Questions for Robert Almgren's interview

[Andy Nguyen]

I'm going to conduct an interview with Mr. Almgren so if you are interested in asking him any question, send me an email, PM or post it here

Robert Almgren is co-founder of Quantitative Brokers and an adjunct professor in the Courant MSFM program.

He was also on the panel that ranked the AdvancedTrading's Top 10 Quant Programs in 2008.

Feel free to ask questions about quant career, education and anything you find interesting.

 

[ralmgren]

Just so no one thinks that being on that panel was the high point of my career, here are a few other aspects to stimulate questions:

* I have been involved with 3 masters of math finance programs. I helped found the U Chicago one, I directed the U Toronto one for 3 years, and I have taught in the NYU one for a couple of years. I have a lot of experience designing these programs, teaching in them, and placing the graduates.

* Since I moved to industry, I have hired a bunch of MF graduates. So I have seen the hiring process from both sides of the table.

* I had a substantial scientific career (applied mathematics, fluid dynamics, and materials science) before I ever got into finance.

* In my industrial life, I've pretty much exclusively been doing agency trade execution and transaction cost measurement and estimation. I never wanted to be on the buy side.

I told Andy I didn't guarantee to answer all his questions, and I reserved the option to make up other questions if I though he missed good ones. But the more interesting ones on the table, the better the discussion will be.

 

[Stefan Zota]

* Which books do you recommend on trade execution and market microstructure in general?

* Do you see a need for real-time scheduling and other Computer Science areas for bulk trade execution?

* Trade execution cost has been a focus for buy/sell side companies as well as servicing/brokers. Where do you think this service will reside in 5 years?

 

[Connor]

What areas or topics do you think are not sufficiently covered by math finance programs today? And what areas/topics do you think will be important in the future?

From a hiring perspective, are there any skills that you would like to see in applicants that you don't?

What can a masters student do beyond their coursework to impress you?

 

[latency]

1. I can see how your strategies are useful for execution of say stock to hedge option trades and executing large trades, are there applications from a market making perspective?
2. What do you reckon a trader in liquid markets should know these days besides things like exchange /matching engine specific behavior?

 

[AlgoCan]

1- What is the best transition strategy for a quantitative PhD (say EE) into quant finance? Do you prefer to hire candidates with MFE background over non-MFE candidates for a quant role?

2- Do you have any advice for long-distance networking? Not every quant enthusiast lives in NYC or London.