I think the biggest problem with all of the MS Finance Type Degrees is ...

Sonny D · 3/24/16

I think the biggest problem with all of the MS Finance Type Degrees is that upper management doesn't understand that we need them. They are all old time PhD Physics/Stochashtic Calc type guys and they do not understand that we do not need many (if any) new ones. I would prefer to hire an undergrad in Comp Sci that did a masters in Quant finance, but a lot of them can't pass the math tests (and they do not need to), so I get stuck with horrible programmers that are not happy with their jobs.

Very Frustrating. Just thought I would put that out there.

tfors · 3/24/16

Good to read as I am one of those compsci undergrads studying quant finance and relatively slow in math. But what kind of roles are you talking about here?

ShowMeTheLight · 3/26/16

Sonny D said:
I would prefer to hire an undergrad in Comp Sci that did a masters in Quant finance, but a lot of them can't pass the math tests (and they do not need to).

Two questions:
1. You said that they can't pass the math test, but "they do not need to". So what's the point of administering a test if a negative result is irrelevant? Doesn't that defeat the purpose of having a test in the first place?

2. Specifically what branches of mathematics do you find lacking among the Comp Sci majors? My guess is: calculus / differential equations and probability and statistics.

TehRaio · 3/27/16

that's a bit misguided. Should we only hire mathematicians when the system collapses and the Computer science guys don't understand whatever the hell happened?

or maybe I don't understand your complaint . . .

Sonny D · 3/28/16

TehRaio said:
that's a bit misguided. Should we only hire mathematicians when the system collapses and the Computer science guys don't understand whatever the hell happened?

or maybe I don't understand your complaint . . .

you start off with "this is misguided" when you admit that you do not understand. hmmm

TehRaio · 3/28/16

Sonny D said:
you start off with "this is misguided" when you admit that you do not understand. hmmm

it's also another way of saying: please provide a deeper explanation. your arguments aren't explicit enough.

Sonny D · 3/28/16

To answer most people's questions, there is NOT much "modelling" going on anymore. A lot of banks are getting out of complex instruments because the capital requirements are too high. A lot of the "modelling" is for regulatory reasons, and are finance models that are regression based. We already have a ton of people that know stochastic calculus, and most of them are doing software design right now (and doing it poorly). I wouldn't expect a Comp Sci major to know stochastic calc as well as a math PhD, but if they were joining a quant group, I am sure they will be asked questions about it.

Sonny D · 3/28/16

ShowMeTheLight said:
Two questions:
1. You said that they can't pass the math test, but "they do not need to". So what's the point of administering a test if a negative result is irrelevant? Doesn't that defeat the purpose of having a test in the first place?

That is my point. We shouldn't have the tests, but the people deciding on what a new grad "needs to know" are the ones that used this is the past (before they were managers) and the ideal candidate would be someone "just like them when they started"

ShowMeTheLight said:
2. Specifically what branches of mathematics do you find lacking among the Comp Sci majors? My guess is: calculus / differential equations and probability and statistics.

I can almost see that being a requirement. Calculus, basic statistics, maybe even diff eq, but I am talking even higher level math.

I just see so many young guys writing really bad software, and moving it to production because the ones that are "checking" their code are just as bad. And then no one understands why we have so much support work. It tends to happen that the person writing the bad code either moves to a new project or new company before it gets too bad, and others are stuck with their crap.

When you start hiring people, you will see a bunch of people that switch jobs every 3 years. This is about the time it takes bad code to become so much of a maintenance headache, that they do now want to support their own designs.

Phani Sarma · 3/28/16

Completely agree with your observations Sonny. Serious "Quant Modelling" jobs in the banks, are kind of loosing the purpose due to the situations you mentioned above. But, do you think,the same holds true for smaller / buy side investment firms as well ?

I believe such firms should have relatively flat hierarchy, and less of regulatory restrictions as such. So these firms could be the way to go for a quant ?

qdogg · 3/28/16

Phani Sarma said:
Completely agree with your observations Sonny. Serious "Quant Modelling" jobs in the banks, are kind of loosing the purpose due to the situations you mentioned above. But, do you think,the same holds true for smaller / buy side investment firms as well ?

I believe such firms should have relatively flat hierarchy, and less of regulatory restrictions as such. So these firms could be the way to go for a quant ?

Except for the hardcore quant shops that only hire PhDs, "smaller / buy side investment firms" from a quant standpoint generally don't do anything that's all that much fancier than factor modeling

What's more important to them (based on my experience doing it now) is programming skills and finance knowledge-- regressing historical forward returns against combinations of accounting statement factors all day, and that means substantial comfort with R (for the regressions) and a CFA charter (to understand what all the factors mean), not partial differential equations and stochastic calculus

ShowMeTheLight · 3/28/16

qdogg said:
Except for the hardcore quant shops that only hire PhDs, "smaller / buy side investment firms" from a quant standpoint generally don't do anything that's all that much fancier than factor modeling

So I'm a PhD scientist who has been studying off and on for the past 6 months for quant interviews. I did talk to a guy at a "leading Midwest quant hedge fund" who basically said they are just doing simple regression models for the most part. No fancy deep learning or esoteric mathematics. Another guy at the "leading Midwest HFT shop" told me that the industry basically doesn't invest much in R&D anymore, and just tries to make simple models faster, to beat their competitors by 1 us.

Another thing that seems like a Red Herring to me is that Two Sigma only hires fresh grads now, for the most part. What's up with that? Google doesn't say "Sorry, only people under 25 need apply". Wouldn't you want an experienced researcher or developer? Makes me think they are trying to save on labor costs, and that their employees will be out the door when they hit 35.

So I guess what you are saying is consistent with what those in the industry have told me. The thing is, you can work your way up to >$250,000/yr at a major corporation like Google or General Electric, and you can keep the job until you are 70. I seriously can't imagine being a quant at a hedge fund past 45. So that's 25 years of lost earning potential. Not sure you come out ahead, unless you were to start your own fund.