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This is not true. Doctors (and dentists) are guaranteed 6 figure salaries and there is a shortage of Drs in this country. I don't know if Actuaries are in the same boat. There are some other mechanisms that control the market for those professions.

RTFM That's the only thing I can tell (plus your buddy google)

I don't want to burst your dreams but HTML/CSS is hardly programming.

Josephine, I don't see a single probabilities or differential equations course in that list. You better take some of those.

from "Coders at Work" (http://www.amazon.com/Coders-at-Work-Peter-Seibel/dp/1430219483/ref=sr_1_1?ie=UTF8&s=books&qid=1260852006&sr=8-1) Read more from this link http://www.gigamonkeys.com/blog/2009/10/16/coders-c++.html

GPUs are being used heavily in general computing now, mostly in fields where matrix operations are involved. Look at the NVIDIA site. About .Net, I don't know much. However, last time I checked, the .Net framework only allow 25 native threads with the implementation that comes with their...

The impressive part is the way to translate Matlab to CUDA code, not the performance of the GPU. We already use GPUs for calculations but we write low level CUDA code.

This looks impressive. The main question is, how much is it?

This is misleading. One real problem with Matlab is that it is a proprietary product. It means that it will be as fast as the optimization used by the company who sells it. Since R is open source, you can compile it using any compiler, library and any level of optimization. We found that...

Any flavor of Linux 64 Bits. an Intel Nehalem processor (multiples are probably better). A lot of Ram (8 GB are inexpensive now) and a nice Tesla C2070 GPU computing for extra performance

Speed in one thing but that it's not necessary the main reason. Luck is something else since a lot of the systems has been developed in C++ so there is expertise already. Search QN, there are a some discussions on this topic.

you should stop smoking whatever you have been... The run on the banks was on all of them, Merrill, MS and Goldman. Read all the threads again. It looks you have forgotten most of it.

Sorry, but you are in the wrong business.

Post in the r-Help mailing list (you might need to google for it) and somebody will reply with the answer.

"Absolute Java" is like what comes before Java 101. You should pick Bruce Eckel "Thinking in Java". It will give you a better overall knowledge.

why not after the finals?

Again, another example of you running your mouth. Do you know what exactly is RenTec, DESCo and Ed Thorp modeling or modeled? I think the BBW is talking math applied to model the Q world (the so called risk neutral probabilities world). Those are the models used to price complex or exotic...

Smerrill, since you are older, you will need to bring something to the table that other can't offer. Make sure you are really really good at one specific thing that people need and want. I don't know what exactly is that for you. You mention you have a PhD, which field?

It all depends how the IT people fit into the big picture. If they belong to a centralized IT you are royally screwed since you are going to get paid from a pool. If you work for technology under a business group, that's very different because then you are paid the same way as a business...

they are useful. We have seen application of that in dynamic linear models.

No. In correlation trading you are trying to exploit relative value of 2 or more assets or instruments that have a perceived correlation. Flow trading is just that, flow, make markets and provide liquidity. High Frequency is something totally different although you can use correlation or...

No, it MUST NOT be perl. Pick some other one. Python is a much better choice.

Eventually you will have to declare these accounts (or the banks will declare then for you) if you have earnings and then pay the taxes. Look what is happening with the swiss banks nowadays. Most if not all are state or government sponsored. Unless you get the state to sponsor poker, you will...

If you have friends already in, keep then close and make sure they can hook you up. That'll be better than MFE, MBA, PhD, etc.

skip perl. Don't waste your time.

Oh yes I did. Every single penny came out of my pocket.

If you think education is considered a "non-profit" enterprise, you are sadly mistaken. Every single institution of higher education is always trying to make a buck as a whole. I'm sorry to bring this reality to you Again, why? The beauty of this country is that you are free. So, if I pay for...

Why? Education here is not free. If you pay for it, you should do whatever you want after you are done.

take those benchmarks with a grain of salt. It is well known in the R community that the matrix implementation that comes standard if not the fastest. Brian recompiled R with ATLAS and it blew away the standard matrix operations that came with R. Matlab is already optimized to the platform.

