L******g
发帖数: 1371 | 1 今年equity long-short, market neutral 的fund 都不错。
Convertible arbitrage 也还凑合
看看hskax 这个ticker 就知道了， JMNAX 也不错。
其实今年好多strategy 都work 的很好
隔壁的volatility arbitrage 都22% YTD 了
最主要的是，momentum strategy 很好。
Momomentum 策略好，就代表了好多做qualitative 的 fund 都会数字很好。
当然，六月的数字还没有出来，但是我很确信，六月是negative 的。 |
L******g
发帖数: 1371 | 2 大爷爷的，
85个人看贴，都不会一个。。。
还想贴个HFT developer 的opening 呢。 |
p******i
发帖数: 1358 | |
p*****y
发帖数: 529 | 4 我回一个。
Vol arbitrage怎么赚钱的？今年的vol 很低啊。 |
D********n
发帖数: 978 | 5 刚才拿iPhone看的，回帖不方便，见谅...
【在 L******g 的大作中提到】
: 大爷爷的，
: 85个人看贴，都不会一个。。。
: 还想贴个HFT developer 的opening 呢。
|
k*****a
发帖数: 7389 | 6 why 六月是negative 的? if the market is so good???
【在 L******g 的大作中提到】
: 今年equity long-short, market neutral 的fund 都不错。
: Convertible arbitrage 也还凑合
: 看看hskax 这个ticker 就知道了， JMNAX 也不错。
: 其实今年好多strategy 都work 的很好
: 隔壁的volatility arbitrage 都22% YTD 了
: 最主要的是，momentum strategy 很好。
: Momomentum 策略好，就代表了好多做qualitative 的 fund 都会数字很好。
: 当然，六月的数字还没有出来，但是我很确信，六月是negative 的。
|
L******g
发帖数: 1371 | 7 如果要 asset 的alpha
只要看一家公司 AQR，
虽然不是hft,他们的strategy 做的很细致。
六月后来两个星期很好，但是前两个星期太惨了.
volatility arbitrage 亏的太惨，六月比五月稍微好一点。 |
A***l
发帖数: 302 | 8 JMNAX has negative YTD return?
【在 L******g 的大作中提到】
: 今年equity long-short, market neutral 的fund 都不错。
: Convertible arbitrage 也还凑合
: 看看hskax 这个ticker 就知道了， JMNAX 也不错。
: 其实今年好多strategy 都work 的很好
: 隔壁的volatility arbitrage 都22% YTD 了
: 最主要的是，momentum strategy 很好。
: Momomentum 策略好，就代表了好多做qualitative 的 fund 都会数字很好。
: 当然，六月的数字还没有出来，但是我很确信，六月是negative 的。
|
g***s
发帖数: 3811 | 9 有兴趣的PM我，这个是比较senior的职位，刚毕业的应该希望不大。
Position Description:
Looking for a senior developer to join the Equity Derivatives Scenarios team
. The Scenarios team is responsible for calculating overnight risk for the
front office, including: traders, risk managers and Strats. These
calculations are performed for all regions running 24/5. The calculation
include various Scenarios, PnL Attribution/PnL Explain, and bucketed Greeks
that are too compute intensive for real-time risk, as well as Mark Review
analysis. The positions that flow through this infrastructure range from
exotic Equity derivatives to vanilla Equity options, Equity Swaps and plain
stocks, covering more than 500,000 positions globally. These results, which
are mission critical to the firm, are delivered on a stringent schedule as
very senior traders and risk managers use them for trading decisions in each
location and to manage risk globally.
This is a very technical team, where self motivation and technical skills
are highly prized. The system that the team owns and continues to build is a
widely distributed one with well over over 3,800 cores utilized to perform
the calculations. The team has successfully introduced innovative approaches
to both calculating results as well as collecting and reporting them, which
involved new technologies such as Antlr, DataSynapse, and KDb. As part of
its delivery and as one of the venues for delivery of results, the Scenarios
system also interacts with intraday and end of day infrastructure so that
everyone is exposed to all aspects of risk management in Equities. Going
forward, the system has a great many more measures to calculate in order to
provide a fuller view of risk to the business as well as improve
efficiencies in order to lower compute costs as more exotic instruments are
added and the overall number of positions grows. The team is also working on
enhancing the main infrastructure to cover more applications that the group
supports, to reduce the cost of supporting multiple infrastructures.
Skills Required:
- Core Java 1.5 and above
- Multithreading
- Spring
- JUnit
- SQL (sybase)
- Perl/Python/Shell scripting
- Linux
- Excellent Communication Skills
- Experience in complete dev cycle
Skills Desired:
- KDb
- Derivatives Risk Management or Pricing
- Experience or familiarity with distributed systems (e.g. DataSynapse,
Platform Symphony, Gemfire, etc) |
g***s
发帖数: 3811 | 10 再来一个：
Re-Engineering Trading Systems Architect for Global Securitized Products
Seeking a Re-Engineering Architect possessing experience in the design and
architecture of MBS trading and pricing systems. This includes re-
engineering from C++ to C# and Java.
