s**a
发帖数: 178 | 1 Company: $12bn Multi-Strat Hedge Fund
Location: New York City
Position: Quantitative Analyst
Firm Description:
Founded in 1995, The Firm is a New York-based alternative investment
management firm, which currently manages over $12 billion. We currently
have over 115 people and have additional offices in London, Singapore, Japan
and Virginia. The Firm’s investment approach is fundamental and research-
intensive, focusing on long/short credit and event-driven opportunities.
Importantly, we inves |
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s**a
发帖数: 178 | 2 hi-freq eq/fx still hot/active, i have a few active search in this space.
dont think fi-freq commodities is the same tho
for more details between the strats, pls look up previous posts i posted
here, or wiki it
现在 |
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s**a
发帖数: 178 | 3 I'm compiling a current job-opening list globally, email me respectively if
interested:
[NYC]Top IB, Quantitative Investment Strategies Algo Strategist/Associate
[NYC]Top HF, Jr-Mid level 3*Equity Quants,1 FX Futures Quant,1 Derivatives
Quant
[Stamford, CT]Top HF, Head of Risk/Quant Strat
[HK/Tokyo]Top IB, Senior Rates Quant Modeler
[Beijing]Top Asset Management Firm, entry-level Financial Engineer
[Dubai]Top IB, mid-level quant analyst (supporting global markets and
treasury finance)
Also, I'm |
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s**a
发帖数: 178 | 4 Dear all,
I'll be in NYC next week (hopefully the piggy flu doesn't get worse) to meet
candidates, see position details below, happy to chat over the phone/in
person and talk about HK/China market in particular.
[NYC/CT]multi bn hedge fund: high-freq trader+entry-level financial engineer
[NYC]top global investment bank: commodity strategist
[Tokyo/HK]top asian investment bank: algo trading quant/strat
[HK/Singapore]top hedge fund: murex financial engineer+stat arb trader/quant
[Beijing/HK]top Ch |
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m*****r
发帖数: 4 | 5 想问一下有没有知道具体情况的. 我知道在GS,STRATS是自己一个部门, BONUS是跟着
TRADING走
的. 其他的投行有不一样的. 不知MS是怎样的?
谢谢! |
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i*****1
发帖数: 7 | 6 yes or no. you can say both it and strats belong to ideas. |
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n******5
发帖数: 91 | 7 请教offer选择
1) Bloomberg tradebook quant, agency execution algo, existing quant
primarily use matlab, separate development team implement in C/C++. 听说
bloomberg工作和bank IT一样累，不知道这个部门怎么样，有谁知道吗？
2) Cantor Fitzgerald, fixed income quant analyst, high freq market making,
mainly use KDB/Q, matlab,c++ 团队似乎刚起步，但拥有espeed交易中心，似乎作HF
MM 很有优势。工作时间会很长，奖金会跟P&L挂钩。不知道这个公司文化如何？个人观
察似乎管理比较乱
3）Barclays capital, Sales Quant strat, actual work will be more like CRM
data mining, mainly matlab/kdb/java. 团队还没起步，似乎有很多infra |
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d*j
发帖数: 13780 | 8 不知道。。。。
那个 head of strat Mr. Bullent 叫我去的
去了发现， 简直是个 joke
anyway, 我自己还是很差劲的 |
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C*********h
发帖数: 74 | 9 Mo到FO不是想象的那么难。
GS tech->trading/ibd我都见过几个了。
lz对desk strat的理解稍微偏了点。取决于哪个desk,做的东西很可能和pricing一点关
系也没有。
不过感觉UBS你挺合适的。 |
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a***r
发帖数: 594 | 10 if you are interviewing with them, maybe you d find it helpful that a few
things I knew that core did back then:
1. SLANG and its IDE (secview, secgui ...)
2. distributed computing framework ( the API and underlying infrastructure
to utilize the firms CPU pool )
3. batch process distributor (the mighty PROCMON :)
4. slang table model. A java based proprietary spreadsheet application. the
end delivery tool for virtually all PNL and risk reports.
5. code quality control, test. When a desk strat w |
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a***r
发帖数: 594 | 11 it is not important where I work now. suffice to say, I worked at GS as a
desk strat years ago and had interactions with core.
as for quant stuff. you need to prepare to be asked about any thing in your
resume, likely to some good depth. You ll find PHDs in all kinds of fields
among you interviewers.
from you posts, I assume you understand (not just know) programming in C++ and algorithms, maybe even some numerical computation.
knowing black scholes is probably desirable, to the extend to knowin |
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d*j
发帖数: 13780 | 12 也可能是和 equivalent measure , measure zero set, hedging strat 有关的 |
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b**********5
发帖数: 51 | 13 刚接到GS面试。想跟我（刚从一个美国FE硕士项目毕业）面试如题职位。但是，我对此
职位，不
是甚了解。请问这职位是大概做些什么？可能会遇到些什么样的quantitative or
technical
interview questions
Thanks in advanced. |
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b**********5
发帖数: 51 | 14 1. Which method is the best to price the long-term American put option?