My Mac OSX 10.6 works great and my wife's Ubuntu laptop doesn't complain either :)

Usually highly educated people in Mexico are extremely wealthy and comfortable. The incentive to move to US is not as high.

Judaism is a religion... or you have some other definition?

here are some quotes from Steven Weinberg (Physics Nobel Prize 1979) Here is another one. http://www.youtube.com/watch?v=NcnTRvz87hc Draw your own conclusions.

time to hit the books. Stoch Calculus is very abstract. In which context are you applying it? Physics? Chemistry? Finance?

how does this applies here?

dude, you just need to shut up sometimes because, frankly, you don't know what you are talking about most of the time.

I'm angry too. It's all our money going to save failing enterprises. As I said before, they should be left to die. Those how markets work. Inefficiencies are filtered out. No, no. If uncle Sam gives you money and you decide to risk it, that's a problem. That's my beef with GS. It doesn't...

I agree that brainwash is a very strong word... but I have very strong feelings about communism in general. Which ones? I would like to know. History is something that really interests me. My grandfather was chinese and he left China over 60 years ago. I never had a chance to understand...

Brainwashed I came from a similar regime. I know "brainwash" up, close and personal. It is not so much they wouldn't but they can't. Speak against the establishment and jail, exile in the farm, no prospects of a good or a job period will be waiting for you. This is just an extrapolation of...

Why? If they earn it, they deserve it. I read somewhere GS was one of the biggest donors to political campaigns so I don't think they will care what the politicians say.

That's the reason that I'm telling you to focus your effort in the learning. That will be more important than from what school you are coming from.

on careers prospect it all depends on you.

I have to agree with this. Why do you want to do a PhD in Physics if you want to do Quant Finance after. This will conspire against you just because you won't see any finance and a LOT of physics. It's not that you are discovering finance after physics. Why is so hard to believe that Waterloo...

I tell you what. Through the years I have met a lot of graduates from IIT (graduates in the late 80s to graduates in 2000s). Maybe is my perception, but it looks like the quality of the recent graduates is not the same as the quality from the graduates of past years. BTW, I'm not from India so...

I came up to the unorthodox conclusion that whoever ask for a profile evaluation is not cut out for the type of job that the MFE prepares you for. I think you ask for a profile evaluation only if you are not confident enough in yourself or your abilities to apply to a given program and are...

you guys need to forget about rankings and concentrate on learning and showing that you are good.

Not only those, consider also Technology, finance and banking. If I can get somebody with the same skill set as a citizen but with an H1 visa and I can pay him/her less money, why not to do it? I will have the person for around 6 years at my mercy so to speak because I'm the sponsor and if I end...

So you are assuming that most of the illegal immigrants are from spanish speaking countries, right? ---------- Post added at 12:56 AM ---------- Previous post was at 12:52 AM ---------- This is usually true. However such a process tends to benefit some group of people above others (I'm an...

http://www.nytimes.com/2009/10/14/opinion/14trillin.html?em Wall Street Smarts By CALVIN TRILLIN IF you really want to know why the financial system nearly collapsed in the fall of 2008, I can tell you in one simple sentence. The statement came from a man sitting three or four stools...

Ilya is probably crying by now...

have you tried to get a job in Wall Street?

Does it really matter what I say? What about... None. Are you going to believe me?

I'm sure you don't know what you are talking about. You are just repeating what you read somewhere. There are plenty of money managers that use Quantitative strategies in various shapes or forms. For instance, check John Henry. The owner of the Red Sox baseball team have been using quantitatives...

We don't do it in excel. We get data directly into our Linux server where we do the processing. We don't like Windows.

We use Datastream at work but we get raw data through files. I don't know the details though. We are able to run thousands of regressions also. Try to talk to the vendor directly.

http://www.businessinsider.com/former-moodys-vp-moodys-should-be-liquidated-2009-9

it won't be a good alternative. IMHO, you might be better off self-studying. What about part time? You don't have to give your full time job.

Excellent interview!!

We use it a lot at work for modeling.

