Quant thread

Can we get a thread where the MBA weenies aren't allowed?  Quants only.

What's your education?  PhD or MS?  What fields are best?  CS, math, financial engineering, physics, signal processing?

How did you prepare to get a job or an internship?

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Comments (71)

May 7, 2021 - 11:19am

BA. I think CS, Math, and Physics are all very solid. Today I would say coding skills are very important regardless of your major/field, so if you don't study CS it is a good idea to take some classes there. Not a fan of financial engineering but some of those kids do place well, esp from Princeton.

For prep, I think it is important to know your basic statistics and probability, and have your linear regression formulas down cold. Some firms also do coding screens that aren't too dissimilar from those done by FAANG (but perhaps less heavy on algorithms/data structures). Beyond that, it has been my experience that questions will be tailored to your strengths. If you purport to be an ML whiz, you may get some questions accordingly. Also, if you're an experienced candidate you will obviously get questions on strategies that you've worked on in the past. 

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May 13, 2021 - 7:29am

I think it's still trendy these days, and that the narrative that ML is useless for quant trading is overblown. Fitting a deep NN to daily returns certainly won't work (at least easily), but there are areas where it can add value, eg hierarchical clustering for portfolio construction, NLP for transcripts/news, etc. 

However, there is so much fluff and hype around ML/Data Science, and as a result there are many subpar candidates who fill their resume with buzzwords like LSTM, Attention, etc. Data Science courses also tend to be much less rigorous than say martingale theory as well. Thus I suspect those interviewers did a quasi Bayesian calculation p(good researcher | ML enthusiasm) < p(good researcher | preference for linear regression). 

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  • Anonymous Monkey
  • Rank: Chimp
May 7, 2021 - 12:22pm

I explored being a quant one time. Was thinking of getting a phd in math. Have some friends with phds in stats. I'm a fan of Jim Simons and the rest of the quant guys. I've read some of those books. Good stuff. I think a former roommate of mine is a quant at DB and have some friends who work at DESCO. Best wishes to all

  • Intern in IB - Gen
May 10, 2021 - 8:15am

hey guys I have a friend who is interested in becoming a quant and has asked me for advice. I will be in IB and have no clue how to help him, could someone give me some resources I could share with him. 

May 13, 2021 - 7:25pm

I think the general narrative is that you can learn CS on your own (hell some of the best SWE's I know are self taught), but doing this with math is much harder. Think of it this way: The math motivates the what and why to do something, the CS is just the tool to let you do it.

"one for the money two for the better green 3 4-methylenedioxymethamphetamine" - M.F. Doom

May 10, 2021 - 4:17pm

Hey hey big boi, don't diss on the MBAs. Moreover, don't even call yourself Quants lmao. Most of you are CS junkies who aren't actual Quants. Unless you know what a Ornstein-Uhlenbeck Operator is or even what a semimartingale is, you are a CS junkie, not a Quant.

May 10, 2021 - 4:41pm

Simons doesn't hire anyone with a finance background who would know what those things are.  The key is being able to research and implement new ideas which could be anyone from a physicist to a signal processing engineer.

May 10, 2021 - 5:01pm

See, you don't even know basic mathematics. Yet you are eager to call yourself a Quant.

Simons also doesn't hire people like you. He likes academics. You my good sir are a CS junkie like most others here. Physics employs heavy use of mathematics from elementary differential geometry to infinite dimensional stochastic analysis. Good Physics PhDs are well versed in mathematics. 

May 10, 2021 - 5:28pm

OU and semimartingales are standard fare, albeit not so useful unless you're doing options. 

There is nothing wrong with being a CS junkie, there is highly nontrivial mathematics in fields like machine learning and randomized algorithms. Agreed though that OP sounds like a newbie. 

May 10, 2021 - 5:40pm

Agree with you that there is nothing wrong with being a CS junkie, but there is also nothing wrong with being an MBA working in traditional/fundamental roles.

However, once OP started taking hits on MBAs, it became fair game. Thinking you're better than MBAs whilst being a CS junkie is wrong.