Lattice Models – Binomial/Trinomial Tree (can adjust the change of interest
rate and dividend payments at the nodes). And how to use the Binomial Tree
model (elaborate the whole process of pricing using Binomial Tree model)?
2. For no matter what kinds of reasons we can’t price the one-year American
put. Here we have the prices of 1-month, 3-month, 6 month and 1-year
European put options. Should the price of the one-year Ame |
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d*j
发帖数: 13780 | 15 you are good
best luck !
interest
Tree
American
to |
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b**********5
发帖数: 51 | 16 I shared my interview questions here, so people can discuss them to prepare
the interview for quantitative positions. |
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d*j
发帖数: 13780 | 17 恩， 你也多看看本版历史
问的问题都很基本
prepare |
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k*******g
发帖数: 263 | 18 is this really a quant position? |
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b******e
发帖数: 118 | 19 For question 2, why is the answer yes? American put is always worth more
than the corresponding European put, isn't it? |
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b**********5
发帖数: 51 | 20 bitalice,
I think the interviewee is asking approximation, not the exact value.
And please note that this is my ans to the questions, but the ans given by
the interviewee. So welcome discussion. |
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d*j
发帖数: 13780 | 21 第二个可能不是普遍的现象吧
GS难道就没有类似于 citi DP 的东西？
desk quant 基本不用建立模型做 pricing
只要知道大体意思， 在VBA里面直接call就可以了 |
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d*j
发帖数: 13780 | 22 Thank you very much, for those info.
Super cow
sorry, cannot type in Chinese now ...... |
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B*********n
发帖数: 2552 | 23 Nobody give a shxt to your original post asking about the interview.
Now you posted the questions and people start to discuss.
How sad this place is.
Good luck on you LZ. |
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d*j
发帖数: 13780 | 25 没有别的意思啊， 大牛
我只是根据自己的一点点经验判断的
那些trader 称呼自己是什么 flow
然后我做的 几乎和你说的一模一样
when thinking about flow business in strat context, one thinks about: fast m
odel; real time data, PNL, risk analytics; robust infrastructure to handle l
arge portfolio and large volume of trades.
think the meaning changed in the firm.
are
handle |
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a***r
发帖数: 594 | 26 I am not niu. left GS a while ago. don't even work on the Street anymore.
I was a none-prop, none-flow strat back then.
I finally came to realize that many exotic/structured "trading" desks are actually more
of issuers/originaters. a client come seeking certain risks, you do a deal
with them, and try your best to hedge away the risk you take on.
some times you have a template contract, like a plain CDO, some times, the
shit is so complex and unique, it makes your brain hurt even to code up its
c |
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a***r
发帖数: 594 | 27 you ll find out what they do during the interviews. if u r not interested,
just do not proceed for futher interviews or reject the offer when presented.
if I were you, I d go for it and go for it hard.
very talented team of strats, talented and civilized traders. hard to come
by on the floor. |
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x****w
发帖数: 119 | 28 ft，怎么一带quantatitive的都全是coding再coding啊，跟ibd有啥关系...
but anyway goodluck
Finance。
die, stopping if the result is 1-3 and rolling again if the result is 4-6.
You roll indefinitely until a 1-3 is rolled. Your score is the sum of the
scores for all rolls. What is:
divisor of two integers?
0-99. Note that one integer is missing (since 0-99 is 100 numbers and the
vector has 99 entries). How would you determine the missing integer if the
vector is:
other until one of them scores four wins. Therefore, th |
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l****o
发帖数: 2909 | 29 搞不懂。居然还有quantitative corporate finance。 |
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fu
发帖数: 6 | 30 Do you have insurance background or equity derivatives? One of my friend has
been interviewed for this position long time ago. I remember it is
primarily modeling support group, not a core dept in IBD.
Finance。
die, stopping if the result is 1-3 and rolling again if the result is 4-6.
You roll indefinitely until a 1-3 is rolled. Your score is the sum of the
scores for all rolls. What is: |
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I*E
发帖数: 152 | 31 如下的Job Description指的就是Quant吗？
Job Description:
1. Develop and Implement mathematical models of the joint dynamics of
the financial factors impacting valuation and risk management of
positions traded by the firm.
2. Develop, implement, estimate and calibrate under both pricing and
physical measure the valuation and risk management tools and analytics
used by the Desk Strats for identifying revenue position and risk.
