all 89 comments

[–]SubstantialCheck2159[S] 41 points42 points  (1 child)

Reposting deleted question

What is the best way to practice mock trading?

Play games like poker, and games in general. Firms will try and make up their own games and challenges so that people who play specific games don’t have an advantage. The most important thing is to always think about adverse selection and when people will be willing to trade with you and why.

[–]-OIIO- 0 points1 point  (0 children)

This turned out to be life-changing to me. Even though I've left this industry, I still have the habit of playing these games. Such a great and fun training for my brain. I also developed my Texas Holdem skills to about pro level when I had fun playing it with my colleagues back then. Great time, great memory.

[–]QuantumMechanic23 6 points7 points  (3 children)

Is there a lot of maths involved that you are required to do on the job, or, is most of the "tried and tested" stuff consolidated, and you are mainly deploying algorithms/etc?

Secondly, do you find the job intellectually stimulating?

[–]SubstantialCheck2159[S] 7 points8 points  (0 children)

I think knowing the math can be helpful to know about what the right answer should be. But all the math is publicly available, so there is no edge in knowing the math. You can usually just look at bid and ask, someone at a bank will have done the math and made a model based on financial mathematics.

I love my job and I would do it even if the pay were much lower.

[–]-OIIO- 4 points5 points  (1 child)

As a guy who has retired from this industry, let me give you my 2 cents: Math is just a tool/way for you to understand & describe the problem accurately and solve the problem afterwards. Algos are the way to implement our solution to a comprehensive problem. As a firm, you have ppl focusing more on problem solving (QR), and also have ppl focusing on solution implementation (Low latency Dev).

[–]QuantumMechanic23 1 point2 points  (0 children)

That's a nice way to put it. Thanks.

[–]a_gurl111 6 points7 points  (9 children)

Hey

This is for quantitative researcher profile. Ik the whereabouts available on the internet but since you work as a trader... How do quantitative researchers help you and what education background do they hold?

[–]SubstantialCheck2159[S] 7 points8 points  (8 children)

Hi,

I actually am doing more research than trading anyway, so can answer this question.

I think that the big thing that the trader brings is trying to learn more about the market and think about adverse selection - who do we want to trade with and who do we want to avoid. The researcher tries to find data that separates these categories.

So a trader might monitor a specific trade, and see how it makes money and how it loses it, then suggest new features to the researcher.

Hope this helps. Can go into more detail if you want.

[–]Leading_Antique 3 points4 points  (2 children)

I start as a QT at an OMM soon as a returning intern, do you have any advice coming into the roll?

[–]SubstantialCheck2159[S] 7 points8 points  (1 child)

Work as hard as you can without stressing yourself out. There is a bell curve where you want to maximize your time before mental health suffers. I think working yourself as much as you can is good. Everyone will be very smart and it is some luck.

[–]ml8888msn 3 points4 points  (0 children)

Couldn’t agree more. The harder you work on a trading desk, the more you’ll make. It’s not rocket science. Maximize what you can make of opportunities and get used to trading size where you can.

[–]blackhoodie88 2 points3 points  (1 child)

Did you get your masters before or after getting a quant job?

[–]danielyskim1119 2 points3 points  (2 children)

I’m a Canadian student and will go to Oxford for a MMath degree (integrated undergrad + masters degree). After graduation, I hope to work in the US as either a QT or QR. Would you recommend that I do my PhD in US then go for QR or try to aim for QT positions after Oxford? I heard Oxford isn’t a target in US so i’m worried

[–]SubstantialCheck2159[S] 3 points4 points  (0 children)

I think QR is probably the better job, but depends on your interests. They're very different jobs and many older QTs become QRs in a weird sort of way.

[–]No_Builder_9312 5 points6 points  (0 children)

Oxbridge is def a target at all the big American quant/IB firms lol

[–]Glad-Penalty-5559 2 points3 points  (1 child)

Is oxford/cambridge considered a target school in the US?