If you can probe that you are good and you are willing to outwork your peers and show it, there is no age limit (at least not at 35). I finished the FE degree when I was 34.

What is your question exactly?

Go through a recruiter if you can. You will have a better chance to get in. Search QN, there are couple around here.

Very simple. US soil had never been hit directly by an attack since Pearl Harbor. Also, there was not really a war going on in 2001 (at least not in the open). In the 40s, there was a full blown war happening. Also, this date in history resonates deeply in US. I was there, so I know what I'm...

have you applied to a job? Have you spoken with a recruiter? It shouldn't matter what anybody here will tell you.

Every time I heard an airplane passing by and I'm not in an airport I feel weird. That's a reminder.

Since I will be coming with Little Trevor, the earlier the better. He is up and running by 6:45 - 7 AM

Felix, I was going to say something a little bit harsher but you put it nicely.

don't know about that but I've never had such a request. I always send the PDF.

You have a PhD so you probably have the research piece down. Start learning about the finance part by checking the QN reading list. Also, since you are in Houston, try to get into Commodities (Oil and Gas specially) since there are a lot of companies in the Houston area dedicated to this area.

did we decide on a date already? I need to plan in advance.

I lived "1984" first... then I read it.

send the data out and plot it with some other tool

Most of the weird words or strange vocabulary you talk about usually comes from Latin. I found those extremely easy to learn since they are closer to words coming from Romance languages (my native tongue is spanish).

We usually don't graph anything from C++.

Take the GRE quant and score 800. That could be a start but it is fairly common for current applicants. Then you will need to do something "radical". I don't know for sure what exactly but it must be something that shows you are really really good. Maybe scoring in the 99% of the Math subject...

Unless you do something about this, you have NO chance of getting accepted.

The two links I posted came as results of the first link.

I vote for Central Park.

http://tinyurl.com/nzyuor http://stackoverflow.com/questions/1250354/passing-command-line-arguments-nsargumentdomain-to-program-under-xcode http://www.meandmark.com/xcodetips.html

O-Matrix is a paid product.... SKIP IT. There are plenty of free good implementations.

IMHO, there are more important things to learn than implementing a full Matrix class. I spent countless hours doing it (I did using valarrays following Stroustroup ideas). I'm convinced that using an off the shelf implementation will save you time. There are plenty of matrices implementations...

Kiryl, use uBlas Matrix, or other matrix implementation. Don't waste your time writing your own.

I'm almost windows free. My wife is completely working off windows and she doesn't even notice it.

If you have been using C++ in your PhD for the last few years (2+), you probably have enough of toolset in C++ to jump into the market.

at home, we do in 2 of the machines.

post all the code (and the XLS) here so we can get an idea ---------- Post added at 02:08 PM ---------- Previous post was at 02:07 PM ---------- BTW, there are various discussions on how to call C++ from Excel in QN. Just search for it.

get joshi's book

NICE JOHN!!! BTW, #3 ranked based on what?

http://online.wsj.com/article/SB10001424052970203706604574374431720968204.html For the past several weeks, New York Sen. Chuck Schumer has attempted to intimidate the Securities and Exchange Commission into banning so-called flash trading. Eliminating this technique would be a dangerous mistake...

the test might not be exactly correct. The experiment should've been conducted in Boston to know for sure.

paper losses are not real losses, the same applies to paper gains... but again. If you have paper losses, somebody else will have paper gains.

http://www.businessinsider.com/financial-regulators-held-secret-meeting-with-hedge-fund-short-sellers-in-2007-2009-8 The Evening Standard's Paul Waugh reveals today that G7 finance ministers were warned about the dangers of US subprime loans and shaky banks back in April 2007. Famous...

NO NO NO!!! NO user interface!!! make sure you learn how to code well, how to solve problems with the computer. Get the data structures and the algorithms right.

any coding?

if you want to be a PhD in Finance, apply to the PhD in finance. IMHO, I think it will be easier to convince the people in the school that you are already attending to accept you.

You are right John!!! But I didn't want to give my secret :)

so, you are already in a PhD program in some school. Try to convince the same school to get you into their Finance program (if they have one). If you want to switch school or apply to MFE, retake all the exams.