3. Design and implement model structure to enable models and analytics
to be shar |
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z****i
发帖数: 406 | 32 肯定是quant职位啦。
不过看起来是个risk quant而不是desk quant？
是GS的？ 感觉好像只有GS把quant叫做strat。。 |
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j****i
发帖数: 305 | 33 现在有一个软件公私的offer, 98k,在一个小城市. 有可能会拿到GS strat offer,
junior level. 本人是物理博后,没有工作经验. recruiter 问我要一个底线值,我应该
说多少呢? recruiter 一直跟我强调有什么人据了knight trading 28w 的 offer,
take 了 GS 的 10w 的.说不要让我对工资期望过高,而且有offer的话希望我能接受.
弄得我云里雾里. 好像他也就能帮我整个10w左右. 但纽约消费太高了呀.
我应该说多少呢? 街上有经验的大侠帮忙出个主意? 谢谢各位! |
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z****i
发帖数: 406 | 34 他们的strat team是招quant啊。。。
大概sales是要招“出身好可以拉客户的”， 呵呵 |
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t**********a
发帖数: 166 | 35 JPM version of slang and secdb
core developer = core strats at GS |
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J**********g
发帖数: 213 | 36 thank you. The lady actually told me the name of the interviewer for FID
team: Hyukjae Park, executive director:
http://www.linkedin.com/pub/hyukjae-park/a/971/333
Strat/Quant in credit derivaties
Phd in physics on string theory...
I would expect tough questions from him.... |
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c******r
发帖数: 300 | 37 面了两个组，答的一般，特别是QIS，很多econ的东西我一点都不熟，感觉背景明显不
match,
都不知道为啥会要我去面。。。
securities strats:
(1) 经典random walk的问题 1出发回到0或到达3停止，到达3的概率，以及停止时间的
期望。
(2) Bt是Brownian motion, Xt = 2^Bt, 问Xt是否是martingale，如果不是，如何做
change of measure把Xt变成martingale.
(3) 给3个currencies的exchange rates, 如何找arbitrage, 推广到n个的case, 算法
复杂度.
qis:
(1) bs的assumption都有啥，和efficient market hyothesis的关系
(2) cross-sectional time series analysis 和pandel data analysi之间的关系
(3) linear regression的assumption
(4) name trading strategies you knew
(5) cap... 阅读全帖 |
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J**********g
发帖数: 213 | 38 You are really nice. I do need chances to show what I can contribute to the
company, though maybe not immediately (but almost, since I know more and
more what strats and modelers do, and becoming really good at them). At the
same time, I am working/learning harder, and the knowledge and kills (
including communication with people) are the key part in nailing the job. I
hope I can get the one from MS.
Thank you. |
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b*****r
发帖数: 4717 | 40 被猎头忽悠了，都说了我不是programmer，还是把resume投了
围绕resume问了些问题，然后是brain teaser (后来发现是Google的编程题)
a rabbit jumps N stairs, can jump 1 or 2 stairs a time, how many ways to
get to the top.
1）数学解
2）pseudo-code |
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J**********g
发帖数: 213 | 43 One rule I was told that, once you fail one company, you should not apply to
it again. So imo, always double check with some company/bank you wanna go,
and make sure you are prepared.
================================
Also, anyone can help me? I was told in an email notification that
1条公开好友申请未审批
but I cannot find it. could you nicely let me know where to see the
inviation of adding as friend? Thanks.
Jonathan |
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J**********g
发帖数: 213 | 45 what's bullshit? you mean the rule or BS of BS? hehe |
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d*j
发帖数: 13780 | 46 once you fail one company, you should not apply to
it again. |
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M********t
发帖数: 163 | 47 It is NOT TRUE for all.
Maybe it is true for MS. |
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d*j
发帖数: 13780 | 48 去年一个小小的 desk, equity strat, book 只有几百mm
一共五个人
MD 拿了 2mm, 最小的小兵(3Y exp) 30W |
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d*j
发帖数: 13780 | 49 帮trader解决什么紧要问题？
是 trading strat or spreadsheet crash ? |
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e********5
发帖数: 422 | 50 MS Strats and Modeling Intern 说是30分钟technical~~
偶工科phd啥经验都没有 数学 C++都还行 但Finance方面就不行了
拿到的第一个面试 不知道版上有没有达人已经面过这家了 有好人分享点经验就更好了
不知道是复习基本的东西呢 还是看看新闻了解行业动态呢 还是做C++那些题呢 还是
Brainteaser呢？
也没很高期待 积累积累经验为明年找工作做准备吧
我面完了就上来通报情况 |
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