bank. If you want to discuss this more send me a message.

Students with no prior work experience just some minimal internships from undergrad have attained some great internships this semester in my program at Baruch which will most likely lead to full-time positions. Our program posts stats of students who got jobs and salaries with zero or close to...

You have to use a professional email. Use your university email.

Baruch would be a good place for you to build your quant skills. There is also a very strong Algo Trading and Market Microstructure course which will aide you significantly at your work place. You will be using C++, MATLAB, VBA, R in the program with a big emphasis on C++ and the algo trading...

I would second what Andy said.

I thought someone already posted this.

Yeah I saw the pic of you with Cliff Stein. You look like a fan-boy in it. Being taught by Derman must be pretty cool. I see some pics of Peter Carr in there too giving some presentation.

Really nice pics. I like the Columbia campus.

Baruch has a capstone project which is basically a research thesis. It is a requirement for graduation.

Both are good names. You should call and find out about their placements and just pick the place where you believe you have a better fit. I think in terms of prestige, both the schools are ivy league and have equal prestige on the street. Columbia will keep you in the city throughout the program...

I don't think programs sell their lectures. I have never heard of this atleast. You can find video lectures on iTunes University from several universities.

Summer Internship at a large european bank.

Know the bond mathematics well. Be ready to calculate or explain Duration, Convexity and shocks in yield curve and their effects well. Know some common Fixed income products like MBS,CDOs, Credit tranches, etc well.

You posted that 39 minutes ago though. Or you mean the articles you are referencing?

You think oil is going to hit 224?

M.Fin

Yeah. I am probably going to try and rotate through IR options and MBS desk. Thanks for the input. The MBS market seems to be picking up again though. Bunch of new deals came out recently.

A good work experience can offset bad GPA possibly, or a high GRE. Search the forums for choices on doing classes in India. I think there are some posts about it.

If you want to be on the analytical side come to the US and get an MFE at one of the schools with good placement records. You're from IIT so you should not have much problems with placement. Lots of IIT alumni on the street. IF you can get yourself a job in what you want to do already then...

Yes. I went through the same issue with my parents. My dad is a professor in fin accounting and he looked down upon course based degrees. MFE is a legitimate program DEPENDING on where you go. It is a cash cow for every university but some will actually give you a good return on the investment...

Sounds like a very interesting concept. Compiling everything into a book. I think it might be still too early at this moment. I still have a long way to go and a lot more to learn before I can gather enough information to put into a book. It is something that I have thought about before. My dad...

Search the forum. There has been lots of discussion about this.

Really? That's interesting. Is this one of the big jap banks? Can you mention the name?

Japanese banks are pretty good. I almost went to work for a japanese bank recently. Japanese banks are very interesting. Their working culture is unique and can be very good at the entry level. If you work for one of the big jap banks like (mitsubishi, sumitomo, nomura, etc) then you should be...

This is a good question. I will switch one of the interviewers for someone who has recently gone through an internship to get that perspective.

You're too kind Ken. I am only as good as the ones who guide me.

Hey guys... I got lots of good responses from one of my last posts... http://www.quantnet.com/quant-job-advice-from-wall-street-executives/ I have decided to do another one regarding Internships. I will interview two hiring managers from leading banks, one hedge fund hiring manager and two...

Nope. But it doesn't mean that you will get it either. Is this for the quant finance program at MS? If so, they take your answers and give it to the different desks that need quant interns and then the desk looks at your answers and resume and calls you for an interview.

Career tracker is a bit intense. I don't think it will work well although worth giving a shot. I think an internship application and interview tracker will be good.

Goto Journal of Finance website and use their template. It's the standard.

I am starting to run out of hair already.... :(

8530 . Got a good deal. It was my only choice since I am on Boost Mobile.

Just got myself a blackberry today. Pretty excited.

I don't know of Citi but BAML has a really good G-10 Rates desk.

Yeah. What asset class would you be working in?

What about what we had before?

This looks pretty good now. try to get some other color schemes going. I think a darker background will be good on the eyes.

This is great. An undergraduate at Two Sigma. I am sure this will give hope to several other students.

Can anyone with knowledge comment on this... What do you think the future is for MBS market? Would it be good to get into this side of the fixed-income? What do you think of Interest rate derivatives... Is there a huge market for it? How does the future look? Especially IR options. I am...

I can't tell you probability but I know they take LOTS of students. I think they have the largest class out of any program out there.

Dude, the actual thread. You changed the color on the outside. Change the actual forum to the color of the outside.

