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2/13/12

Andy, I want something a little bit broader than an MFE program. Hence why I am applying to MIT and Princeton but not CMU or Baruch. My interests are portfolio research and consulting, and Robert Merton's course on portfolio construction looks pretty interesting. I stated all of that in my...

Hmmm. Any correlation with experience here? I'm four years out of undergrad. VP at a bulge bracket in S&T.

Andy, in general, career services at Big Ten schools aren't very helpful. The student organizations usually organize the career fairs and the companies usually come. At Illinois, it's Engineering Council. This is what $5K/semester of tuition buys you.

Yes. But do you really want to work for a bulge bracket right now?? :-D

Both schools are pretty strong in Chicago, but Michigan's strong reputation extends to the NYC Banks, while Illinois' reputation extends to west coast tech firms and engineering firms. On the trading floor at a firm like Morgan Stanley or Citi, Illinois is simply a state school like SUNY. I...

I haven't heard anything either. The funniest part is that I got an interview at Princeton but not MIT. Given that these guys contact our group about opportunities for their more qualified candidates on a regular basis, I had figured they might be more interested. Ms. Strong seems like a...

1/17/12

12/1/11

Hi JohnJohn. IlliniProgrammer from the other forum here. Couple quick thoughts: -Nearly all MFEs/ serious MSFs require some programming background and at least a background in calculus-based probability, linear algebra, and diffyqs. As a math major, the calculus/probability/linear algebra...

Here's the way it typically works: Top 20 CS/Comp. E program -> At least a few years of grunt work as a quant developer -> trader. Also I've seen this: Top 20 CS/Comp. E program -> Google or Amazon -> architect for the algo traders-> trader The process is a lot longer than just the typical...

Looks like he's still looking for work and working on his blog- at least as of Jan: http://www.quantnet.com/forum/threads/is-law-school-a-losing-game.5326/#post-43950

Haha Andy. Thanks for the back-handed compliment. I'm pretty sure Andy got this impression when I suggested some relatively inexpensive dive bar for everyone on QuantNet to meet up at, ordered a Yuengling, got mildly annoyed when I found out they charged me $7 for it, and then took the PATH...

I think a $40K debt paydown is easily doable in two years; perhaps as little as 18 months if the markets are OK.

Hi Andy! Long time no speak. Euroazn was originally looking at potentially $50K/year in tuition and expenses over 4 years vs. about $20K at Maryland. That's a $120K difference- at 7% interest like some have been paying, the interest alone works out to $700/month. I'm a conservative guy, and...

Cornell AOR places pretty darned well, but Berkeley also has a great program which might wind up costing less. I think you can rule out BU and perhaps Imperial at this point if you want to work in New York.

Well, Egypt produces 900 kbpd and is an oil exporter. This is a little over 1% of world oil production. It's not a whole lot, but in an inelastic market, some variance from what's going on in Egypt is to be expected.

Many of the scary stories were from the early '90s or before. When I left, Roosevelt Road was the dividing line between safe neighborhoods and miles and miles of Gangland. Hyde Park was a relatively safe island. Today, I know there's a lot of safe places at least a mile or two south of there...

Sorry, I misread that. I was concerned that you were basically going to be staying in a hostel or something of the sort. Given that you have a kitchen and washroom, this sounds like a pretty good situation. I wouldn't quite call the north side Manhattan, but it has a bit of an Upper West Side...

Agreed. Most job requirements are pretty unrealistic. You want 5-7 years of Java experience from someone who is going to spend most of his day writing scripts and earning $70K/year in NYC? I want a pony. How old were you during the last recovery? I was a freshman in CS at the tail end of the...

So, uh, where is the washroom? Do you share one? Do you have to use a chamber pot? Bear in mind that you're within a mile or two of Cabrini Green which has been trying to move residents elsewhere; just make sure that the place seems above board. You may want to consider making your first lease...

Applied from NYC. GRE: 800Q/730V Academics: Top 10-20% GPA from top 5 Engineering program. Coursework up to Diffy'Qs and Probability-based Calculus Work Exp: Two years in Analytics.

Is it a flagship state school for engineering or a semi-flagship like UIC or UWM? Is it top 100 in US News? If either is true, stop calling it a "mediocre" state school. Heck, no state engineering program is really mediocre if you're covering Physics, Diffy'Qs, TAM, and everything else. I...

3/9/10

A lot of this has been going on for over a decade at most banks with Excel plug-ins and TIBCO. Glad to see MSFT is catching up with a vendor framework for distributed Excel computing so we don't have to waste time building proprietary frameworks, but one does have to ask, "What the heck took so...

Think Manhattan Paths. You should be pursuing both strategies right now. If you can't get into grad school but can get a job in pricing or as a junior quant, go for that. If you can get into grad school but have trouble getting a job, go for grad school. If your sole goal is to be a quant (and...

Depends on the firm. Most of the investment banks will hire you as a second-year analyst/employee with an MS, so you'd be looking at a 65K-75K 1st year salary + signing bonus + performance bonus. Harder to tell with trading firms. Some of the crazier ones will pay you $40K + % of net P&L...

