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How to Get a Quant Job in Finance

179 points by saraha 12y ago

ivanche 12y ago
" Brainteasers are popular." Can somebody explain why? I'm genuinely interested, since in software dev interviews we see less and less brainteasers...
- busterarm 12y ago
  Hedge funds have a hard-on for these kind of questions regardless of the role. I got a few of them in the interviews I had for the one I did IT support for... They also liked taking Ivy grads with BAs and giving them receptionist jobs.
  - tormeh 12y ago
    It's the perfect market at work, I tell you. The private industry can do no wrong because then people would stop investing in the company and/or stop buying their services. /s
    - tomp 12y ago
      I don't see why the sarcasm. Hedge funds are not banks; they live or die by the brains of the people they hire. If they perform well, they get more investors. If they fail to perform, they go bust, and noone is there to bail them out.
      - kasey_junk 12y ago
        As in most industries, I think you are undervaluing the importance of sales. It's true that long term performance dips will cause a fund to go bust, looking at the number of funds that don't outperform (or only marginally outperform) the market, year after year, makes it obvious that sales are an important part of the hedge fund industry.
        busterarm 12y ago
        They're definitely important but hedge funds depend on investor confidence. Ours made an untimely bad decision that not only resulted in significant losses but caused investors to flee. Sales is tied to performance. Hedge funds' customers are even more conservative than they are.
        tomp 12y ago
        Right, but it's not sales in the sense of "lets convince stupid people to waste money by giving it to us", it's more in the sense of "trust us, we're smart, have a good strategy and good past performance". Of course, the average hedge fund under-performs the market (for a particular measure of performance), but rich people might have other investment goals (the chance of finding alpha & beating the market, diversification, negative beta (anti-cyclic returns), ...). Same as with casinos/lottery, they need little sales, people know it in average underperforms just keeping the money, but you're not gambling for the average, you're gambling for the variance.
        intended 12y ago
        Interesting point, but given that the average performance is ... average, most rich people would be better off investing in an inside edge on a deal. Which is what I suppose they do.
      - tormeh 12y ago
        The sarcasm's there because the market clearly doesn't work as it should here, just as it doesn't work in many other industries. The free market works for commodities trading, but not much else.
    - busterarm 12y ago
      That's basically it though. The company can do no wrong so it tries to hire people who are extreme serial achievers. They're very sensitive to what people in the company say externally.
- throwaway283719 12y ago
  One (slightly cynical) answer is that people like to hire people like them. Most quant types working in hedge funds are very good at brainteasers, and if other people are good at brainteasers it ticks one of the "this person is like me" boxes whilst also ticking the "this person is smart" box. It also allows an endless pissing contest of comparing new brainteasers among your colleagues, and telling stories of helpless candidates who couldn't even manage the first gasp of a hint of an idea towards the solution. I tend not to like extremely complex brainteasers as interview questions, and especially not ones that require an "aha" moment to solve them correctly, because mostly what you're testing for is whether the candidate has seen that question before (or one like it). On the other hand, I am a big fan of asking relatively easy math questions (i.e. first year undergraduate) in interviews, because if I'm going to be paying someone $100k+ to work on mathematical models, I'm damn well going to make sure that they understand basic probability, statistics, calculus and linear algebra. These are a bit like fizz-buzz for quants - if the candidate can answer them it doesn't prove anything, but if they can't answer them then you can stop the interview right there.
- stupandaus 12y ago
  Brainteasers are somewhat common in consulting interviews (at the undergraduate level). The idea behind giving brainteasers is more to see how you would structure and break down a problem, and whether you can communicate your structure and solution effectively.
- murbard2 12y ago
  I work as a quant and I like to give brainteasers in interview. It definitely does not tell me if someone will necessarily be good at his job or a good fit for the team, but it does help me rule out a lot of potential candidates. These are not very tricky brainteasers that depend on getting a particular insight. They're actually somewhat pedestrian. However, if you can't manage to competently work out a simple, well defined problem, you're going to struggle with the more complex issues we deal with.
  - waterlesscloud 12y ago
    Can you give an example or two of the more complex issues you deal with? I honestly have no idea.
    - murbard2 12y ago
