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Yes. You can get a glimpse here. http://nerdsonwallstreet.com/

Andy, I'm reading this book now. <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471369462&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no"...

I use it once in a while. Adium (a very cool IM client) has support for it as well.

I read the article and it makes some interesting points. Then, I wander around that site a little bit more and found a lot of articles praising the situation in Cuba... at that point, I stopped reading since their credibility went down the toilette.

maybe off topic, would you consider Ethiopian Jews descendants, Jews or African american?

CDMA nad GSM don't play nice

no Verizon, no iPhone for me... Palm Pre next year!!!

I don't believe any of this for one simple fact. All these tests were applied in US. So they were testing people that decided to emigrate to US. If we do the same test in the original countries, are we going to get the same results? Also, these are not really races we are talking here but...

why should we join twitter?

I don't agree with the immigrations policies but regarding your last point: This is still the case now a days. Only that the US companies usually manage to "grease" the wheels of the systems abroad.

Freed Bond data is not as easy to find. If you find a source, post it here.

Carl, I don't think this has to do with Linux but with NFS. Talk to your Sysadmin to get this resolve. I think it has to do with the configuration of NFS and how it mounts filesystems. I don't know much about it. I can tell you that your /apps doesn't exist in your machine but in some NAS...

Open Source High Freq platform (thanks to my friend Norm for the link). http://www.marketcetera.com

That discussion is for another thread. The limit is per CPU (not core which could be a problem since new multicore CPUs are popping everyday) and I can see plenty of reasons to run multiple threads (> 25) per multicore CPUs. It all depends on the application.

We found that the standard facilities for Thread Pooling offered by C# are extremely lacking. Also there is cap for only 25 threads per CPU or core (I don't remember exactly). So you have you roll your own and still can get contention with the OS. Our experience with the CLR hasn't been that...

Hi zhouxing, How big is the pricing engine farm you use? We found that the standard facilities for multithread processing in C# are lacking and we have to dish that effort. Have you seen the same behavior? Also, the C# threadpool is shared among all the programs running on the CLR (and, from...

Isn't Actuarial Science a very well paid field in itself? I can see the value on passing all the exams but I'm not so sure if it is worthy if what you want to do is an MFE. However, if you are looking to explore that field and then try to break in Quant Finance, more power to you since you are...

how long does it take to become an actuary? isn't that a long process?

Doug, why not this link? http://tinyurl.com/qf7cv9

Very interesting analysis. http://www.newyorker.com/reporting/2009/05/11/090511fa_fact_gladwell?currentPage=all

Somehow it seems this party will suck... no alumni nor faculty? C'MON!!!

http://www.hussmanfunds.com/wmc/wmc090518.htm The Destructive Implications of the Bailout - Understanding Equilibrium John P. Hussman, Ph.D. All rights reserved and actively enforced. Reprint Policy One of the features that has enabled the bureaucratic abuse of the public during the past year...

If you want to stored historical data as in Time Series data, a column oriented database seems to be the way to go. However, you can use BDB as well. Here is a link to a post to an article posted by somebody who uses BDB and Esper to stored tick data...

happy birthday!!!

Dude, did you lose the punctuations in your keyboard? It took me some time to figure out what you wrote. I think I only understood the last part "why not perl?". Well, very simple, Perl is HELL. Fast to hack around but impossible to maintain. The whole idea of "there is more than one way to do...

could you prove this? slow in terms of what? in comparison to what? have you looked at Java in the last 5 years?

So, you have Netbeans installed so I assume you know Java and you are using it. Why don't you stick to Java then? It will work on any platform.

Bob, I was thinking on a similar direction, how to represent this sorts of contracts electronically for trading purposes in an Exchange. From a pure computational standpoint, this is fertile territory for domain specific languages and functional languages. This paper written in 2000 seems like...

What are you trying to do? Which problem are you trying to solve? These are very generic questions but I don't want to misguide you. C++ will give you a great tool to solve all sorts of problems but if you want to write reports, it might not be the best. You can still do it but it will take you...

neither choice is really up to task. If you want a nice looking report, get a specialized tool for it. Crystal Reports or Jasper Report would be fine choices... Even Excel if you really want to

So they have a single class that covers Stochastic Calculus and PDEs at the same time... intriguing.

pill? more like a big rock going down!!!

I use all three. My windows box is usually only used for collecting my songs, pdf and software for my brother's office... and Excel. I use a Unix flavor (Ubuntu or Darwin) for everything else. At work, my time is completely spent using Linux. That includes our tools to do financial modeling...

they do hire people that place in the competition.

happy birthday dude!!