Sounds similar to Lehman's old Fixed Income Analytics group that generated pricing, risk, and other analytics numbers. It requires a number of top-shelf financial programmers as well as quant developers and a few quants. When firms are in a cost-focused or an internal-control mood, this group...

Only a few people can get hired into Google or any firm because they're the best developers out there, and these people usually have degrees that say PhD, MS CS, or MIT and IIT on them. You need to avoid competing against on that basis. In fact, from one state-schooler to another, I'd advise you...

The only politically feasible solution would be to cut spending and raise taxes at the same time. Everyone knows we have a problem with the budget and conservative and liberal agendas will have to suffer at the same time. I also think it's difficult to just cut social security. Somehow...

My point is that it's still $900 Billion in spending that we could be using to pay down the deficit. Let's raise taxes without the extra spending. We've had 10 years of borrow and spend; we need 10 years of tax and save to make up for it. Enacting these tax hikes without the health coverage is...

I would be 100% in favor of an increase in tax on capital gains and interest if the money were used to pay down the debt. The people with the biggest exposure to a default by the feds or inflationary policies of the government are people with INVESTMENTS. They should be helping to protect the...

No, but if you're getting hired as a programmer, there's an expectation of a stronger skill-set with technology and algorithms to make up for an expectation of a weaker skill-set with some of the quant stuff. It's impossible for most banks to find enough people who are incredibly strong at both...

Good. Be advised wikipedia will not be available in most interviews. Any comments on memory usage? Worst-case sorting times? What happens if the numbers may be partially or fully sorted? Good. Now let's assume the link node class doesn't have a variable for a second link. How do you do it? Be...

Well, there is actually a proof using an adversary argument that demonstrates it's impossible to beat O(nlogn) time in a comparison sort. But let's say we're sorting something discrete, relatively compact, and manageable like 500 million out of 1 billion social security numbers (all integers)...

Don't forget memoization, Ford-Fulkerson, as well as the other NP-Completes like subset-sum, bin packing, AND-OR-3, Hamilton Paths. Know how to sort in O(n) time. Sample questions: (Sorting/Data Structures) Let's say I have 500 million unsorted social security numbers (each number has nine...

BP's trading operations are based in the middle of the country (Chicago and Houston) What does that mean for you? DON'T BE ARROGANT. MIDWESTERNERS HATE ARROGANCE, ESPECIALLY WHEN IT COMES FROM PEOPLE OUT OF NEW YORK/NEW JERSEY. Talk about how you bring something unique to the table, but...

It means you've probably just become a competitive candidate for a quant position at Goldman. Congrats- that's quite an honor. I hear (second-hand) that most people who make it to quant interviews at GS either have a lot of prior industry experience or have PhDs in Math or Physics and are...

Those who can't teach, preach. CC: Televangelists.

Let us know how it went.

I was referring to the second tool you'll need to find the parameters that maximize the multivariable function "F" (this is non-trivial- it's not like looking at a function of a single variable and identifying the absolute max by observation), and my point is that it's probably feasible to...

Pay close attention to the interviews- figure out if they're passionate about what they do. Focus on data structures and algorithms. If you can get that down, you've got the core competencies required for a strong developer.

Overall, Illinois has an extremely strong engineering college. In finance, it's considered a strong state school but not a top-tier "target" school for recruiting at investment banks. It's a new program, but UIUC would probably be my next choice if I didn't get into a top-10 or target program...

Based on what you're saying, I believe that finding a guaranteed absolute maximum for this optimization problem is actually NP-Hard as there could potentially be O(2^n) local maxima and no way to be sure which local maxima is going to be highest or whether it will be higher than all the edges...

It's reasonable to expect you've got a good chance at a job at BP in their supply and trading group; it's less reasonable to say you'll wind up as a trader by the wall street definition. European oil companies like Shell and BP and investment banks have the same overall philosophy in the oil...

Probably at least double your current salary offer in terms of total comp. Maybe not as good as the Goldmans or Rennaisances, but still pretty respectable- and remember that you'll be paying $4.50 for beer in Chicago rather than $7 in NYC. You'll also be working 10-20 fewer hours a week than...

You realize that you can make $10.50/hour as a PhD student, right? Now that I think about it, given the requirements and the pay, there are plenty of alternatives to this that will mean a less painful existence, such as joining the Marines or the IDF, working in food service, or even getting a...

What do your other prospects look like? Can you land a job somewhere else that pays more than $14/hour? That should be pretty easy to do if you've got a master's.

Not if they're trying to be competitive with the typical NYC investment bank's analyst program. $50K-$70K + benefits is a pretty reasonable number for the first year for someone straight out of undergrad working 70 hours/week. Tack on $10K if you come in with an applicable MS. Naturally, I can't...

Gotta have money and a bit of a reputation. After you save up a few hundred grand and are friends with enough investors, you can start up a hedge fund if you focus on trading. Other start-up opps include starting up an analytics service or consulting business.

IIT has a very strong reputation in Chicago. Outside of Chicago, people believe that IIT is some knock-off designed to sound like the Indian IIT. (Sort of like "The Chicago Medical School" in North Chicago). It depends on where you want to work and what you want to do. Within the city of...