      Can't be too specific, but I often need to solve differential equations, find closed form solutions to some integrals (mathematica helps but is often not sufficient), build models which strike a good balance between realism and tractability. Find which properties are important to preserve in models and which aren't, etc. chollida1's comment is spot on and I oscillate between 1 and 2.
      - FD3SA 12y ago
        None of these have any similarity to brainteasers. In fact, these are all excellent subjects on their own that could be tested directly. For example: "Give me an overview of a numerical method used to solve differential equations." The more time you spend asking brainteasers, the less time you have to devote to your actual skills of interest. You may even find that quizzing someone on mathematics may help refresh and solidify your own understanding.
        murbard2 12y ago
        Do you have experience interviewing candidates? Many candidates will answer this question correctly and yet be totally unable to do anything when they're confronted with a non textbook case. To be clear the brain teasers I ask are mathematical problems, not the type of brain teasers used in consulting interviews. For instance: We play a game where we each draw a secret random number uniformly between 0 and 1. We each may re-throw if dissatisfied with our first throw, or me may keep it. We do not know whether or not the other has chosen to re-throw. We then compare our results and he who holds largest number wins $1. What is the best strategy to follow? That's the type of brainteaser I'd ask. It's accessible to a good high school student. I interviewed a PhD candidate in applied mathematics from a top Ivy league university who: - wouldn't believe that maximizing the expected value of the number obtained wasn't optimal until shown an explicit counterexample - was unable to write the equations properly or model the problem - was unable to solve the equations after I handed them out to them He was however able to talk about his thesis work. Your questions wouldn't have caught that at all. His thesis work was in game theory.
- mlrtime 12y ago
  Interviewers are (should) not interested in the correct answer. They are interested in seeing the candidate think out loud. They want to see how you start tackling difficult problems.
  - Hansi 12y ago
    I second this, we almost never use brainteasers but they can be useful for seeing how people think about solving problems. Once people have 2+ years of experience it becomes less relevant because it's more useful to talk about actual work they've done rather than some puzzles.
- vijucat 12y ago
  It's a shibboleth : https://en.wikipedia.org/wiki/Shibboleth https://en.wikipedia.org/wiki/Shibboleth. It shows you belong.
- jim_greco 12y ago
  In my experience in finance it's all about the interviewer showing the interviewee how smart she is. There's smart quants/programmers/traders/etc and people good at solving brainteasers. You need the former, but people who use brainteasers in the interview process typically only find the small sliver of overlap in the venn diagram.
  - silverbax88 12y ago
    Brainteasers in an interview is a red flag that you probably don't want to work for the company. In my experience. If you're interviewing someone and you're lazy enough (or not confident enough) in your skills at assessing a candidate, that's a weakness.
Rainymood 12y ago
Interesting! Thanks a lot for writing/posting this. I enjoyed the read. One thing I had to chuckle at was this: >Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005 as an associate professor and is now a full professor. Pure math to quant to actuary. It's kind of funny how I see/have met so many people that have gone this route. It's like they got sucked into pure mathematics, then thought: shoot I really need to get some practical work done with this math! And afterwards, at a later stage in life they wanted to back out and wanted a stable, high paying, but still math heavy job (actuary!). Does anybody here have any experiences with being on the 'front office'? I'd love to hear them.
- zerr 12y ago
  And also theoretical physicists. Permanent jobs are hard to find in these domains...
- mdda 12y ago
  What's the upside to admitting on HN to having front office experience?
  - skrebbel 12y ago
    Seriously? Why are you on HN at all?
    - mdda 12y ago
      I'm going to assume your comment wasn't as mean as it appears in writing. Why am I here? Because I started my first business in college, then went into finance to get some 'real world' experience, and then went on to start several other businesses (both tech and finance). I've employed quite a few people over the years, had some good times, some bad. You know : The basic entrepreneurial story. I started programming with 6502 machine code, C, C++, Perl, and more recently Python, Scala and GPUs. Will likely start something to do with deep-learning/NLP in the New Year. HN feels like home. That's why I'm here. As to the content of my comment : It was intentionally low. I wanted to see how many negatives a valid comment about actually being in the finance industry would generate (-2 after a couple of hours, constant since). And, besides, any person in the finance business would immediately smile at the clear-cut upside/downside evaluation that is so common in the business. I just said it out loud. Best wishes to you.
javaistheworst 12y ago
Not mentioned but important is coding - if you are a quant in an IB these days, you will be expected to do some level of coding - often C++, Python, and maybe some Excel VBA to plug things in for the desk to play with, while IT production-ise the rest intop the RMS and trading apps.