Happy Birthday dude!!!

BTW, I found a library to connect Python to Interactive Brokers (ibpy): http://code.google.com/p/ibpy/ It could be useful for the future participants.

I found a library to connect Python to Interactive Brokers (ibpy): http://code.google.com/p/ibpy/ It could be useful for the future participants.

From the NY Times. First news report: http://www.nytimes.com/2009/05/01/business/01hedge.html Asness' response http://dealbook.blogs.nytimes.com/2009/05/05/a-hedge-fund-manager-strikes-back-at-obama/ Draw your own conclusions. You probably know my opinion...

I wonder what's the over/under of the guy surviving the gig without an accident.

Bob, I'm working on it. I had a solution in two lines. I'll post my one liner as soon as it's done. Here is my two-liner (still thinking about a clean one liner) but not very efficient: def trim_str(the_str): str_elem = [x for x in range(0,len(the_str)) if not the_str[x].isspace()]...

since we are mostly NY centric, I doubt you get a useful reply. Sorry. Did you email the departments/students in those programs?

still $2000 seems steep for students

HAPPY BIRTHDAY DUDE!!!

Why not? if there are all sorts of derivatives products, I'm sure there will be somebody willing to buy a derivative based on the GDP of some country.

The issue is not knowledge but how to raise the money. Joe Six pack can go and start his own hedge fund if he has funding.

HAPPY BIRTHDAY BILLY BOY!!!

Follow my advice, finish your PhD and start looking for a Job. Email one of the recruiters that post on QN if you want, Mr. Connor or Mr. Fahey.

This is very sad news. Prof. Neftci was an excellent professor and very good communicator. I have very good memories from his class. Thanks to him and his recommendation, I use a Tablet PC as my main computer. I want to extend my deepest sympathies to his family.

start looking for a job.

If you remove the Unions in teaching, in your opinion, what are you going to achieve?

That's not a good sign.:-k

hold on a second, you are coding in C++ without memory management? Who or what is managing the memory for you?

Don't get your hopes to high with Charlotte. I don't know about Wachovia but BAC is shifting whatever is left of trading business to NY.

It makes a huge difference because I really don't know what you are asking if you start writing like that. I'm probably way older than you and I grew up in a place without internet or chatting or IRC. So, I'm unaware of a lot of those short-cuts. Also, it shows lack of professionalism and we...

Tony, Send an email to Dominic or to Mr. Fahey directly. Do a search in QN for their info.

My advice is to keep the MFE in the backburner and start looking for a job.

Since this post mentions my name directly, I feel I need to answer. I will probably repeat some of the things that Doug mentioned already but I feel there is a need to do it. First thing, as Doug said, I'm not a moderator nor an Administrator of the forum. So my posts usually reflect my...

It might invert the rankings though :D

Shlomi, I only saw a bunch of numbers that seemed pull out some magic hat... Then I stopped to think I figured out the missing column, # of CEOs that bankrupted their company!!!

Dude, did you click on the link? C'MON!!! at least give it a try!!!

flip a coin

This is a great news. I haven't checked how much is the discount yet but I can say the REvolution people are very good and the parallel implementation they do of R is sound and interesting, based on Linda Spaces. I'm looking forward to the course on April 22nd.

Happy Birthday!!

Did you get it? Was it worth to change majors? It is totally possible but you better get going... ;)

It all depends, is it worth for you? For a lot of people here it is worth the effort. It might not be worth for you because you don't think you are going to be very good at it and you think you will end up in the middle of the pack and don't get a job at the end.... or it might be really worthy...

Did you read the previous posts? The suggestion was very simple, go for an MBA. For what you want, all the things you mentioned are just wasting some time before heading for an MBA. So, cut the rubbish and try to get into a "good name" MBA program (since that's so important to you). I'm sure...

Regarding the loans, it is up to you. Do you want to do it or not? Regarding the comparison, What do you want to compare? What is your criteria? The decision needs to be yours. We can't make it for you so you live with the consequences.

Happy Birthday!!!

Sam, which program did you apply to? Maybe we are talking about different programs.

Who did you talk to? Did you email Dan directly or the Barch MFE email? I didn't submit a single letter of recommendation from my professor's because I was out of school for quite sometime. I'm sure there are plenty of people like me here. AFAIK, anybody can submit the recommendation letters...