Princeton ORFE is designed for operations research. Best if you want to do a PhD (assuming you applied for a research degree) or if you want to work for Union Pacific, Trans Canada, or BP. Columbia and Cornell are both excellent programs- when I was a summer intern, my roommate was an FE...

I would recommend retaking the GREs. If you can get your Verbal above 650, you'd be a very competitive candidate- at least by the numbers- for many top ten programs. This is assuming: -Your GPA puts you at least two standard deviations above average in the Comp. E program. -The strong recs are...

One other option is to get hired by a British bank or international bank with a large London presence and transfer to London. Several of my friends were hired out of US schools to work in New York and transferred to our London office after a year or two. This is the 21st century. Your first...

Financial Engineers typically sit on the trading floor and help traders develop strategies or price instruments. Risk Managers help understand the firm's exposure to different risks in the market. Higher level risk managers sometimes tell traders that they have to reduce exposure to certain...

A lot of the prop shops and hedge funds won't interview you until you have some industry experience. Might be good to work in analytics or algorithmic trading for a couple years first if you can't get an interview right now.

Be ready for some stats and probability questions, I'm guessing, as well as discuss everything on your resume in detail.

US News also ranked the undergrad programs when I first entered- at least the top five. One other good measure of the competitiveness at the undergrad level is average ACT/SAT score if your school breaks down the numbers by undergrad major. If your program's average ACT score is a 32 or...

IMHO, it's in the same league as Illinois, but take a look at US News and World reports. If your program ranks in the top 5 or maybe 10, you're probably in one of the most competitive programs. Knowing Michigan, I'm willing to bet that's probably the case for you.

I would say that the top 70% of students in the top ten programs all have Quant GREs of 790 or above. GPAs are harder to quantify; I would say that 70% might be above 3.5, but this is all very relative. Many state school engineering programs shoot for a C+/B- average while many private school...

If you sign up for the Level 1 CFA right now and say that you're studying Finance for the June exam and Baruch does conditional admissions, they may admit you on the condition that you pass the CFA. Getting into a financial engineering program without a little financial background or...

http://www.princeton.edu/bcf/graduate/placement/ Last year, I think the proportion of students going into academia was higher, but the point is that if you really want to go get an Econ or Finance PhD but have an engineering background, this is one way to make the transition.

I agree with the sentiment about having to compete with the Ivy Leaguers on Wall Street, but my perspective is that they're a lot easier to compete against than engineers at a decent engineering school or even actuarial science majors. Most Physics PhDs who wind up on the Street are there...

Many MFEs/MFMs do continue into PhDs- Chicago and Princeton are two good examples of schools that send about 1/4 of their class into academia afterwards. Naturally, a 6-year PhD will be able to easily cover everything a 1-2 year MS can cover- and a whole lot more. If you want to start a hedge...

What happens if the AG is in the same party as the Governor? What happens if the head of the EPA was formerly the CEO of a coal company? (Also, I believe the wetlands get preserved by the DNR and National Park Service). More than anything else, voters need information. We can only help the...

I'm not sure if these regulations are that awful of an idea. Obviously, the CFO of JP Morgan shouldn't be showing up with 30 armored cars and having the firm wager $5 Billion on red at the Golden Nugget in Vegas if that money is insured by the FDIC- or at least promised to be safe to...

But, again, journalism provides a lot of positive externalities for society as a whole. They are the police when it comes to politicians, or people who preserve wetlands when it comes to the environment. When a journalist reports that a politician is taking kickbacks or abusing a domestic...

I would also throw in that for some interviews it could be helpful to know some of the generic implementation details in the abstract common across all systems for some development interviews. (IE: Indices, stored procs). In a more development-specific interview, a question may come up like...

This gets back to my view that we need to subsidize investigative journalism. Every year, each taxpayer in the state of New Jersey should get $25 to allocate to newspapers however they'd like. This money could then be used to fund investigative journalism. If any state needs more journalists...

I heard they have an O/R as well as a Finance program at Stonybrook. Something like 1/4 of my coworkers in Analytics have degrees from Stonybrook; that said, most of them are in Computer Science or Computer Engineering. I don't know a lot of the specifics about SUNY's OR/FE program, but...

Finance is still sort of generic, so I assume you're referring to anything under the umbrella of trading, investment banking (M&A, IPOs, Origination), research, or investment management. You don't know exactly what you want to do yet- you just know that you want to do something that involves...

They certainly need the money, and at the end of the day, good journalism isn't cheap. I'd rather see a public-funded open-source model for journalism, but our politicians are only as honest as the journalists keep them, and this is one way to help pay their salaries.

You say that right now. After 2.5 years of 70 hours/week, academia looks a lot more tempting than it used to. Assistant Econ Prof salaries start either in or very close to the six figures, and there's no postdoc or other work required after you get a PhD- you go straight into teaching. I'm...

A lot of the schools you mentioned- like NYU and Michigan- have extremely strong regional reputations that make them competitive with- or sometimes even superior to- schools in the Top Five. When I was in Chicago three years ago, a guy from Michigan would usually beat out a guy from Princeton...

Considered an Econ PhD? You certainly have the background for it. Once you get into a top ten program, it's a pretty easy route to becoming a Quant (much easier than the Math PhD route), and you've always got a huge demand for professors in academia as a backup (unlike with Math or Physics).