- gadders 12y ago
  > while IT production-ise the rest intop the RMS and trading apps Generally to software engineer it so it performs properly, can be put on a grid, etc etc.
mlrtime 12y ago
"Hirers tend to be looking for strong programming and data management skills as much as mathematical ability" This cannot be over emphasized. You cannot just have an aptitude for math/statistics/probability. You will need to be able to write high performance production quality code.
- brador 12y ago
  Bug free first time and write code fast also helps.
- markovbling 12y ago
  Spot on. I got a job in finance as a quant and spent the first year building automated processes to pull portfolio holdings data from email attachments and scrape data from a bunch of different sources.
- branchless 12y ago
  95% of quant code is not only fails to achieve low-latency, it's utterly incorrect, unmaintainable and frankly deranged.
  - Hansi 12y ago
    Agree mostly, even when wanting to deliver a perfect solution that's simply not an option because of requirements for speed of delievering results and lack of man power.
  - dreamweapon 12y ago
    So true. Of course, you better not tell that to the person who wrote it. You might not get your bonus.
  - ratsbane 12y ago
    That might also be true for 95% of all code.
- kasey_junk 12y ago
  Now admittedly this is sampling bias, but I have never seen code written by a quant that could be put into production without being reworked by a software professional. The skill sets are in some way exclusive of each other. Quants do lots of exploratory work. This involves tons of one-of experiments and throwing away things that don't work. They often frequently don't have the operational understanding of the way the systems they interact operate. Further, making stuff fast on a computer is a very, very particular skill. People that could do all of that are extremely rare (such that I've never met one).
chollida1 12y ago
Having hired a lot of quants and programmers in finance I can probably give a bit of background on what to expect: Get this book, read it and understand it. http://www.amazon.com/Heard-Street-Quantitative-Questions-Interviews/dp/0970055277 http://www.amazon.com/Heard-Street-Quantitative-Questions-In... Quants tend to be in 1 of 3 categories: 1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of your hand. You'll know every way to look at a derivative product. You can program in matlab. You create the next big thing like CDO's or CDS's If you love math, this is where you want to be. 2) Quants who trade You work at a hedge fund. You can program in python with scikit or use R. You don't know calculus maybe as well as a pricing quant but you know some area of the market much much better. You know stats like its your mother tongue. 3) Risk quant/programmer. You do modelling all day for a trader or risk manager. You can take a portfolio and model any feature that someone ask for. Var, beta, greeks, you can spit them out quickly. You know C++, excel and R. You might have been an engineer in a former life. This is often considered the low position in the quant hierarchy. This is how some programmers break into the industry. 4) I lied there is actually special category 4). This is the professors of quants. You sit around all day and think about the next big equation, or how to model derivatives better than black scholes. If you are one of these people chances are your name is known in the industry:) EDIT someone asked if you can do these without a math degree. The short answer is probably not. YOu'll need a math, engineering, or physics degree, unless you really are driven to learn hte math yourself. A comp sci degree might work but you would be the exception and you'd be fighting up hill. Ask your self honestly, how many branches of mathematics have you self taught yourself and you'll get your answer. For most the answer is none, for a select few the answer is yes. Someone asked about brain teasers. They do get asked, you have to deal with it, whining in an interview that this type of question gives no useful hiring indicator won't get you hired. I don't ask them but they are common:( We throw around brain teasers at work during the day trying to stump each other. I guess some of it is trying to look smart. Some of it is that we just really like to dissect any problem and figure it out. I think the biggest reason for asking brain teasers is that at a hedge fund there are no rules for how to make money, excluding legal. They want people who can think outside the box. it turns out that its really tough to test for "can the candidate think outside the box"? Trading is a higher stress job than most other math or programming jobs, what we are trying to see is not only are you smart, but can you think on your feet and not get stressed out, because if an interview stresses you out, whats going to happens when a $50,000,000 position that should be going up starts to go down. Are you going to complain that the model says it should go up and the market isn't being fair, or are you going to accept what's happening and get back to work? You'd be surprised at the number of people who chose option 1. I ask a bunch of questions that some people feel are brain teasers. In between questions I'l throw out what's the square root of 225 to see how the candidate reacts. Good traders