Three strategies: 1) Buy low, sell high 2) Buy high, sell higher 3) Sell low, buy lower

Get a recruiter and start applying for jobs

Ilya, get Joshi's book so you can see a good approach.

It would be interesting to find out the reason for canceling the contest. Does it mean the event is done for good? or, does IB expect to sponsor the event again in the future?

it might work out. However, you should be prepared to be very good at what you are studying.

This applies to US and ethanol made out of corn, right?

because...?

This article if from over a month ago. A lot of rain has fallen since that time!!!

It would be a good idea to team up with different schools to have an official progress of sorts. This is just an idea. I haven't really thought this thing out.

if the user id is masked, that will solve the privacy issue and, as I said, user participation is the key!!!

who is going to update the status? From the app, it looks like the user needs to update the status himself. If that is the case, IMHO, this app is close to useless since you know when and how long it has been since you applied, got your interview, etc. It could be useful if a lot of people...

If you find free tick data, let me know. I have found it is a "NO shot" to find free tick data.

Why do you need Matlab?

doing well and scoring 790 or 800 are two very different things

It looks like you can pay to get an internship http://www.nytimes.com/2009/08/09/business/09intern.html?em

which is your school?

Which country? Are you any good at CS and/or EE?

I think the specialization if for an MBA

Sometimes.

Sometimes you sign for the bonus too (as in X% of what you bring in).

Hopefully my salary heads up!!! :D

what exactly are you looking for? providers of market liquidity? Order flow?

how much financial econometrics are you going to cover?

let me try this again, where are you going to school? It doesn't matter if it is an Ivy or not. We really don't care. Also, if you plan to taylor your PhD according to what the job market demand is, you are setting yourself for failure and missery.

where are you going to do your PhD?

Here is the link to CNN http://www.cnn.com/2009/US/08/03/new.york.jobless.graduate/index.html?iref=mpstoryview From the article, This might be cruel, but I couldn't stop laughing!! An employer will pounce with somebody with a 2.7 GPA in undergrad?

I don't have as much experience with Ocaml or Haskell as I would like to have. I did some Ocaml at some point in my life but I haven't used it recently. I would like to learn Haskell since there is a huge community out there (look at http://hackage.haskell.org/packages/hackage.html )...

Shlomi, maybe it is different in hebrew but in english the B comes before the C... HAHAHA just kidding :)

here is the analysis. http://gmarceau.qc.ca/blog/2009/05/speed-size-and-dependability-of.html

Look at the tests. There are specific tests where the Ocaml and Haskell are better than C/C++. Those are very particular examples. You also need to look at your hardware and the problem at hand. For instance, there are was no thread support in OCaml (maybe there is now). There are problems that...

The first thing that comes to mind is: http://shootout.alioth.debian.org/

What is the ExSan platform?

Looking at the site right now and it looks very interesting. Correction: Ocaml is known to blow by C# and Java. It's speed is comparable to C/C++. Haskell could be as fast as C/C++ if you know what you are doing. The interesting thing about functional programming nowadays is that there are new...

what's up with all the colors?

I didn't get this part. I think I need to understand more about the whole Global Warming thing form the physics standpoint... but not from political standpoint but from the scientific standpoint.

offtopic The newspaper business is dead. The trees are being cut because we use more paper now than ever. That's a topic for another discussion.

Virtual Box is free. http://www.virtualbox.org/ VMWare is $80 although you can get a discount as a student. I bought my copy for $40. I run Linux and Windows on my Mac and I'm extremely happy.

XCode is free. It comes with the Mac DVD.

John, I don't know if the issue it that it is hard to come up with a list or that it is hard to go against the "consensus". Giordano Bruno went against the consensus and ended up dead. Galileo had to repent. Sometimes is hard to go against the crowd at this level. I do see people in this...

You can buy MATLAB for the Mac. You can develop in Xcode using gcc and g++ for C/C++. However, if you want to use windows, do you have a copy of XP? or could you buy it? You could buy VMWare Fusion and install XP inside of a virtual machine and use it there. Or you can download Virtual Box 3.0...