All I know is that our CIO hates them and it is my understanding that the guys across the street (Morgan Stanley) hate them, too. My friends at Markit say it is also being phased out there. Bottom line: Sybase sees its customers as a cash cow, and the customers are tired of getting milked.

Sybase definitely seems like it's on its way out, right now. I work for a UK-based universal Bank whose investment banking headquarter's is in New York, and we're in the process of phasing out Sybase in favor of Oracle, along with a number of other investment banks. We also employ some XML...

Yes, it's a good program. And I'll be the first to say that most state schools are underrated. *Cough, Illinois Engineering too, cough* But since you guys do so well with recruiting, you needn't go out of your way to promote the program; it speaks for itself. When I speak with a programmer...

That's fine; as long as you're good with pseudocode for imperative programming and know some of the semantics (implementation details), you're ok. This is a strong statement to make in an interview, because they will follow it up with a question that involves using the master theorem to solve-...

I don't think you did THAT badly. You corrected yourself before the interviewer told you you were wrong; in a researcher's, quant's, or financial programmer's book, that's still pretty acceptable. For a trader, it might not be. You don't have to be perfect, but you do have to be comfortable with...

First off, setting a whole bunch of requirements for a certain position may be painting with a bit of a broad brush. Quant development interviews usually don't get that complicated- at least the ones I've heard of- and I work with a number of quant developers at a major investment bank...

Here is one path that I see play out every once in a while: BEng-> Financial Programmer -> Specialized/Quant Programmer -> Algorithmic Trader As we've seen, quant programming sometimes requires a certain degree of trust. There's a certain level of comfort with hiring someone in who has a...

I believe Oxford is considered more selective than LSE, but the NYC investment bank I worked for when I started off as an analyst hired from both schools. Do you know which school has a bigger class size? We hired roughly as many from both schools, so if Oxford has a smaller program, your odds...

Rutgers is a respectable school, IMHO. Maybe state schoolers would do better on the street if we stopped sniping at each other's schools quite as much. There are fewer state schoolers on our trading floor than there are UPenn graduates, and all of our experiences were more similar to each...

You must shop at Sym's. (Sorry, couldn't resist) If I were shelling out $40K/year in tuition, I would want to know that I'm getting something with a lot of fundamental value. In suits, a designer name suit is nice, but I really want something with good fabric that's going to last for 150+...

Just some humble advice from your friendly IT peasant: -Grad school is a little different from college. In college, most of my second and third-best choices were to still go to school because the NPV was higher to me than working as a lifeguard for $7.50/hour. Most would agree that going to...

1/4/10

Oh, the naive cynicism! My Mom was a regional manager in pharmaceutical sales and set several records for increasing prescription medicine sales for a major pharmaceutical firm back in the early '80s. If you work in sales or take care of clients, the #1 rule for creating long-term value is...

I think the most recent instance of this was the recruiting director for MIT. I believe she was fired (rightfully so). My advice is that it's better in the long run- over the course of five years- to be honest. That doesn't mean you need to volunteer harmful information, but it does mean that...

You'd definitely be a good fit as a financial developer, too. I work at a major investment bank that's probably across the street from your wife if she works in mid-town, and my team is trying to find a C++ developer to help us work on Credit Derivatives and Corporate Bonds. Send me a PM if you...

Not sure the US Army promotes this kind of behavior these days. Not sure if anyone does. In technology, honesty-with a pleasant spin on it- is usually the best policy. If there's a bug in the system, the worst thing to do is to hide it. When you need to say something inconvenient, either make...

Probably a 740 or 750. I think the GRE publishes an equivalency calculator somewhere. It can, assuming you need references from econ and finance professors and/or research experience. Just keep plugging away and working hard. Bear in mind that if you really want a PhD, you can always get one...

My view is that honesty is always the best policy, but we also need to remember that a resume is a marketing document- not a factual, unbiased assessment. It's all right to emphasize the positive parts of your background, gloss over the negatives, and both generalize and be specific when it...

Your math is actually pretty in line with an engineering student's. Finance is a less quantitative major overall, but you don't need to worry about scrutiny on your math curriculum. Finance PhDs are extremely difficult to get into; they accept 2-3 students per year at most schools. Your GMAT...

It really, really depends. One of my coworkers who was in my analyst class works 50 hours a week helping clients model portfolios at the firm. He's not rolling in cash (he's richer than most 24-year-old New Yorkers), but he has a very nice life. Another friend who's twenty-four makes close to...

COBOL0x, anyone? C++ in Finance=Latin=Mortua Lingua. Ok, that's a bit too strong of a statement, but every indication I've seen is that C++ is on its way out in finance. Our firm is moving to replace C++ systems with JNI stuff. You get easier and better architecture, cross-platform...

In a perfectly efficient economy, further financial innovation doesn't buy you anything besides maybe a shift towards more risk and more reward. In a barter economy, the "financial innovation" from developing a currency buys you a lot. My view is that there is sort of this production...

No rigorous engineering program will "hurt" your chances. Many financial engineers did engineering in their undergrad, and at some of the best schools, engineering is considered a stronger major than math. Some might say that Industrial Engineering and General Engineering are slightly less...