Yes. Go for an MBA

why? did u get accepted in both?

happy birthday!!

read above your post

what kind of C++ and C did you do? Real time coding? embedded processors? What do you mean by "mixed signal engineer"? How do you us VB? EE is a very wide field. I was an EE major and I did DSP, power supply designing/testing, test engineering, embedded coding among other things before I ended...

How recent? Why do you say you can't thrive in your industry? What type of EE do you do? Signal processing? Control Systems? Power? Analog design? Digital Design? VLSI? Regarding pay, the way things are now, your salary might be controlled and cap by the government.

what do you have in mind when you ask for "certifications"? Could you give an example?

for your own consumption, enjoy: http://www.businessinsider.com/fine-tuning-mark-to-market-the-two-cows-version-2009-4

learn the boost library, study Real Analysis and Probabilities, Linear Algebra, learn Stochastic calculus.

I think it is still an issue.

As a follow up to my original latest post (#9). I'm use a Thinkpad X61 Tablet with SXGA+ (1440 X 1050) as my primary machine. It's couple of years old but it is very good. It was almost $2G when I bought it. I think Lenovo stopped manufacturing them because I haven't been able to find a new...

I don't think you look too deeply. So, I'm going to do some free work for you. The HP multitouch tablet comes on sale once in a while for around $800. That's a much beter deal than that iRex thing you talked about. Here is a link to HP's Tablets...

On some other note, what kind of edge would you have over the market after having a PhD? What is your edge? What do you expect to learn at a PhD program that will make you a better trader than somebody else? Nowadays, every firm looking for traders want a history of P&L. How do you plan to get...

for what is worth, I use my TabletPC to do all that and more, including writing notes on the PDFs. It's expensive and heavier than those readers but I carry only one thing with me.

I think you might be wasting your time going through a PhD if you want to become a trader. You better like to study though because it's going to be a long 5-7 years.

are you looking to do a PhD to become a trader later? Maybe I didn't understand your post.

if your goal is a PhD, why didn't you apply to the PhD program directly?

Congratulations to all the winners!!!

if you tax it at 90%, it might not be that much (the other 10% will be taking care of by the state :) )

Thanks to my friend Norm What does one TRILLION dollars look like?

happy birthday!!!

Happy birthday!!!

http://www.bloomberg.com/apps/news?pid=20601039&sid=atlHxXH7FweQ&refer=home

I was speaking with a lawyer friend of mine and he said he is skeptical because this law will be never hold up in court. He mentioned couple of things that I'm not familiar with regarding this law targeting a specific group of people.

We use Java for a lot of the Math as well as prop libraries in C++ but I can't comment of ratios or anything like it. I will be misleading you.

My friend Adam recommended this talk. It's really interesting. I'm a big fan of OCaml and F#. Caml Trading talk at CMU | ocaml.janestreet.com

I register through my company and they are paying for it but it will be nice if the students can register at a discount. Actually, one of my colleagues is presenting at Chicago about Random Matrix Theory..

BTW, I'm still waiting to hear about the whole experience.

what was the value of your account at closing?

This course is not free. Is there a discount for Students or Faculty? I went to the session held at Columbia last year. It was a very good experience.

I haven't heard of any.

Maggie, internal moves are far easier than external moves. However, if your friends screw up with their manager, that's their own fault. BTW, odds are your two friends will screw up again.

It's going to be really hard. Could you try to get a position in your current company?

how long before you graduate? Why do you want to go to an IB?

congrats???

Citibank Citibank just broke the $1 floor...

Carl, I need more details. I took that piece of code and it compiles and executes without problems on g++ (I don't have VC++ at work) in windows.

It won't help you.

Also, I think small investment houses will give you money as long as you trade with them (like the old day trading houses). I don't know how many of them are still alive.

during these times, it's going to be hard to raise capital. Start real trading with money from you and your family to build history and then go and try to raise money. Investors are really afraid now.

I have tried and I like it. As a matter of fact I use it to develop in Linux. I also use something called CodeLite (CodeLite, an open source, cross platform C/C++ IDE | Main / HomePage )

If you installed Visual C++, you are good to go. Just make sure you always create an empty project in the IDE.

Again, learn R. Subscribe to R-Sig-finance, check Rmetrics. You will find plenty of information to learn R. A lot of prop houses aka hedge funds use R just because they don't have to spend a dime on it.

learn R

Doug, do you have the list? I haven't tried hard to find them but I know the IB competition and the Robin Trading "something". Nothing else.