seem to be exceptional at mental math, with very, very few exceptions. I'll also ask alot of probability questions. Get ready to know what your expected payoff is if you gamble on dice games, its basically what you do every minute of the day when trading:) Now if you are a programmer, how do you get into the industry? You need to know stats, machine learning, and programming, really well. And I don't mean know machine learning, like "I tool an nlp library and stiched it together to do sentiment analysis on a corpus of text". I will ask what algorithms the underlying library used. You used SVM, great talk to me about your kernel selection methods. I want to know that you understand the math, and more importantly the assumptions and limitations of the library you are using. The reason is that when you trade on a model that is based on your machine learning, I want to know that you know when it breaks. Finance is an industry that loves to model but has crashes that are predicted to happen 1 in 1000 year events happen every 10 years. I love helping programmers who want to become quants get into the industry. Please feel free to ask if you have questions!
rhodri 12y ago
I'd like to see an article titled "Why Get a Quant Job in Finance?"
- kasey_junk 12y ago
  Because you get to work on really interesting math problems, in an environment that isn't stingy with pay or equipment and has clear objective measures of what things are important for the business?
  - abrichr 12y ago
    I think the question that rhodri poses is an important one. For me, satisfaction comes from more than just the solution to the immediate problem, or the amount of money I'm being paid to solve it. Satisfaction comes from knowing that what I'm spending my life on is meaningful in some greater sense. Other ML fields like robotics and deep learning have virtually limitless applications that may benefit society in some way. Of course, I have heard the arguments for statistical arbitrage being useful by way of reducing inefficiencies in the market and providing liquidity, but this is far less tangible.
    - lucozade 12y ago
      > I think the question that rhodri poses is an important one. And I think kasey_junk answered it pretty succinctly. That's not to say that it's the only valid reason to want to do anything. It just happens to be quite a common reason for people to become quants. If what you want to do is answer the great questions in life then I'm not sure that being a quant is necessarily going to help with that.
graycat 12y ago
I got an applied math Ph.D. with a good course in measure theory and stochastic processes from a star student of E. Cinlar and a lot in optimization, wrote my dissertation on stochastic optimal control, had a solid background in software, especially in scientific computing, including a lot of applied statistics, sent a resume to Fisher Black at Goldman Sachs, and still have his nice answer back that he saw no opportunities for mathematics in finance. Jerked the chains of lots of headhunters and got nowhere. I concluded f'get about it. Maybe since then it's changed.
- rwmurrayVT 12y ago
  When was this?
  - graycat 12y ago
    Long time ago, e.g., Fisher Black was still alive (maybe he's not now). I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia. I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no. When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth. So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street. Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black. In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me. Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No. Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.
nether 12y ago
I'm filled with envy and rage over the fact I'm not good enough at math for this. I barely did above average in my grad level math courses in college (studied aerospace engineering). I worked my ass off; I should have breezed through it if I had the ability to be a quant.
- mahyarm 12y ago
  Math classes I've noticed just take more time because there is more detail to them, but if you keep up with the workload and go ask TAs questions at labs, it can be done. Out of all of my university courses, the math classes were the most workload heavy. They were 2x the workload of almost any CS class I took.
0800899g 12y ago
great quant info in here
poppow 12y ago
The whole industry is in recession. Those stuck in it just mental masterbate about crap, knowing that automation/ai will destroy their paradigm. In reality it's boring and nothing like the energy and passion in start ups/creative tech.
seongboii 12y ago
There's another way that hasn't really been mentioned yet, and that's to work for yourself via your own quantitative trading system or through Quantopian's crowdsourced hedge fund (https://www.quantopian.com/managers https://www.quantopian.com/managers). Disclaimer: I'm an employee there
kofejnik 12y ago
commenting to bookmark (hope this is permissible here)
- grayclhn 12y ago
  FYI: if you upvote the article, it will be listed under the "saved stories" link on your profile: https://news.ycombinator.com/saved?id=kofejnik https://news.ycombinator.com/saved?id=kofejnik (which I can't see, by the way)
- sliverstorm 12y ago
  Upvoting also bookmarks, under "threads"
tacoman 12y ago
Darn. I thought this said "a Quaint Job in France" and I clicked on it. I was disappointed.
- codeordie 12y ago
  Ha - same thing happened to me!