Computer Engineering can sometimes involve more probability and stats than Computer Science depending (but usually not if the CS degree is offered through the College of Engineering). One of the advantages of Computer Science is that it typically covers algorithms and theory in much more detail...

I'm inclined to believe Watanabe on this. Typically, large casinos in Vegas will negotiate a discount on money lost with high-rollers- it's generally pretty customary. In any case, this doesn't look like a criminal matter at all. Given the facts I currently have and not giving people the...

It's interesting you should say that, because that's less the case today than it was a few years ago. You see C# and Java native interfaces (sometimes written in C#) used more and more. C++ is a higher-risk, higher-maintenance language. You don't use it unless you have the following two...

Because somebody is probably a student at or graduate of Princeton. Actually, I think Illinois clearly has the best financial engineering program. :D

I just spoke with one of my coworkers who said that Fudan's international reputation is on par with an upper-tier flagship state school in the US. If a 2.9 GPA means the same thing at Fudan as it means at the University of Michigan, ZCY is up against some pretty tough odds as it stands. I'm not...

The 2.9 GPA doesn't look so hot compared to how American schools handle things. Can you do anything to de-emphasize this like just giving your class rank? Also, you need to get your Verbal up to at least a 550-600. The Quant score is helpful, but you're competing against students with...

All right. I'll be showing up around 6:45. I have red hair and am wearing a sky blue shirt and a dark blue tie. I will probably be in the back. I may be with a south Indian lady from work with long dark hair wearing a tan brown-striped jacket. Please send me or Andy a PM if you plan on coming.

And my point is that these kinds of skills tend to favor a different personality than what most engineers have. Most engineers don't like making clear-cut decisions- they like building stuff and working around complexity. And whether it makes sense or not, financial engineers are less likely to...

They're not mutually exclusive, but at least from what I've seen, most quants are so strong in their analytical skills that their analytical skills tend to outweigh their management skills. You do see some quants as managers (in fact, some managers need to be quants), but on the trading floor...

I have not heard back from Patrick about the exact location of the bar. It sounds like we'll probably have something on the order of 5-10 people coming, including potentially a few college students, so the weighting seems to be more towards less expensive than easier to talk across a big table...

I would imagine that some of the successful ones go on to co-found hedge funds often with a trader or investment manager. Others will start analytics or consulting businesses. The thing is that when you get to something as complicated and valuable as financial modeling, career progress starts...

Again, I wish your risk manager the best of luck at that when the equities markets are moving 7% in a day and you're seeing 200 basis point swings in credit spreads. If it wasn't for TARP, Goldman would have run out liquidity in the second or third day of the October panic if it wouldn't have...

My view is that there's generally no net positive value in helping to build houses that nobody will live in if the materials and labor carry a significant cost. Whenever you get into any market, you need to bring a careful eye to the fundamentals and understand exactly how value is getting...

That's true- you typically get right of offset, but at the same time, your individual exposure to each counterparty is going to look in the aggregate like the inverse of their market view. When the markets become very correlated as they did in September, all of your counterparties that were...

It's hardly a bold statement. Goldman Sachs's biggest counterparty exposure, like every investment banks', comes from its market-making business. Unless it will have a credit balance with all of its counterparties in the event of a market capitulation that forces more than half the banks into...

Patrick, Can you give us the exact name of the bar and its address? We probably need to get the address out by tomorrow night.

I would agree for the most part, but it seemed like more of a domino effect. The weekend Lehman went bankrupt, it looked like Morgan Stanley and Merrill would be next, then Citigroup, then B of A, Goldman Sachs, and the rest of the financial sector except Northern Trust, US Bank, and Bank of...

Obviously the real problem is that many Evangelical Christians would have trouble going to the UAE. ;)

Can we move the time back to, say, 6 PM or better yet, 6:30? I work in midtown where a lot of the banks are, and if anyone else works up there, it will be difficult to get there on time unless we can teleport from work at 5 PM.

You can always do a double-major. I went to school at UIUC which ranks in the top five for CS and top 15-20 for Math, and we offered a Math/CS (Liberal Arts) Major. Some students also chose to double major in CS (Engineering) and Math. CS (Engineering) at a typical research university will...

Look, we're engineers who call it as we see it. UPenn has great programs and a great name for finance, but brand becomes less important and academic rigor and research becomes more important as you move into the technical disciplines- engineering and the hard sciences. Smaller schools like UPenn...

Typically you have to sign a contract on receipt of the money stating that you understand this is a loan that is to be forgiven after a certain period of time. In other words, this money is like a loan from the credit card company and payable back to the firm if you leave. Typically, the loan...

In other news, the house bill raised $20 million from hedge funds buying Bermudan real estate. Illinois tried to do this a few years ago and the CME managed to stop it. If the feds do this, the exchanges will be the first to leave and the hedge funds will be the second. At the very least...

4.) Looking at economic history and looking for periods with similar situations to do a sanity check on the numbers from the previous three methods.

Wish I had the power to help you, but I can say that one or two of these positions open every year at practically every firm on the street. They're usually a little harder to fill than other positions by virtue of the fact that they're not as sexy. If this is a spot that you want to wind up...