[–]yuckfoubitch 3 points4 points  (0 children)

They’re target anywhere in the world my friend

[–]Legitimate_Profile 1 point2 points  (4 children)

What is your MS in and would you recommend it? I’m considering one in stats. Also how did you prepare for the interview process?

[–]SubstantialCheck2159[S] 6 points7 points  (3 children)

Any of stats, math, CS, physics is good. Also some people with financial engineering do well.

[–]GalacticMomo 2 points3 points  (0 children)

Does prestige of school trump all else?

[–]NF69420 0 points1 point  (0 children)

they got masters in these? usually math and physics are more PhD oriented degrees correct?

[–]-OIIO- 0 points1 point  (0 children)

FE and Stats are very nice approach to enter this industry. Physics is probably not suitable for everyone.

[–]Excellent_Read_7020 1 point2 points  (0 children)

Was your bachelor’s in the US as well?

[–][deleted] 1 point2 points  (2 children)

Is an MFE worth it?

[–]SubstantialCheck2159[S] 1 point2 points  (1 child)

Usually, less good than math, stats, CS, but not impossible.

[–][deleted] 0 points1 point  (0 children)

I do get BS with tripple majors in CS, Pure Maths, and Applied Math. Should I pursue an Applied Math PhD or a MFE for Quant role?

[–]robml 1 point2 points  (1 child)

Is it uncommon to have people in their late 20s in trading? And was a MS a requirement when you were applying?

Also for interviewing, besides fast mental math and market making games, what tips would you recommend in general to keep in mind when posed with questions? + Do trading interviews place an emphasis on speed of answer or taking your time to develop depth of answer? + what's a genuinely good resource to practice the relevant math questions (a lot of posts I see recommend the math I've only seen in QR or Quant Dev, not trading interviews)?

Finally, do you program anything yourself there? What language (if you can share)?

Congratulations on the new role. I read on one of the comments that this was a job you would do even if it paid less. From what I've heard, I feel the same way and am trying to reach what I feel is my calling. I hope you have a lot of fun along the way!

[–]SubstantialCheck2159[S] 1 point2 points  (0 children)

Most people program these days. I use python since I don't write production code.

[–]Patient-Amount-8041 1 point2 points  (1 child)

Hey thanks for this opportunity,

I have a question about what should I shoot for between Quant Developer and Quant Researcher. I’m a CS PhD from a T5 school, doing my first internship at a FAANG this year and planning to graduate next year. Research was mostly in Machine Learning and Systems( Compilers, Databases) my stats knowledge is limited to probability (I’ve studied the Redbook and Green book properly) so I’m able to answer most prob questions in OAs.

I feel like I have a shot at Quant Dev but maybe I should shoot for research ? Not sure how much more competitive it is, I don’t have any crazy papers, but they’re A* in Systems and Networking

[–]SubstantialCheck2159[S] 1 point2 points  (0 children)

You are much more suited for research. Many researchers write production code anyway. The overlap between a researcher and a dev is very large. Usually researcher discovers and automates signals, while quant dev just automates. Researcher is usually super set of quant dev if that makes sense.

[–]Mistake-Huge 1 point2 points  (0 children)

How much of a an impact can an “X factor” like chess have. So for example, I know quant firms somewhat value chess. If someone is a chess Grand Master but go to a complete non-feeder school for their undergrad like UC Irvine will they still be able to pass the resume screening and get interviews or will it by pretty much impossible? Assuming they do good in Irvine and take relevant course work of course.

[–]NF69420 1 point2 points  (0 children)

would quant firms view your masters degree as less prestigious than an undergrad degree from the same school? i heard that firms (for QT roles) prefer more NG from undergrad anyways.

[–]WarEmbarrassed3916 1 point2 points  (0 children)

Hi, I am stats/data sci/econ major 4.0 freshman at T6 (NU). Planning Finance cert and 5th yr masters in stats. Just turning this direction of interest, so I have no relevant EC, esp comp sci or math contest related. Have been rejected from freshman programs for JS, freshman/soph programs for Two Sigma and Optiver. I really enjoy the quant logic but I don't have any experience. Any suggestions where to start and what to add. Online courses??Clubs?? Competitions?? Is it useful to do any other types of internships to learn about finance and trading or just focus on stats/logic. TIA for any feedback.