179 points by saraha 12y ago

" Brainteasers are popular." Can somebody explain why? I'm genuinely interested, since in software dev interviews we see less and less brainteasers...

busterarm 12y ago
Hedge funds have a hard-on for these kind of questions regardless of the role. I got a few of them in the interviews I had for the one I did IT support for... They also liked taking Ivy grads with BAs and giving them receptionist jobs.
- tormeh 12y ago
  It's the perfect market at work, I tell you. The private industry can do no wrong because then people would stop investing in the company and/or stop buying their services. /s
  - tomp 12y ago
    I don't see why the sarcasm. Hedge funds are not banks; they live or die by the brains of the people they hire. If they perform well, they get more investors. If they fail to perform, they go bust, and noone is there to bail them out.
    - kasey_junk 12y ago
      As in most industries, I think you are undervaluing the importance of sales. It's true that long term performance dips will cause a fund to go bust, looking at the number of funds that don't outperform (or only marginally outperform) the market, year after year, makes it obvious that sales are an important part of the hedge fund industry.
      - busterarm 12y ago
        They're definitely important but hedge funds depend on investor confidence. Ours made an untimely bad decision that not only resulted in significant losses but caused investors to flee. Sales is tied to performance. Hedge funds' customers are even more conservative than they are.
      - tomp 12y ago
        Right, but it's not sales in the sense of "lets convince stupid people to waste money by giving it to us", it's more in the sense of "trust us, we're smart, have a good strategy and good past performance". Of course, the average hedge fund under-performs the market (for a particular measure of performance), but rich people might have other investment goals (the chance of finding alpha & beating the market, diversification, negative beta (anti-cyclic returns), ...). Same as with casinos/lottery, they need little sales, people know it in average underperforms just keeping the money, but you're not gambling for the average, you're gambling for the variance.
        intended 12y ago
        Interesting point, but given that the average performance is ... average, most rich people would be better off investing in an inside edge on a deal. Which is what I suppose they do.
    - tormeh 12y ago
      The sarcasm's there because the market clearly doesn't work as it should here, just as it doesn't work in many other industries. The free market works for commodities trading, but not much else.
  - busterarm 12y ago
    That's basically it though. The company can do no wrong so it tries to hire people who are extreme serial achievers. They're very sensitive to what people in the company say externally.
throwaway283719 12y ago
One (slightly cynical) answer is that people like to hire people like them. Most quant types working in hedge funds are very good at brainteasers, and if other people are good at brainteasers it ticks one of the "this person is like me" boxes whilst also ticking the "this person is smart" box. It also allows an endless pissing contest of comparing new brainteasers among your colleagues, and telling stories of helpless candidates who couldn't even manage the first gasp of a hint of an idea towards the solution. I tend not to like extremely complex brainteasers as interview questions, and especially not ones that require an "aha" moment to solve them correctly, because mostly what you're testing for is whether the candidate has seen that question before (or one like it). On the other hand, I am a big fan of asking relatively easy math questions (i.e. first year undergraduate) in interviews, because if I'm going to be paying someone $100k+ to work on mathematical models, I'm damn well going to make sure that they understand basic probability, statistics, calculus and linear algebra. These are a bit like fizz-buzz for quants - if the candidate can answer them it doesn't prove anything, but if they can't answer them then you can stop the interview right there.
stupandaus 12y ago
Brainteasers are somewhat common in consulting interviews (at the undergraduate level). The idea behind giving brainteasers is more to see how you would structure and break down a problem, and whether you can communicate your structure and solution effectively.
murbard2 12y ago
I work as a quant and I like to give brainteasers in interview. It definitely does not tell me if someone will necessarily be good at his job or a good fit for the team, but it does help me rule out a lot of potential candidates. These are not very tricky brainteasers that depend on getting a particular insight. They're actually somewhat pedestrian. However, if you can't manage to competently work out a simple, well defined problem, you're going to struggle with the more complex issues we deal with.
- waterlesscloud 12y ago
  Can you give an example or two of the more complex issues you deal with? I honestly have no idea.
  - murbard2 12y ago
    Can't be too specific, but I often need to solve differential equations, find closed form solutions to some integrals (mathematica helps but is often not sufficient), build models which strike a good balance between realism and tractability. Find which properties are important to preserve in models and which aren't, etc. chollida1's comment is spot on and I oscillate between 1 and 2.
    - FD3SA 12y ago
      None of these have any similarity to brainteasers. In fact, these are all excellent subjects on their own that could be tested directly. For example: "Give me an overview of a numerical method used to solve differential equations." The more time you spend asking brainteasers, the less time you have to devote to your actual skills of interest. You may even find that quizzing someone on mathematics may help refresh and solidify your own understanding.
      - murbard2 12y ago
        Do you have experience interviewing candidates? Many candidates will answer this question correctly and yet be totally unable to do anything when they're confronted with a non textbook case. To be clear the brain teasers I ask are mathematical problems, not the type of brain teasers used in consulting interviews. For instance: We play a game where we each draw a secret random number uniformly between 0 and 1. We each may re-throw if dissatisfied with our first throw, or me may keep it. We do not know whether or not the other has chosen to re-throw. We then compare our results and he who holds largest number wins $1. What is the best strategy to follow? That's the type of brainteaser I'd ask. It's accessible to a good high school student. I interviewed a PhD candidate in applied mathematics from a top Ivy league university who: - wouldn't believe that maximizing the expected value of the number obtained wasn't optimal until shown an explicit counterexample - was unable to write the equations properly or model the problem - was unable to solve the equations after I handed them out to them He was however able to talk about his thesis work. Your questions wouldn't have caught that at all. His thesis work was in game theory.
mlrtime 12y ago
Interviewers are (should) not interested in the correct answer. They are interested in seeing the candidate think out loud. They want to see how you start tackling difficult problems.
- Hansi 12y ago
  I second this, we almost never use brainteasers but they can be useful for seeing how people think about solving problems. Once people have 2+ years of experience it becomes less relevant because it's more useful to talk about actual work they've done rather than some puzzles.
vijucat 12y ago
It's a shibboleth : https://en.wikipedia.org/wiki/Shibboleth https://en.wikipedia.org/wiki/Shibboleth. It shows you belong.
jim_greco 12y ago
In my experience in finance it's all about the interviewer showing the interviewee how smart she is. There's smart quants/programmers/traders/etc and people good at solving brainteasers. You need the former, but people who use brainteasers in the interview process typically only find the small sliver of overlap in the venn diagram.
- silverbax88 12y ago
  Brainteasers in an interview is a red flag that you probably don't want to work for the company. In my experience. If you're interviewing someone and you're lazy enough (or not confident enough) in your skills at assessing a candidate, that's a weakness.