I'm in the same boat- just in a professional context with my manager. From what I've read, most MBA programs understand stuff like this, and I'd like to think a lot of financial engineering programs understand it as well. My manager is a brilliant technologist, but he doesn't show his cards...

There's plenty of front-officey roles for 40-50 hour/week quants, but they're not going to be on the trading floor. Most of them will be in research or institutional consulting. For example, institutions will come and ask the bank lots of what-if questions about their portfolios, and most banks...

It can be loud sometimes, but they're not playing loud music like most places do. You can carry on conversations in small groups, but you'd have to shout across a table larger than three or four. Maybe the Campbell Apartment at Grand Central would be better? That's generally a pretty quiet...

One quick thought is to simply go back to the supply and demand curves. If you can predict the inelasticity of the supply and demand of a certain stock, you've got the first order taylor approximation of its new equilibrium price after a certain point. The tricky part is that markets tend to...

"Big city living" is nice if you have the $20K/month it takes to pay the rent on an UWS penthouse with a park view like you see in the movies. In reality, city life is difficult if you are trying to live on less than $100K/year net-of-tax.

I'd be willing to buy you your first drink, but I can't come up with the remaining $14-15 for you. I take it you're at the New Brunswick Campus? If you're in Newark, there's always the PATH train.

Anyone interested in having a meetup for everyone on the forums in NYC? My coworkers and I tend to like Emmett O'Lunney's Irish Pub (Formerly Harmony View) in midtown- 50th Street between Broadway and 8th. It has a nice atmosphere more conducive to talking and the drinks are good and...

My understanding is that the NYC campus mostly has lectures piped in remotely. NYC is a pretty obvious choice if you're already working in NYC and want to go to CMU part-time. Otherwise, Pittsburgh isn't a bad deal for a full-time student. There's the lower cost of living and the fact that...

And also cause panic. They have a revolution practically every 30-40 years. They actually came very close back in 1968. If anything, the French know how to deal with econopolitical uncertainty.

Congrats. Definitely the safer choice and (IMHO) probably the wiser one. You and Ryan should be on the lookout from each other when you get there. It's interesting to see how things work in both fixed income and equities.

Where I worked previously (a big firm that disappeared and is no longer relevant), we would only hire in the penultimate year, but that could include grad school. So if you're going for a one-year MS, a lot of firms will look at you for Summer 2010.

It's not just an uncle thing. It's possible to get hired on competence by people who don't know you if you went to the right school. Being from Illinois as a programmer helped me get hired into IT, even though most of the recruiters were from east-coast schools. I definitely had to demonstrate...

Two things to note on both points: 1.) Many public school programs are extremely underrated- particularly in the engineering disciplines. Baruch is probably painfully aware of this and the rankings are one way of trying to get folks to focus on the educational strengths and weaknesses of...

^ | Spends less than $30K/year in NYC (OK, Jersey City) (post-tax dollars).

I think it's good to be asking these questions, and while money shouldn't be the only consideration, it's perfectly fine for it to be a primary consideration among other primary things (like hours worked/lifestyle- something that gets overlooked by college students.) My advice to Ryan would...

Total compensation or salary? There's often a significant gap. Absolutely. After about two years, you will start getting random calls from headhunters finding ways to poke fun at your current situation and offering you work at a hedge fund. A lot of the time, though, these will be pure tech...

I believe that Basic Java also comes along with an understanding of data structures and certain aspects of architecture that every competent programmer should know. If you can't answer basic questions about data structures (IE: explain why some developers think java.util.ArrayList is a bad idea)...

Certainly not for qualified financial developers. We've interviewed twenty people in the past week and almost all of them either lack a basic understanding of Java and C++ or fixed income products. You need to have both to work on our system, and many of our guys are getting picked off to work...

Oh, the naivete! In the real world, this is almost as optimistic as saying, "If you work hard and play by the rules, things will work out well for you!"

Most people in the real world specialize in two or three things, sometimes with one more than the other. My specialties are "programmer" first and "financial products analyst" second. On the island, you can agree to teach Frank the Fire guy to fish if he agrees to teach you how to build a...

I think that once you get just a little past the quantitative power it takes to be a decent engineer (in any discipline) you're into the realm of relative strengths within the quantitative areas. There are people who are good at discovering patterns. There are others who are quick learners...

I normally don't comment on compensation, but I just have to say that this is incorrect. I'd like to share a few thoughts on this without going into details on any numbers at investment banks: -If you are hired into a product-specific technology group, many of these groups used to be part...

So the question is, do you like where your career has taken you so far? If the answer is yes, you don't need a financial mathematics degree. If you have the technical skills, there is often a natural progression into quantitative work, and you can get those technical skills as a part-time...

Most engineering disciplines are called engineering because they are the application of science or another discipline to industry. Computer Science has "science" in the name, but it is often considered an engineering discipline as the application of math and logic to industry. Mech. E is the...

Interesting. Did they say whether you'll be working with correlation products or more exotic derivatives or just the flow stuff? For at least the past three or four years, correlation has tended to be a little more front-office than the flow derivatives, but that equilibrium might get...

You guys are possibly competing for the same spots. I'm sure NeedOPT is a helpful guy, but I'm not sure he's THAT HELPFUL.