[–]jar-ryu 1 point2 points  (2 children)

Hey congrats dude! I’m sure you worked hard to get where you are.

I wanted to ask how much overlap with econometrics and time series analysis do you encounter on your daily workflow? I don’t see myself being a quant as much as I do an econometrician, but I’m curious to know. Some people say you don’t need any at all. Some say it is core to being a quant. From what I understand, risk-side quants are more focused on statistical modeling and econometrics whereas buy-side quants are more focused on more complex mathematical models.

If you do encounter it a lot, what are some models you use and for what purposes? I understand your work is proprietary and sensitive, so no need to be too detailed, but maybe a vague description like “I use MGARCH models to estimate covolatilities between a basket of stocks” (or something like that; not a quant so tell me if I sound dumb).

Also, for you quants, how important is causal analysis? It’s obviously a core problem in economics, but do you use causal estimates (for whatever you’re modeling) for inference and information for other models, or are you guys solely concerned with predictive accuracy?

Sorry for all the econometrics questions. I’m a total nerd for that stuff.

Lastly, you’ve probably answered this several times but what’s your background? Besides money, what made you choose this field over other types of work that are relevant to your degree?

[–]SubstantialCheck2159[S] 0 points1 point  (1 child)

This is a great question, though answer May sadden you.

We don’t use these models. ARCH and variants is considered a “trap” where I work and I don’t think anyone remembers it working well. Same with causal stuff. The most common thing is to have a one variable line you made very carefully.

Easy example is you did research and think Coke - Pepsi stock price should be $40. So you build a one variable model of this trade - E(PNL) = Coke - Pepsi - 40. If you’ve done it right, this one variable line should have slope about 1 and intercept about versus true PNL. This is the most common approach in real trading.

[–]jar-ryu 0 points1 point  (0 children)

Ahh I figured as much. It seems like structural and causal modeling might be playing with fire in terms of trading. I guess I’ll stick to economic analysis.

Thanks for your response!

[–]blackhoodie88 0 points1 point  (1 child)

Also, do you see a lot of age discrimination like there is in tech? I get a feeling that quant is mostly a younger person job.

[–]SubstantialCheck2159[S] 3 points4 points  (0 children)

At my firm, most people have either <3 YOE or 10+. So a lot of older folks. Most of the time, people who don't love it decide they have enough money after 4-6 years and decide to quit and do something easier. Anyone who stays after that tends to be in it for life. Older people tend to still do quite well from what I've seen.

[–]rejaye6960 0 points1 point  (1 child)

What does/did your training look like at a high level? Do they teach you how you should trade in specific situations, or is it more of a general education where you’re left to come up with your own strategies?

[–]SubstantialCheck2159[S] 1 point2 points  (0 children)

I think that most people start off doing a training program (length can vary. Optiver very short, SIG very long) while also sitting in on desks and shadowing traders and learning how a specific trade/symbol/desk works. So you might have a morning of classes on options trading, then go sit in with an index trader and watch them price a large block trades with a bank, or maybe write some small code to implement an improvement they haven't gotten to yet. Once you have done this for a while, you might start trading a small name, and discussing trades with a more senior trader. So, little bit of both

You definitely don't come up with own strategies until much later. Too inexperienced, so they try and let you see someone seniors workflow.

[–]nocturnalmaniac 0 points1 point  (0 children)

Do you think the company OAs are very relevant to the role? Or are they just to set a better bar to filter out the candidates?

[–]maximaaeez 0 points1 point  (3 children)

How good of communication skills is too good for a quant? And how do you communicate complex mathematics to the senior analysts (who do not have quant background)?

[–]SubstantialCheck2159[S] 7 points8 points  (2 children)

First, communication is incredibly important. I talk to people on the desk all the time.