Rainymood 12y ago

Interesting! Thanks a lot for writing/posting this. I enjoyed the read. One thing I had to chuckle at was this: >Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005 as an associate professor and is now a full professor. Pure math to quant to actuary. It's kind of funny how I see/have met so many people that have gone this route. It's like they got sucked into pure mathematics, then thought: shoot I really need to get some practical work done with this math! And afterwards, at a later stage in life they wanted to back out and wanted a stable, high paying, but still math heavy job (actuary!). Does anybody here have any experiences with being on the 'front office'? I'd love to hear them.

zerr 12y ago
And also theoretical physicists. Permanent jobs are hard to find in these domains...
mdda 12y ago
What's the upside to admitting on HN to having front office experience?
- skrebbel 12y ago
  Seriously? Why are you on HN at all?
  - mdda 12y ago
    I'm going to assume your comment wasn't as mean as it appears in writing. Why am I here? Because I started my first business in college, then went into finance to get some 'real world' experience, and then went on to start several other businesses (both tech and finance). I've employed quite a few people over the years, had some good times, some bad. You know : The basic entrepreneurial story. I started programming with 6502 machine code, C, C++, Perl, and more recently Python, Scala and GPUs. Will likely start something to do with deep-learning/NLP in the New Year. HN feels like home. That's why I'm here. As to the content of my comment : It was intentionally low. I wanted to see how many negatives a valid comment about actually being in the finance industry would generate (-2 after a couple of hours, constant since). And, besides, any person in the finance business would immediately smile at the clear-cut upside/downside evaluation that is so common in the business. I just said it out loud. Best wishes to you.

javaistheworst 12y ago

Not mentioned but important is coding - if you are a quant in an IB these days, you will be expected to do some level of coding - often C++, Python, and maybe some Excel VBA to plug things in for the desk to play with, while IT production-ise the rest intop the RMS and trading apps.