Can we please have a change to old color. This color is not gentle on the eyes.

Hmmm.. new quantnet?

Also... I don't really like the white background.

Can we have the category field ?

USC business school must have connections with the street. Their business school is well known for finance. See if you can get connected with some of the business school alumni rather than the math department. Also, please submit a review of the program. It will help future students out quite a...

haha. Figured he might just be a viewer now and not a poster.

... Wow this is an old group. Is the original poster still around ? If so, send me a message. I wanted to ask a few things about Blackrock FMG.

Great article and thread. I most likely will have to do this commute(Nyc-stamford) starting this summer.

DRW is a very strong firm. They are very picky and have a well structured internship program. It is a quant trading firm basically and very well known in the prop trading arena. They do a lot of high frequency trading. I personally would suggest DRW. FoF can be boring as you don't really do...

Here is another question from a S&T equity trading intern interview. What song would be on the soundtrack of your life?

I have heard of susquehanna's assistant trader program and it is quite strong. The down-side is that it is in Dublin, but SIG is the type of place were you can be for a long time if you're good. Citi quant trading is very strong so that would be a good area to get into also and it is a big bank...

I come from a Mech eng undergrad and am doing MFE right now.

Hahaa. Did you see that at Grand Central? I saw some people running around GC with signs saying that the world is coming to an end on May 21, 2011.

During the next full moon.

Yeah. Some news reported that Suez and Alexandria were affected. I heard Cairo and Alexandria are the only places affected. If Suez really was in that much trouble we would see a major spike.

Here is another interview from a S&T summer internship position at a BB How do you fit a giraffe into a fridge?

His firm didn't perform as well as others. I think they came in #44 based on returns for 2010.

The main reason price went up was speculation on the Suez canal potentially being closed as it is a huge choke point. I don't think it was actually closed. The riots are more than 200 miles away from the Canal. The oil that Egypt produces is basically all consumed by them. They will make sure...

haha $200 is a bit intense, but $100-125 is definitely possible depending on what happens.

You have always wanted to be a trader? lol How is that possible? Is this like a new generation thing? ... "I want to be a fireman!" ... "I want to be a doctor!"..."I want to be a trader..." Why do you want to be a trader?

Here is a question for a trader position. If you are in a line at the movies for 2 hours and someone cuts you off and comes in front of you. What do you do?

I wanted a Masters degree. I dont think the CQF would get me far at this time.

Ah. That's just the delivery period before expiry. Normally you can trade futures till expiry but with a lot of the commodities you cannot due to delivery and have to roll over or close before delivery period starts. I was just giving the example of right now basically. It's january and we are...

Can you trade February futures right now? No...

You want to forecast prices? Just start of by understanding inter market effects on oil. Also, remember how the delivery works for oil. It's January...but everyone is trading the March futures because february was already in delivery. You usually trade the month that is two months ahead due to...

What are you talking about? That is exactly what you do. You have to keep it simple. It's making things complicated is what is causing people to lose so much money. As the manager at the hedge fund I do work at always says... K.I.S.S. ;) ... ok maybe he doesnt say the last S.

That is not similar to the argument of why it USED to be an arb when Brent sold at a premium to WTI. Things like pipeline issues in Nigeria used to cause Brent to be priced at a premium to WTI. What you just stated is a supply constraint. That is not the same reasoning of WTI vs Brent. Brent...

Huh? How is something that is suppose to be cheaper by definition is priced higher not considered arbitrage? I guess we have seperate definitions of arbitrage. Guys, since there seems to be such a demand, I will make a Blog post some oil related information and lots of references. I will have...

Yes. I will post some references later tonight. I am preparing for an interview right now which I have in 1.5 hours.

Technically WTI should be priced higher than brent since WTI is lighter and sweeter and has a lower sulfur content than Brent. WTI is the standard for US refineries. Brent has been the standard for Europe and Russia and parts of Asia. This has been changing recently and Brent has become the...

Send me a PM and I will help you out.

Associate positions are basically for experience. If you have experience and a masters, that always helps. You can be an undergrad and work for few years and make it to associate and work up the ladder.

So much for that... Edit... for now... haha

Yeah. I want Jets to be in the superbowl. It will be absolutely insane in New York.

Some fun games today. ;) Any predictions?

I think it depends on what sort of positions. If you go for the big asset managers like Blackrock they basically have several departments like a bank and need all sorts of skill sets like developers, research, operations, etc etc. But the focus does seem to be more global macro then quant...

Yes. That is a requirement for research related positions.