Since Cap and Trade might be upon us... here is a list of skeptics http://www.businessinsider.com/the-ten-most-important-climate-change-skeptics-2009-7

Did he/she propose something else?

I don't think the classes you took were that good. Not to shatter your dreams but you could've made tons of money as chemical engineer as well. Probably faster and in a less cut throat environment than Wall Street. However, if you like the ups and downs and the insecurity of the street (i.e...

Why did you leave chemical engineering?

all pharmaceutical companies need statisticians by the truck load

Happy Birthday

Hopefully we don't make the same mistake we made last yer. Happy Birthday Doug!!!

This sounds like a hi-tec version of front running :)

more of the same http://www.nytimes.com/2009/07/25/business/25trading.html?src=linkedin Senator Wants Restrictions on High-Speed Trading By CHARLES DUHIGG A high-ranking lawmaker has asked the Securities and Exchange Commission to prohibit a trading technique that enables some large banks and...

and people wonder why the NYT is going bankrupt!!

I haven't tried today but as of late night yesterday, QN thought Safari was a mobile browser. [offtopic] <offtopic>I installed Safari 4 in Windows, go try it. You'll be surprised!!!</offtopic>

Why don't you try to do something really creative and original while you are at school? All these places are going to ask you: what do you bring to the table that they can't get anywhere else? The grade is not as important if you do something creative that puts you above your peers. there is...

WELCOME TO WINDOWS!!! :sos:

jovee, You are probably right about a little (or a lot :) ) Baruch bias. However, you can choose to ignore whatever you feel is marketing. I think the original intension of the site was to create a community for the Baruch MFE students. Somehow it evolved into a site for Fin Eng at large...

http://tinyurl.com/lrymku http://tinyurl.com/mptpso BTW, if you can't solve this problem (finding alumni), you have bigger issues than making a sound decision.

email current students from both program is you can. Search QN for more advice

in this one hour seminars they might show you how to build a trading system with their platform, i.e. you buy their platform and build something. They usually try some strategy using TA indicators to generate signals. It could be good as long as you decide to buy their platform. If you are in...

Alok, I will put a single question to you that was put to me: What is your edge? in other words, what do you bring to the table that makes you better than some other candidate? This is just to prepare you for the interview. Make sure you have an edge.

Put all three master degrees in your resume. That is not going to hurt. You might be lucky enough and your interviewer was an aerospace eng in previous life. That's a nice way to break the ice. My undergrad is EE and I worked as an eng in the past. This fact has been a topic of conversation in...

what is exactly wrong with displaying all your master's degree?

They will definitely help. Bruce Eckel is an excellent teacher. I learned C++ using his original "Using C++" and "C++ Primer 1st ed" from Lippman. This was around 1992-93. "Thinking in C++" is an excellent resource as well. However, it is dense.

Probably more the former than the latter, but... are you worried? what's your concerned exactly?

You didn't read the article, right? 13 billion is no the exposure. The exposure to AIG was multiples of that (BTW, it is not mention there).

http://www.npr.org/templates/story/story.php?storyId=102188633

GS gets to keep the collateral it already has but the problem is Goldman was asking for more collateral (to the tune of 10+ billions). If AIG goes bankrupt, there is nothing to collect in terms of collateral. Yes, VaR is somewhat irrelevant in absolute terms. It just gives you an idea of...

I will follow Andy's advice. Multithreading is a complicated topic and if you don't know it well enough, you will get DESTROYED in an interview.

I agree with the BBW. I have that book and I didn't like it as much as this one http://www.amazon.com/gp/product/3540224947/ref=s9_simz_gw_s0_p14_t1?pf_rd_m=ATVPDKIKX0DER&pf_rd_s=center-2&pf_rd_r=0R6MJCRJ63Z94M145AT3&pf_rd_t=101&pf_rd_p=470938631&pf_rd_i=507846

The investment bank model was not working fine at that time. 700 billion dollars later, everything is ok. I was for let the failing companies failed. That's the whole idea. If tomorrow I create a company and it is going bankrupt, the gov won't come to save it, why should they go and save...

