Honest Confession

[southpole]

Hi all, a brief intro about myself: applied math major, graduating next year, top 10% of cohort (high gpa).

I've been wanting to pursue an MFE and a career in quantitative finance ever since I've heard of this. I first knew about it after reading stuff about OR and how both are somewhat related.

Now, I'm not going to deny this but I am an extremely hard working person. I wouldn't say I'm very smart but I do get decent grades in my math courses. However, I've noticed that my thinking is not adept to someone who's a brain teaser kind of guy, whether or not it's about probability. Just looking at the questions on the Baruch MFE facebook page, I can answer 1 because I've learned about Markov processes in one of my courses. I can also answer another because I've learned about birth processes in the same course. Admittedly, my solution is longer and it's not "elegant" and a product of creative thinking, it's very systematic.

I've also noticed that most quantitative firms conduct interviews of the same type. With this, I'm starting to doubt whether an MFE is suitable for me. I am confident that I can follow the math needed for MFE courses, I've obtained decent grades in my upper division courses. But what I don't have is this "art of problem solving" skill that seems to be prevalent in this industry. These questions, as we know, are not the typical questions asked in school. I'm a bit discouraged as I know that it's not easy to acquire this kind of thinking. I'd appreciate honest responses whether it's worth pursuing MFE. Thanks all!

 

[bigbadwolf]

However, I've noticed that my thinking is not adept to someone who's a brain teaser kind of guy, whether or not it's about probability. ... Admittedly, my solution is longer and it's not "elegant" and a product of creative thinking, it's very systematic.

... I'm a bit discouraged as I know that it's not easy to acquire this kind of thinking. I'd appreciate honest responses whether it's worth pursuing MFE. Thanks all!

I won't say anything about the feasibility of doing an MFE (as I'm sceptical about the prospects of the financial industry). There's seldom one right way of thinking about mathematical problems. Often the elegant methods are dead ends while the messier and longer solutions lead to further fruitful developments. Also, elegant solutions often emerge by honing and polishing the messier and longer ones and don't emerge from nowhere. With regard to brain teasers, there's a fair amount of training literature that teaches techniques and ways of thinking to tackle these kinds of problems -- for example, books for IMO participants. Try Engel's Problem-Solving Strategies for starters (published by Springer).

 

[southpole]

bigbadwolf thanks man! I am unsure whether you see my concern - If I pursue an MFE degree, naturally, I'd want to have a career in the quantitative finance industry as well. Given that most interviews ask these brain teasers (Are there some that don't? I mean are there companies which ask about MFE fundamentals in the interview rather than brain teasers?), I might not be able to get a job (okay a bit pessimism here). And I'm a bit reluctant to spend so much on an MFE degree if it just boils down to that.

Correct me if I'm wrong but I think these financial industries strongly prefer elegant solutions to these brain teasers. For instance, Jane Street conducts phone interviews which require you to work out the problem mentally. I've read a simple probability problem asked in an interview that can be solved by Baye's rule (although not easy without paper) but has an elegant solution (which requires 2 arithmetic steps only).

By the way, any suggestions for a brain teaser book with more focus on probability? Like the Jane Street kind of questions (not that I'm aiming for Jane Street but I tried applying and so far it's the only one which conducted a quantitative interview)?

 

[Andy Nguyen]

Not all interviews involve brainteasers. Some interviewers will be more interested in your technical skills that will help them on day one. You don't sit around and solve math puzzle everyday in real job. Ability to think creatively that apply to real needs such as how do you get the data feed to parse inside this program and then output the result out to that program in this specific format is more valuable.

If this has not been done before and there is no manual or tutorial online, how can you do that?

 

[bigbadwolf]

bigbadwolf thanks man! I am unsure whether you see my concern - If I pursue an MFE degree, naturally, I'd want to have a career in the quantitative finance industry as well.

You mean a job. Does anyone have a career anymore?

Correct me if I'm wrong but I think these financial industries strongly prefer elegant solutions to these brain teasers.

They want to see your thought processes. Which usually means being able to apply ideas in nimble ways and hopefully coming up with Aha! insights. A stock problem of this sort is removing two corner squares on the same long diagonal of an 8x8 chessboard and then asking you whether the board can still be covered with 2x1 tiles (there's a whole slew of similar problems in Engel). Or asking you whether pi raised to e is greater than e raised to pi (you have to be adept at elementary analysis for this).

By the way, any suggestions for a brain teaser book with more focus on probability?

There are books like Crack's Heard on the Street, meant for quant interviews. Probably others I don't know or have forgotten about. For probability specifically there's Mosteller's Fifty Challenging Problems in Probability. There's also Hamming's The Art of Probability, which for interview purposes you should know forwards and backwards, chapter and verse. There's also Grimmett and Stirzaker's One Thousand Exercises in Probability, but to my mind this is overkill, and meant for probability ninjas.

Along with Engel, another general book I'd recommend is Levitin and Levitin's recently published book, Algorithmic Puzzles.

 

[southpole]

Thanks for the heads up, Andy Nguyen.

bigbadwolf thanks a lot for the suggestions on the books! Just curious, did you read those books solely to prepare you for the interviews or have you been doing math olympiads since high school? I would admit that glossing over these books take a lot of time, let alone dissecting each relevant problem. I've read some parts of the "Art & Craft of Problem Solving" book before by Zeitz but it would take me, on average, about a day thinking on how to solve 3 problems (it's not even an assurance I can do them) and it's literally what I do for the whole day. But that was when I was in high school. Now in college, I find myself more busy because apart from preparing for the GRE, my upper division courses are also getting a bit difficult, I also have org work and I'm also doing undergrad research.

This is why I'm apprehensive about reading these books since I could spend that time for research and be more productive...

 

[Cary Ferguson]

Now, I'm not going to deny this but I am an extremely hard working person. I wouldn't say I'm very smart but I do get decent grades in my math courses.

Why do the Yankees always win?...

 

[passyingby]

Why do the Yankees always win?...

I see what you did there.

 

[dmv]

southpole. Quant job is not about Math/Science. It is about business, mostly. So you have to be able to "think on your feet". You have to know different math ("broad math") and you have to use it in "artistic" manner.

These are not my words, but words of head of quant of one very famous IB on Wall street.

 

[passyingby]

Business at the top levels, math/science at the bottom levels. It's hard to get into an entry level position if you can't solve a few brainteasers. Don't worry though - the trick is practicing enough such that they all start to look the same (and trust me, they all do).