Positions for scientists specialized in Machine Learning and Data Mining

[Tyler Tuan]

Dear members,

I am currently a master's student in statistics at Stanford. For my background,

• I am very strong at machine learning and data mining (both from practical and statistical aspects).
• Also, I took a course in time series.
• I am also strong at numerical optimization (both convex and non-linear); however, implemented on Matlab (I haven't implemented those algorithms using C++ or any other compiled language yet)
• I know (not amazing expert, but at doable self project level) Hadoop, Java, C++, Matlab, R and Python.
• My low-level programming such as reading assembly code, memory management and threads are not strong (could say weak).

I am interested in trading positions.

Given my background and interests, can you give me advice on which positions in financial engineering (especially trading) fit me? And which examples of companies in the US I should apply to?

Thanks all.

 

[Keith Tan]

how about data analysis such as Bloomberg?

u don't need the above qualifications to start trading. just open a trading account and implement trading strategies with your skills.

Speaking of trading, which asset classes are u looking to trade? bonds? fx? equities? options? each asset class require different kind of skillset as far as I know. from constructing term structure of interest rates in bonds to getting implied volatilities/deltas/gammas/vegas for options.

 

[Tyler Tuan]

I tried equities, but thought it was a form of gambling. So I am looking for other products now, but I actually don't have any background in finance. Can you give me information on the skill sets required for each of bonds, fx and options?

Also, I am still confused on the use on derivative trading. What is the use of option pricing in trading? Sometimes, I feel like we can treat option as equity and trade it using machine learning. That why I still don't understand the usefulness of option pricing in trading.

 

[Keith Tan]

any trade without a sound strategy is a form of gambling.

people buy options for speculation or hedging purposes. to make money, you can write an option and sell it. how do you determine the fair value of this option? sell it too cheaply, you make a loss when the underlying goes up for a call option. remember, you need to deliver the underlying on maturity or exercise. if you don't, then the value of the option decreases. how do you hedge this position with respect to the underlying?

all option traders are expected to know, at the very basic, to setup a delta neutral portfolio. or a gamma or rho neutral portfolio. you can even setup strategies such as bull spreads, butterflies, etc.

people made millions on the floor just trading options alone. some of them went bankrupt too.