gadders 12y ago
> while IT production-ise the rest intop the RMS and trading apps Generally to software engineer it so it performs properly, can be put on a grid, etc etc.

mlrtime 12y ago

"Hirers tend to be looking for strong programming and data management skills as much as mathematical ability" This cannot be over emphasized. You cannot just have an aptitude for math/statistics/probability. You will need to be able to write high performance production quality code.

brador 12y ago
Bug free first time and write code fast also helps.
markovbling 12y ago
Spot on. I got a job in finance as a quant and spent the first year building automated processes to pull portfolio holdings data from email attachments and scrape data from a bunch of different sources.
branchless 12y ago
95% of quant code is not only fails to achieve low-latency, it's utterly incorrect, unmaintainable and frankly deranged.
- Hansi 12y ago
  Agree mostly, even when wanting to deliver a perfect solution that's simply not an option because of requirements for speed of delievering results and lack of man power.
- dreamweapon 12y ago
  So true. Of course, you better not tell that to the person who wrote it. You might not get your bonus.
- ratsbane 12y ago
  That might also be true for 95% of all code.
kasey_junk 12y ago
Now admittedly this is sampling bias, but I have never seen code written by a quant that could be put into production without being reworked by a software professional. The skill sets are in some way exclusive of each other. Quants do lots of exploratory work. This involves tons of one-of experiments and throwing away things that don't work. They often frequently don't have the operational understanding of the way the systems they interact operate. Further, making stuff fast on a computer is a very, very particular skill. People that could do all of that are extremely rare (such that I've never met one).

chollida1 12y ago

Having hired a lot of quants and programmers in finance I can probably give a bit of background on what to expect: Get this book, read it and understand it. http://www.amazon.com/Heard-Street-Quantitative-Questions-Interviews/dp/0970055277 http://www.amazon.com/Heard-Street-Quantitative-Questions-In... Quants tend to be in 1 of 3 categories: 1) pricing quants, you work for a bank or investment house like Goldamn. You know stochastic calculus very well, you know finite differencing like the back of your hand. You'll know every way to look at a derivative product. You can program in matlab. You create the next big thing like CDO's or CDS's If you love math, this is where you want to be. 2) Quants who trade You work at a hedge fund. You can program in python with scikit or use R. You don't know calculus maybe as well as a pricing quant but you know some area of the market much much better. You know stats like its your mother tongue. 3) Risk quant/programmer. You do modelling all day for a trader or risk manager. You can take a portfolio and model any feature that someone ask for. Var, beta, greeks, you can spit them out quickly. You know C++, excel and R. You might have been an engineer in a former life. This is often considered the low position in the quant hierarchy. This is how some programmers break into the industry. 4) I lied there is actually special category 4). This is the professors of quants. You sit around all day and think about the next big equation, or how to model derivatives better than black scholes. If you are one of these people chances are your name is known in the industry:) EDIT someone asked if you can do these without a math degree. The short answer is probably not. YOu'll need a math, engineering, or physics degree, unless you really are driven to learn hte math yourself. A comp sci degree might work but you would be the exception and you'd be fighting up hill. Ask your self honestly, how many branches of mathematics have you self taught yourself and you'll get your answer. For most the answer is none, for a select few the answer is yes. Someone asked about brain teasers. They do get asked, you have to deal with it, whining in an interview that this type of question gives no useful hiring indicator won't get you hired. I don't ask them but they are common:( We throw around brain teasers at work during the day trying to stump each other. I guess some of it is trying to look smart. Some of it is that we just really like to dissect any problem and figure it out. I think the biggest reason for asking brain teasers is that at a hedge fund there are no rules for how to make money, excluding legal. They want people who can think outside the box. it turns out that its really tough to test for "can the candidate think outside the box"? Trading is a higher stress job than most other math or programming jobs, what we are trying to see is not only are you smart, but can you think on your feet and not get stressed out, because if an interview stresses you out, whats going to happens when a $50,000,000 position that should be going up starts to go down. Are you going to complain that the model says it should go up and the market isn't being fair, or are you going to accept what's happening and get back to work? You'd be surprised at the number of people who chose option 1. I ask a bunch of questions that some people feel are brain teasers. In between questions I'l throw out what's the square root of 225 to see how the candidate reacts. Good traders seem to be exceptional at mental math, with very, very few exceptions. I'll also ask alot of probability questions. Get ready to know what your expected payoff is if you gamble on dice games, its basically what you do every minute of the day when trading:) Now if you are a programmer, how do you get into the industry? You need to know stats, machine learning, and programming, really well. And I don't mean know machine learning, like "I tool an nlp library and stiched it together to do sentiment analysis on a corpus of text". I will ask what algorithms the underlying library used. You used SVM, great talk to me about your kernel selection methods. I want to know that you understand the math, and more importantly the assumptions and limitations of the library you are using. The reason is that when you trade on a model that is based on your machine learning, I want to know that you know when it breaks. Finance is an industry that loves to model but has crashes that are predicted to happen 1 in 1000 year events happen every 10 years. I love helping programmers who want to become quants get into the industry. Please feel free to ask if you have questions!