This is not true either. MS and Goldman survived because the government intervened. If not, they would've gone the way of Lehman (for all terms and purposes Merrill was out of the picture at this point).

Woody, what better incentive as a Dr than "i'm saving your life"? or "I'm getting rid of your pain"? How much are you willing to pay for that? My opinion in this topic is VERY biased since I have a lot of doctors in my family so I rather don't talk about it.

????

This reasoning is extremely flawed to say the least. Some people want it so much that they are willing to kill and steal to get what they want. BTW, since you are always saying that you have had it pretty hard, that you and your family are not as prosperous, does it mean you don't want it as...

Happy birthday dude!!! I know you had fun last weekend. Hopefully it is the same today.

the stats page doesn't seem to work in FF 3.5

Maybe there was a reason for that.

:D I can see the sarcasm. ;)

Roger, the issue with our script is a low level one. Quantnet uses form authntication so you will need to simulate sending a form (in code) to establish a session, keep that session alive (cookies, headers or some other sort of mechanism) and then retrieve the data. BTW, I looked at the...

Puttable, now that you have installed VC++, you need to learn how to use it. From your post, I can see that you were able to compile the program. To run the program use Ctrl+F5. BTW, Eclipse would be able to compile your program as well. You will need to read a little bit more about it...

Is that 80% made of the same morons, idiots and imbeciles that you always talk about? That is not necessarily true, if a company finds somebody that can produce money for them, they will jump through any kind of hoops to hire him/her.

WE ARE BACK IN THE GAME!!! YOOHOO!!!!

Shlomi, that's what happen when you work a lot in C++. :)

I'm sure this happens all the time. Somehow this guy got caught because he might have made some big mistake uploading the data (or bragged about it to somebody).

Puttable, Let me start saying your knowledge of Java won't translate easily to the C++ world. The OOD concepts will but that's about it. You need to get a good book and start with it. I recommend "C++ Primer" by Stanley Lippman or Bruce Eckel "Thinking in C++". You can find the latter free on...

HF usually don't go through the hassle unless it is really worthy.

it looks great, how can I see the source code?

I have to agree with the bbw... but again, my opinion about music is a little biased. Even more, i don't recall the same action on QN when Kiyoshi Ito (from Ito's lemma fame) passed away last year.

This is not entirely true. Canonical provides Enterprise support for Ubuntu Server across the world.

CHances? None...

Ubuntu all the way!!

Well 15 sharpe ratio is impressive so good luck!!! post your progress here.

Before you jump in front of the train, have you paper trade your strategy with life data considering taxes and transaction costs? That's the last step. Also, you said you backtested the strategy with 15 year worth of data. Is that out-of-sample data? how often do you rebalance your portfolio...

what's your definition of "reputed software firm"? What's your definition of "reputed program"? What is BARC?

What kind of derivatives are you talking about?

no, since I only use windows sporadically, I run it completely on VMware. My setup is funny because all my work is done on Linux on the VMWare as well.

I really don't use windows that much anymore and when I need windows, I run it on VMWare (surprisingly enough, Windows on VMWare seems to run better than native on a windows machine).

I totally disagree with this. If you want to become an expert/advance programmer, you better sit an code.. A LOT!!! books will help but they are not substitute for hands on experience coding.

Check this link http://www.riskbook.com/link_topic/markets_industries_money_market_fx.htm

after I got the MacBook Pro, I can say I've never found anything better. If I knew, I would've switched long time ago.

You might need to talk to Chuck Norris solve this issue ;)

BTW, Shlomi's recommended book http://www.amazon.com/gp/product/0470127635/

Roger, I haven't used it but, did you try the Boost.Python tutorial (http://www.boost.org/doc/libs/1_39_0/libs/python/doc/tutorial/doc/html/index.html)? Boost.Python documentation is indeed murky but let's start from the bottom.

What are you backtesting? equities? futures? options? credit products?

there is a package in R called backtest I think. I don't know if it is really helpful for this.