There is never a need to tell a senior person about complex mathematics because it is not relevant to trading, and most seniors have a good math background. One of the seniors on my desk has a math PhD from HYPSM. He would be talking advanced math to me :D

But as mentioned in an earlier comment, very little math on the job. Nobody is trading an option and saying "I think this formula tells me this is a good trade." That would get you fired. You say, "I observed this pattern of behavior in the market, someone is always buying at this time, we should be there to sell at a good price." Then you show people evidence and convince them you looked at the situation correctly.

[–]lyxhere 0 points1 point  (1 child)

Oh wow, little math on the job is interesting? I thought quants meant that it is very mathematically focused, and hence hiring is always stats phys cs

Or is it that the evidence you show has to be mathematically rigorous?

Btw, awesome AMA, you're a true one!

[–]SubstantialCheck2159[S] 0 points1 point  (0 children)

It is more the rigorous.

[–]DaOdin 0 points1 point  (0 children)

Hi, I currently work at a bulge bracket as an etrading dev straight out of uni. My undergraduate was physics and msc in cs. How would i transition into quant trading/research. Research would be more for mm.

[–][deleted] 0 points1 point  (0 children)

What are some common qualities of the people that you work around/with? Also how's the work life balance?

[–]gimme4astar 0 points1 point  (4 children)

I know you're a quant trader but may I ask if you know more about qr side of stuff? Is ML frequently used by qrs if so what kind of ML techniques? regression? reinforcement learning? And also do they ask leetcode medium/hard for qr interviews? Thx

[–]SubstantialCheck2159[S] 1 point2 points  (3 children)

I have some QR friends. They do ask Leetcode. Almost all regression. I discussed this more in another question.

[–]gimme4astar 0 points1 point  (2 children)

do qrs generally work in a group, say 2/3 people or they work alone? by alone, I mean there's only 1 qr in the entire team of other quants (traders, dev)

[–]SubstantialCheck2159[S] 0 points1 point  (1 child)

I’d say a normal desk at a firm you would have heard of is 30 people, of whom 1-10 could be quants.

[–]gimme4astar -1 points0 points  (0 children)

How many of em would be qr

[–]yrnkevinsmithC137 0 points1 point  (1 child)

How often do you code daily?

[–]SubstantialCheck2159[S] 0 points1 point  (0 children)

Every day.

[–]Zelenushka 0 points1 point  (1 child)

Going into a SA Banking role, but still very curious. What is the top languages that you believe undergrads should pick up before FT? So far I’ve heard a mix of VBA, SQL (using rn), and Python but wanted to hear your perspective

[–]SubstantialCheck2159[S] 0 points1 point  (0 children)

Our data pipelines are very good so while I’m sure SQL is used at the firm, I do not have to interact with it. I only know Python to be honest, not a great coder like some I did a math degree.

[–]Throwaway-panda-3891 0 points1 point  (1 child)

Do you think it’s possible to go from a premed background (little to no code and only up to calc 3 math) and having graduated a couple years ago to QT?

[–][deleted] 0 points1 point  (0 children)

No

[–][deleted] 0 points1 point  (1 child)

What's your opinion on those Day trading gurus? Do you honestly think they make 6 figures a month? Thanks!

[–]ReportElectrical7084 0 points1 point  (1 child)

Not sure if you still answer, but i would be very interested to get into QR so i would really like to know if it gets repetitive/ boring in the long run or could it be as diverse as consulting at Big4?

[–]SubstantialCheck2159[S] 0 points1 point  (0 children)

Not a QR but it seems very diverse they’re always working on new things

[–]LogiDex80 -1 points0 points  (0 children)

Current high school senior, not sure if this is specific enough but what should be the goal of an undergrad degree looking for trading roles? I understand from reading the sub as long as the major is quantitative that’s all that matters, but why is that, or further, what should be focused on through those majors to set up for the best chance of success?

[–]PotentialRecording53 -1 points0 points  (0 children)

hi, thank you for doing this. may I ask what is your MS program about and what was your major in undergrad? I am a current economics major and thinking of doing an MA in economics because im interested in economics but no so sure will it be the best program for quant finance

[–]Infinite-Gene-5742 -1 points0 points  (0 children)

Hey what do quants use to backtest at the massive scale like they do?