This person will design and architect the next generation of the PB2
Pricing system (specifically the back-end server); to gather requirements,
define specifications, analyze current system, collaborate with the PB2
pricing team and other team, and propose a new system architecture that will
address the business needs now and in the next 10 years.
Background:
- BS in Computers/Math/Engineering
Commercial:
- Extensive knowledge of concepts/issues in Fixed Income securities
trading, pricing, and analytics.
- Extensive understanding of Securitized products and/or Mortgage
Backed Securities (MBS);
Technology:
- Experience in the design and architecture of MBS trading and
pricing systems.
- Programming experience in client/server systems.
- C/C++, Unix, Sybase, Perl, C#, Java, Shell scripting
- Demonstrate previous design models
- Solid software development life-cycle skills (requirements,
design, code, test).
Soft Skills:
- Good communication skills.
- Ability to work in a high-pressured environment with very
demanding users.
- Ability to handle multiple projects simultaneously and juggle
priorities. |
|
|
C*O
发帖数: 389 | |
g**e
发帖数: 6127 | 12 我能PM吗
team
Greeks
plain
【在 g***s 的大作中提到】
: 有兴趣的PM我，这个是比较senior的职位，刚毕业的应该希望不大。
: Position Description:
: Looking for a senior developer to join the Equity Derivatives Scenarios team
: . The Scenarios team is responsible for calculating overnight risk for the
: front office, including: traders, risk managers and Strats. These
: calculations are performed for all regions running 24/5. The calculation
: include various Scenarios, PnL Attribution/PnL Explain, and bucketed Greeks
: that are too compute intensive for real-time risk, as well as Mark Review
: analysis. The positions that flow through this infrastructure range from
: exotic Equity derivatives to vanilla Equity options, Equity Swaps and plain
|
l****o
发帖数: 2909 | 13 no!
【在 g**e 的大作中提到】
: 我能PM吗
:
: team
: Greeks
: plain
|
p****u
发帖数: 2596 | 14 为啥６月是负的啊？６月最后２周多好，我们组６月还挺好的。５月份不太行，大概
flat。
【在 L******g 的大作中提到】
: 今年equity long-short, market neutral 的fund 都不错。
: Convertible arbitrage 也还凑合
: 看看hskax 这个ticker 就知道了， JMNAX 也不错。
: 其实今年好多strategy 都work 的很好
: 隔壁的volatility arbitrage 都22% YTD 了
: 最主要的是，momentum strategy 很好。
: Momomentum 策略好，就代表了好多做qualitative 的 fund 都会数字很好。
: 当然，六月的数字还没有出来，但是我很确信，六月是negative 的。
|
L******g
发帖数: 1371 | 15 http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
our group is postive, but the industry must be negative.
【在 p****u 的大作中提到】
: 为啥６月是负的啊？６月最后２周多好，我们组６月还挺好的。５月份不太行，大概
: flat。
|
l*******n
发帖数: 206 | 16 good catch
lz please explain why jmnax is any good?
【在 A***l 的大作中提到】
: JMNAX has negative YTD return?
|
q**j
发帖数: 10612 | 17 this fund looks kind of strange. it has been losing money for over a year,
which is really difficult do.
【在 l*******n 的大作中提到】
: good catch
: lz please explain why jmnax is any good?
|
L******g
发帖数: 1371 | 18 JMNax 是 一直很奇怪的fund, total aum over a billion
我的猜测是有很jpmnax的旗下别的investor 在买，
PM是个中国人。
我老板告诉我JMNAX有 high frequency 的成分，个人属于不相信。
是我弄混了，本来想说的是AMOMX, AQR的, 我想说的point就是， 一个市场，只有平静
下来，momentum 才会work,所以，不要天天柴人吓自己，都是例行的。
市场，其实很稳定。 |
c*******e
发帖数: 150 | 19 one form of volatility arb:
sell implied vol, pay for realized vol
through either vanillas or other instruments, say var swaps.
【在 p*****y 的大作中提到】
: 我回一个。
: Vol arbitrage怎么赚钱的？今年的vol 很低啊。
|
p******i
发帖数: 1358 | 20 地震那两天没wipe out？
【在 c*******e 的大作中提到】
: one form of volatility arb:
: sell implied vol, pay for realized vol
: through either vanillas or other instruments, say var swaps.
|
c*******e
发帖数: 150 | 21 呵呵，您老说到电子上了。 timing signal 告诉偶什么时候 short implied vol, 基
本上financial market 里面的事情都考虑周全了，木想到老天爷（其实是土地公公）
不是很合作，木有先兆地就tsunami了。的确被烧了一把。
以后休闲下来要看看seismology，meterology入门的技术，如果自然灾害也能预测，
slot machine strategy也可以试一下了
【在 p******i 的大作中提到】
: 地震那两天没wipe out？
|
p****u
发帖数: 2596 | 22 我总觉得这index严重的under－estimated，动不动全年都是负 的。。。。
【在 L******g 的大作中提到】
: http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
: our group is postive, but the industry must be negative.
|