We use R

If somebody wants my paintball gear, they have to let me know because it is at my parents house. I don't have it with me. It's really good but kind old.

indoor paintball is usually extremely fast because the fields are small so you can get hit from the get go. It means you could be out of the game without shooting at all. Sometimes it takes the fun out of the game. Also, if you play with somebody with a reasonable marker you will be at a...

BTW, I have the full set up (marker, air tank, gear, etc, etc) if anybody wants it because I'm not playing paintball again until my kid is old enough (if he ever wants to play).

Playing indoor paintball is not for the faint of heart... and might not be fun at all for people who has never played paintball.

Congratulations!!!

it's affordable because it is free... but, that's about it.

Forget about Venezuela, move to the source... CUBA!!! :D

and you trust russian media? where are you coming from?

How did you do?

any 3 letters? could you provide an example?

what is your definition of similarities? That's very ambiguous...Soundex similarities? 2 out of 3 letters similar? be more specific.

John, that's great news!!! keep it up.

If you want to do C++ in finance, avoid managed code since it is not really C++. In my experience, few people use C++ managed code in finance. Actually, I have heard of only one of my friends in finance (and I do have a lot) that uses managed C++. He works for a japanese bank in Luxemburg, very...

Indeed. SUNY Stony Brook is a very good school.

I don't think 200 bucks is gonna cut it.

Carl, don't worry about that detail. If anything, let me know and I can give you the email of the Andrew Wilkinson. He is the person in charge of the Olympiad at Interactive Brokers.

we don't do Rs., we work on $... :D BTW, this is 101 stuff. I'm sorry. It looks you haven't even tried to solve this problem. It looks you want people here to do HW for you.

Perl is great... if you want to keep your job because it is very easy to write extremely awful code that nobody else will understand. If you need to learn a script language (which I will recommend to anybody), learn python.

happy birthday dude!!!

Good work Satnam!!!

Dude, make some effort to research. I'm sure most of the answer to your questions should be in QN somewhere. Do a search on this site and you will find them.

I like your honesty but this post says a lot about you. For instance that you are unable to deal with people that have a heavy accent. You will see a lot of them in your professional life. It also says that you will need a lot of "hand holding" since you are unable to learn something by...

It seems we started classes again. Doug couldn't take it anymore :D

looks like somebody in Yahoo Inc. is not happy with the new president. Do a search in Yahoo for "miserable failure" and check what the first result is: miserable failure - Yahoo! Search Results :) There was a similar prank when Bush was the president. Check this link: snopes.com: Miserable...

I'll take it.

This is just the first week results. Whoever is in the top ten, keep the good work!!! Vadim keep it up!!!

he worked in market making

I think the job applicant should know a lot about the critters that might inhabitat the island. If not, he/she might not survive long in there.

I think you can express your opinions without calling names. There is always a respectful way to express your opinions and that's what I think we should do when we disagree with the views of others. I understand Ilya. He seems impulsive and sometimes immature, but he will learn with time.

John, use the new parameters. If they ask about your trading plan, you explain to them the situation.

I don't think you know what you are talking about. Comments like this will come back and hunt you one day.

all of the above might change for the worse if we move to universal healthcare.... maybe they took that into consideration :)

some people did this in one of the classes at Baruch. Hopefully somebody will post the code.

If you started a business, concentrate on the business and forget about MFE. Do you want to be a Quant or to run the business you started? To be successful in your own business, you need to be into it 110%.

I really liked the article.

I don't know what you meant by "renewing" your life. Are you japanese? If not, how easy or difficult is to get a job in the japanese job market for a foreigner? You should take those things into consideration.

If that the case, you are doing the right thing. It is a great opportunity to learn.

Max, that strategy seems pretty interesting but, in my experience, it will be hard to win with such a strategy.

happy birthday!!!

From Bloomberg: "A Wall Street Job Can’t Match a Calling in Life", Michael Lewis Nice article from Michael Lewis: http://www.bloomberg.com/apps/news?pid=20601039&sid=aBabxZ9WD2cE&refer=columnist_lewis Here is the followup...

It looks you have never being in Iowa. For a small town, move to North Dakota, Wyoming or Montana... that's cheap... maybe, if things keep going the way they're going, you might be able to move to Detroit.

I lied, I'm sorry. It really takes 1 minute to send the data across the wire to the server via http services, calculate the implied vol and get the result back. This is no fake, this is real in our case.

is this one dog trying to rescue another dog? or one dog trying to get food?