  • PM in HF - Other
May 10, 2021 - 7:25pm

Lots of top CS programs usually share the faculty/programs with Math departments. My school CS fell under Mathematics. Truly the pure math/ops-research or CS paths were not different as all the top students were treated to just study whatever academics they enjoyed. 

As well know a few who did an MBA after math undergrad who are "quant researchers" maybe thats the CS junkie path. That said majority of quants I have come across are math phds.

Most Helpful
Jul 7, 2021 - 10:36pm

Not a quant, but I have a CS background and work on a fundamental equities team. The actual quant team in our department pulls more on math backgrounds. Obviously programming is important on that team but my opinion would be the strong understanding of real math is more beneficial in quant research and signal generation than me being (probably) better at programming but worst at understanding math outside of basic statistics.  I would say math better background for a quant, especially when it comes to advanced algorithm design. In one of my grad school courses one of the other students was a pretty high up at one of the exchanges and had a lot of relationships on the buy and sell side in the quant world. Someone asked a similar question in the class and that was his take as well.
 

The quant team at my company is more focused on correlation/cross asset research/capital market assumptions/portfolio construction/etc. as a result they may be focusing on different thing than say a quant researcher at a HFT fund. 
 

ML is definitely over hyped in finance - I like to use it to create my own type of analysis incorporating alternative data or also to measure how a ML algo may weigh the importance of a number of inputs vs how I would weigh them qualitatively. 
 

Ultimately I use it for establishing further evidence as part of an overall research decision which personally I think is more useful. I'm sure the stuff I'm doing is very elementary compared to some quant teams, but tough to say cause I'm not in that world. Someone wrote above about using NLP/ML for transcripts. I've done that. While beneficial for me since 3rd party providers are expensive and out of the budget, ultimately this is such a common offering that any edge it may provide has been watered down by the availability of 3rd party platforms. 

Jul 8, 2021 - 10:48pm

Mean / median / mode / std deviation pretty basic stuff.  Some basic regression. Not exactly rocket science. Like I said I work on a fundamental equities team focus is more on learning companies businesses operating metrics / what would cause them to rerate / derate/ what the markets expecting vs what management is guiding to… size of their markets etc. technical analysis goes into it to a bit depending on the team member but that's still not very math oriented. once again…the quant team  does the real math. 

Jul 9, 2021 - 12:29am

BS CS+Math. MS CS. If I could go back to school, I would focus more on depth of classes I take, instead of just grinding to get As and get more degrees. I think CS + Statistics or CS + Applied Mathematics is a decent starting point. From personal view, I think having MS/P.D isn't  a requirement, but as long as you have a habit of 1) continuously catching up with new papers every other week and 2) have decent experience/understanding of defining, implementing and validating research problem will put you in a great spot. 

Jul 9, 2021 - 4:40pm

How are people who studied finance viewed compared to people who studied math and CS?  I know Jim Simons said he would never hire people with any connection to finance but that was when Wall Street and the math department were much further apart

Jul 19, 2021 - 10:03pm

If you are talking about firms like Renaissance (lets be honest, we know both you and I can't get in there given we are writing comments here), yes probably they would not want to hire people with finance background (reality: this is not true. There are handful of people with previous Banks/Other HF/Prop shop experience if you look over LinkedIn and their employees). 

But in general, if you are smart enough (here, not just book smart, but truly intellectual/smart ..), these firms (assuming you can get an interview to prove yourself) will not care about your background and willing to go above and beyond to hire you. 

The reason why quantitative firms don't mind  hiring people without finance background/not wanting to hire people with finance background is because these people are already "contaminated" with how general people think about market. They would rather find the "raw material" and teach people from the beginning in their way. Also, people without prior finance experience tend to have less constrained way of thinking about the market, so they can be more creative. 

Bottom line: if you are really smart enough and can prove, your background doesnt really matter. 

Jul 29, 2021 - 12:10am

When getting your bachelors, does having financial connection at that institution matter?

Currently work as a Data Scientist who's finishing their bachelor in Math.

Not sure if going to SMU in Dallas is worth it over a cheaper school with a bit of a worse Math department.

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Aug 3, 2021 - 3:22am

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