rhodri 12y ago

I'd like to see an article titled "Why Get a Quant Job in Finance?"

kasey_junk 12y ago
Because you get to work on really interesting math problems, in an environment that isn't stingy with pay or equipment and has clear objective measures of what things are important for the business?
- abrichr 12y ago
  I think the question that rhodri poses is an important one. For me, satisfaction comes from more than just the solution to the immediate problem, or the amount of money I'm being paid to solve it. Satisfaction comes from knowing that what I'm spending my life on is meaningful in some greater sense. Other ML fields like robotics and deep learning have virtually limitless applications that may benefit society in some way. Of course, I have heard the arguments for statistical arbitrage being useful by way of reducing inefficiencies in the market and providing liquidity, but this is far less tangible.
  - lucozade 12y ago
    > I think the question that rhodri poses is an important one. And I think kasey_junk answered it pretty succinctly. That's not to say that it's the only valid reason to want to do anything. It just happens to be quite a common reason for people to become quants. If what you want to do is answer the great questions in life then I'm not sure that being a quant is necessarily going to help with that.

graycat 12y ago

I got an applied math Ph.D. with a good course in measure theory and stochastic processes from a star student of E. Cinlar and a lot in optimization, wrote my dissertation on stochastic optimal control, had a solid background in software, especially in scientific computing, including a lot of applied statistics, sent a resume to Fisher Black at Goldman Sachs, and still have his nice answer back that he saw no opportunities for mathematics in finance. Jerked the chains of lots of headhunters and got nowhere. I concluded f'get about it. Maybe since then it's changed.

rwmurrayVT 12y ago
When was this?
- graycat 12y ago
  Long time ago, e.g., Fisher Black was still alive (maybe he's not now). I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia. I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no. When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth. So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street. Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black. In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me. Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No. Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.

nether 12y ago

I'm filled with envy and rage over the fact I'm not good enough at math for this. I barely did above average in my grad level math courses in college (studied aerospace engineering). I worked my ass off; I should have breezed through it if I had the ability to be a quant.

mahyarm 12y ago
Math classes I've noticed just take more time because there is more detail to them, but if you keep up with the workload and go ask TAs questions at labs, it can be done. Out of all of my university courses, the math classes were the most workload heavy. They were 2x the workload of almost any CS class I took.

0800899g 12y ago

great quant info in here

poppow 12y ago

The whole industry is in recession. Those stuck in it just mental masterbate about crap, knowing that automation/ai will destroy their paradigm. In reality it's boring and nothing like the energy and passion in start ups/creative tech.

seongboii 12y ago

There's another way that hasn't really been mentioned yet, and that's to work for yourself via your own quantitative trading system or through Quantopian's crowdsourced hedge fund (https://www.quantopian.com/managers https://www.quantopian.com/managers). Disclaimer: I'm an employee there

kofejnik 12y ago

commenting to bookmark (hope this is permissible here)

grayclhn 12y ago
FYI: if you upvote the article, it will be listed under the "saved stories" link on your profile: https://news.ycombinator.com/saved?id=kofejnik https://news.ycombinator.com/saved?id=kofejnik (which I can't see, by the way)
sliverstorm 12y ago
Upvoting also bookmarks, under "threads"

tacoman 12y ago

Darn. I thought this said "a Quaint Job in France" and I clicked on it. I was disappointed.

codeordie 12y ago
Ha - same thing happened to me!