That's really interesting. This is ALL done in Perl? This sounds like more than just a risk accounting system. Edit: I would also add that 2 AM pages aren't fun at all, especially if you're expected to show up to work at 9 AM the next day. If you decide this is the best offer (again, after...

Scripting languages are very useful, but my experience is that they're not really designed for enterprise systems and hence don't always handle the mission-critical production financial logic. This is highlighted by the lack of ability to precompile (except in Python) and the lack of standard...

You see that, but a lot of the banks, including the one I work at, don't always have business analysts. Many of the programmers are C++, Java, and Perl developers, production services people, and Business Analysts all rolled up into one that center on one, two, or three different systems along...

All other things being equal right now, if someone has on their resume that they spent the previous two years at BlackRock, that looks better than saying they spent the previous two years at Credit Suisse. That said, the C# job seems more interesting to me. I'd much rather be working on Excel...

I'm pretty sure it happened in a number of places last year. Many of those bankers were grateful simply to hang onto their jobs.

I've met a number of smart engineers from Stevens (they have a strong nautical engineering program, IIRC), but I haven't met many MFE grads from Stevens at the banks. One would think that your average Stevens grad would get a job in risk management or finance pretty easy, but my very limited...

Agreed, but I'd also note that friends can't change the fact that you need to be at a certain level of technical and professional competence to meet the prereqs for a job. At least that's the way it works in technology. I've met people who weren't technically competent with a BE in Comp. E., but...

One of my coworkers owns a few Subway franchises, but it's often difficult to conduct outside work if you work for a regulated entity- everything has to be signed off by Compliance, and things get pretty iffy if you want to do anything on the side that involves the financial markets.

A number of firms put their recently graduated financial and quantitative developers into their Financial Markets analyst program. Other firms put their financial developers into IT. Without commenting on the number you're using, I think your bonus is really going to depend on a lot of...

I would also chime in that if they're looking for a developer who specifically knows perl well, this job may not involve a lot of financial work. Be sure to ask exactly what you'll be doing. If you are interested in financial/quantitative development, I would recommend steering towards the...

1.) Higher Verbal score. Aim for a 600. 2.) If you grew up in India, your schooling may have been conducted entirely in English like some of my friends, but if it wasn't, you'll need to make sure you can clearly and effectively communicate in the interview. 3.) Explain what "Engineering...

Typically, perl isn't used for finance-specific work- at least where I work. Most of it is just infrastructure and occasionally data manipulation stuff. It's a simple scripting language- if you understand other imperative programming languages, it should be easy to pick up most of it except...

It's certainly not required, but I wouldn't say it's discouraged, and a PhD from a really strong school can sometimes make you more competitive for a very quantitative role. Most PhDs at Investment Banks will tell you that it's not worth six years of your life to get a PhD if you want to be...

Exactly. That's the strategy I would follow if I had to do everything over again. Also, remember to make friends with some math, engineering, and econ profs. You will need three letters of reference to get into grad school, preferably at least one from a math or stats prof if you're coming...

You don't have to, but it can be helpful. Something like 1/4 of the engineers who want to be in sales and trading wind up in sales and trading upon graduation. Something like 2/3 of the financial engineering master's students who want to go into a quant role at a trading desk wind up getting...

Make sure you take a lot of econ, accy, and finance courses. A double major in Econ would be helpful and also set you up extremely well for grad school if you can get strong recs and good grades at the same time. GS is difficult to get into- particularly because it has a lot of target schools...

Agreed- pride tends to come before the fall. We should rename you "Daedalus".

MFE and/or MSCF. Thanks for the heads-up. Any word on whether programmers get quizzed on algorithms and/or programming languages? I'm especially concerned about what might happen if I go into a CMU interview.

The standard salary for a first year analyst is $65K + $10K signing bonus at a bulge bracket in New York plus some sort of bonus in June-August of the following year. With a master's degree, you would typically accrue one year of experience and earn $70-$75K. Bear in mind that $65K/year...

A number of grad schools require an interview before they make an admissions decision, and I wanted to hit the ground running to prepare for them if necessary. Has anyone had any experience with them? Are these hard, technical interviews with a whiteboard and marker or are they more about...

Looks like you're in better math shape than we thought. The GRE subject test is helpful, but only submit it if you score a 700 or higher.

-Good grade in a quantitative major: Check -Strong letters of reference from econ: Check -Probability/Stats and Calculus: Check -GRE Quant score: Check -GRE Verbal: Aim for a 600+. -Strong letter of reference from your quantitative degree (CS) and/or work: ??? A top ten school in India is...

Scary, scary, scary! Does anyone know how quickly Chinese students are expected to solve the geometry problem? I can do it, but it will take me a good couple of hours.

My impression is that it's not that big of a deal. In fact, one of those high-speed coders spent a few days upgrading an application I work on and then threw our production environment through a loop. This had to be cleared up by one of our first-years. These guys are smart and specialized, but...

Anyone who has first-hand information on this probably shouldn't have that if they're not a quant developer and they're probably also bound by their NDAs not to hand that out too freely. Then again, you can probably also look this stuff up on salary websites. Just keep in mind that salary and...

In IT, the term is typically 12-18 months before the company breaks even on you. Go work for a nonprofit. Actually, most of them can't even get work visas right now.