FYI, in preliminary tests from a vendor, they are able to calculate implied vol for a 500,000 options in 1.5 seconds. BTW, Brook has been around for some time but it has never caught on. GPU people are very secretive about their stuff so I don't see cross compatibility any time soon.

Ross, if you follow the instructions in the link I posted, you already added the right libraries. If you just downloaded the project, just read the instructions again and make sure the setup is correct. I don't know exactly what the problem is but I will try to look around.

Ross, is the winsock library in the list of libraries to link against? This was an old problem with earlier versions of VS. I don't know if this problem is still there.

As soon as I have some hard details I will try to post them here. We are working with CUDA at the moment. BTW, it is really really fast. Also, we are not talking about graphic cards but Tesla cards and Tesla machines.

One additional comment, if you know Java, stick to Java in order to code using the TWS SDK. It's easier and works a little bit better. IIRC, TWS is written in Java and interacts much better with Java programs.

I have never used the C++ API but I want to ask couple of questions. Did you download and install TWS? I assumed you downloaded the SDK also. Have you looked at this site? Welcome to StockBotProgramming.com There are some examples of how to connect to TWS from C++.

Food is not unbearable, it's different. Where are you from? If you are willing to adapt, the food is a non-issue.

You haven't been that frequent visitor if you are asking us to evaluate your profile.

and why do you want to get into finance? Why are you majoring in Chemical Eng if you want to go into finance eventually? If you are graduating in 2011, you're probably a freshman, right? So, why not angle your career in that direction? What kind of finance do you want to do? BTW, all the good...

I think you might be talking about an Assistant Trader position. As Andy mentioned that is very broad. It goes from doing real important work to "be here at 6:30 AM everyday with my breakfast... and make sure you know where to get my lunch at 11:45 if you don't want your *** out the door by 12".

how much money are you willing to put behind that idea?

Woody, let me know what that guy recommends. I might decide to take the opposite position after all :)

dish VC++ 6. It's a piece of crap.

No

HAPPY BIRTHDAY!!!

I follow Stefan view. My point is not directed at academic work but at how far you want to go. So it has to do more with self motivation than anything else.

I like the 5th ed better than the 6th

My opinion, I don't believe in rankings. That's a bunch of BS... use them at your own risk For your consumption, attached is the XLS you were looking for.

talk to a recruiter specialized in this field. He/she will put you on some path. Search for Todd Fahey here in QN.

try to get some interviews. talk to a recruiter

I think you might be right... at least it will help to end up all those posts about "what are my chances? Should I get into fin eng?", etc... people will shift their interest on the next new thing and leave the quants to make money for themselves using their creative ways.

Mark, in this field being specific is much better than having a broad knowledge. People pay premium for specific knowledge as long as you are very very good at it. Also, the market is changing drastically. Things might be totally different 2 or 3 years from now.

do you have a set of inputs that we can compare to? I have done this in Excel already.

Mark, what exactly do you want to do?

9ish.... WOW... you are really optimistic :D.. Good luck in the midterms!!

Is this new? I haven't read the link but in the past, the free KDB edition was limited by capacity.

http://www.bloomberg.com/apps/news?pid=20601039&sid=a3yAuZ.McV3I&refer=home

Find out if eSignal carries that data.

you will have to pay for it.

If you find one, run for cover. You need to understand the math really well so you can apply it. If not, we might end up in another "market crisis". Cutting corners is not going to work out.

Billy, if you think about it, now it's the perfect time to execute your plan to build that business in Asia ;)

Since I came from a communist country, I do have real issues with that statement.

Billy, calm down :)... do you plan to open the door and say... "SAY HELLO TO MY LITTLE FRIEND" "boys and girls, let's get ready for re-distribution of wealth" :D

That sounds really pessimistic. I can tell you that there is a lot you can do. You need to get involve in the process. It doesn't matter how bad you think it is.

So... what are you going to do about it?

the main issue I have had in tha past is passing objects between different memory spaces. Things need to be passed between two different memory spaces and in one of them, Java, you have little control because of garbage collection.

I have used JNI. It works but you have to keep in mind the memory model. I have heard a lot of good things about SWIG but I've never used it myself. What do you plan to do? What kind of library are you planning to expose?

talk to the university where you plan to apply if you want to find out.

I think the Rays are here to stay. They have a core set of players that could break havoc. The only issue is to keep them around for some time. Let's wait until the Spring to see how the landscape looks like. I expecting the Yankees payroll to reach 300MM.

this was discussed already in the forum sometime ago. I don't remember all the details but you can do a search to find out.