I'm a financial programmer. I sometimes work with some of the quant developers, but I'm not a quant developer myself. You basically find quant developers wherever you find quants and lots of data to process, and the job is going to look and feel different depending on the desk/group you...

So you paid all of the money back to your school's alumni who helped reduce your tuition bill with their generous donations? Again, unless you went to a for-profit institution, this is like someone who lives in subsidized housing claiming they paid full rent.

Regardless, educational institutions are treated by the IRS as 501(c)3s. From the federal government's perspective- and again, we're arguing about the perspective the federal government should take- there is little difference between Harvard and Save the Children. But you didn't pay for all of...

Typically, the three main schools that make it into NYC investment banks are Cambridge, Oxford, and the LSB. I highly respect Manchester and have a lot of friends who graduated from there, but it is not as well-represented here in New York. Manchester's international reputation in engineering...

Sounds more like a technology interview than a markets interview. Was this for a quant position?

Agreed. At UIUC, about 1/2-2/3 of the engineering grad students were foreigners; about half the undergrads were foreigners as well. I think they added a lot to the program, and it would be nice if we could have them add to our country when they graduate. At the very least, if you get a...

For someone with six years of experience, this seems like a natural choice. Carnegie-Mellon has an excellent MBA program, and they allow you to pick up an MSCF at the same time. This would seem like a really good transition from technology to business, IMHO. A typical bulge-bracket investment...

Yes, but our country essentially has a huge share of this oligopolistic market, and education is generally considered a non-profit enterprise. Why not ensure that students who benefit from our country's charitable institutions stay here a while and give back to the country for a few years...

My view is that if you get an engineering, science, or math graduate degree from a US school, you should be REQUIRED to stay and work here for a certain period of time as I think IIT was attempting to do in India. Recommended Reading.

Agreed. If you graduated with an engineering degree, you have no excuse for getting less than a 790 on the quant section. Buy some study books or take a GRE course and know the questions like the back of your hand. An engineering major should be able to get a 790.

What's your point and why is this unnatural or a problem for society? It's human nature, a product of evolution, and successful people need to learn to work around it rather than gripe about the things they can't change. (CC: the process that made you successful.) The best way to work around...

And my whole point is that when society stops believing a certain system is good, they switch to a different system. CC: Russia, 1991. CC: Russia, 1917. CC: Europe and Japan, 1960s. Nobody here is judging anything by anything. What people fail to understand is that the average voter doesn't...

Not really. GS doesn't want the country to be socialist, but they are making the process go faster. GS is increasing class envy and making the rest of the country want to take us socialist. IMHO, if a country goes socialist, it's not the fault of the stupid politicians or middle class; it's the...

If the last year has shown us anything, the only difference between the financial workers and "the little people" is luck and maybe a little preparation. Let's not be so disparaging. It's absolutely true that too much regulation will scare hedge funds overseas, but would you feel comfortable...

Of course I can, because the average compensation of the top 20K Pfizer employees is below $700K, but we know the average compensation of the top 20K GS employees is above $700K. The question isn't whether it's deserved- the question is whether the public thinks they deserve it. Goldman's...

Agreed. Finance PhDs basically get a guaranteed ticket into academia (hundreds of finance and MBA programs throughout the country; only 1-2 finance PhD grads from each school every year.) Average salary for an assistant finance professor is also one of the highest starting salaries for profs...

Ok, he's suffered enough. Time to let it go.

It's my understanding that only something like 100 Finance PhDs get created every year outside of maybe a few programs, and something like 80-90 of them will go into academia for an easy life of teaching MBA classes and doing research 30-40 hours/week and collecting a solid, six-figure paycheck...

Most schools say that they value work experience, but your MBA also makes you a little less of a typical candidate. I would recommend being very specific about why you need this degree and what you will do with it and the rest of your background when you graduate. If you graduated from a top...

I think Georgia Tech has a lot of advantages in that case. If I had the choice between hiring two identical technology candidates from Georgia Tech and Columbia, all other things being equal (including the travel involved, so this is pretty hypothetical), I would lean towards the guy from...

What's the tuition and where do you want to work when you graduate? If you want to work in NYC and your borrowing costs are relatively low, I'd lean towards Columbia. If you want to work in the Southeast and your borrowing costs are higher, Ga Tech isn't a bad choice- especially if you want...

I think it will probably be helpful- not unlike doing a certificate program in finance at a respectable school, but it's simply the icing on the cake. I think you need to have a strong core application that centers on academics if you're less than a year or two out of school, work experience if...

That's awfully cynical. My view is that a certain amount of stretching the truth and maybe even a little letting people get misled is par for the course in the financial services world. (I would note that there are very few 3 or 4-digit GPAs that end with the numbers 5-9 on resumes, and then...

This proof is actually Aquinas's first-cause argument; it's been around since the middle ages. One interesting thing to note is that we do not live in a causal universe. However, you can extend a corrolary of Aquinas's first cause argument to a first number/first order argument. Pi= 3.14159...

All of them were arrested for breaking other laws that exist in China regardless of religious affiliation. Luckily for the FLDS, however, statutory rape does not carry the death sentence like it does in China. If anything, these groups' religious status made the country take a lot more care in...