Many quant developers (in our department) program in c# (for excel
plugin) or build infrastructure code modules around quant lib, but
they don't touch c++ quant business logic classes. C++ quant lib
(model) programming is reserved for the mathematicians, typically
Many of these non-C++ quant developers have good product knowledge and
can sometimes move into business side of trading.
I was told these quant developers don't need advanced math knowledge.
Mostly C++ questions. Most candidates are filtered out here.
2nd group – probability, (different from statistics)
Some finance intuitions (eg — each item in the BS formula)
Some brain teasers
— some typical C++ questions (everything can be found from the Scott
exceptions during ctor/dtor
Given a codebase, how do you detect memory leak
multiple inheritance (fairly common in practice)
[[heard on the street]] and [[A Practical Guide To Quantitative
Another book by Shreve.
* A lot of Jargon (need a bit of intuition)
** how each instrument is priced
** using what mkt data
* the math theory below the surface
* probability puzzles, math algorithms.
* c++, matlab
STL, Nag, Not boost, not ACE
Smart pointer is also needed.
I feel quant funds (including HFT funds)
* does a large number of small trades and
* relies on a large volume of market data for statistical research/analysis. Sample size must be statistically meaningful.
I guess most FI and commodity markets often don’t support these. Some popular FI/Comm instruments have rich data volume, but doesn’t support small in-and-out trades. In FI/Comm, you buy and hold, rather than quick in-and-out trades. But how about high-volume listed FI instruments (like ED futures?) I hope the bid/ask is small enough to support in-and-out.
How about listed options? I feel percentage spread (bid/ask spread divided by mid-quote) is usually too large, so quick in-and-out trades are not always possible?
This is one of the earliest quant funds – stat arb sort of thing. “Definitely a quant fund, rather than a macro fund, but not high frequency.”
Quant group 12 guys. Write most of (what i call) the business modules. (In contrast, mkt data consumption and OMS – 2 infrastructure pillars — are owned by the System group — what i call the pure tech, math-free modules) These business modules generate orders, achieve certain target positions, manage risks… As [[blackbox]] pointed out, quant traders think in terms of entering/exiting positions.
System group – 2 system admins and 4 c++ developers. I guess one of them is a network guy.
Mostly equity cash, but also commodities and (eq?) options. Trading is fully automated, forecast-based.
One model may have a trading horizon of hours
One model may have a trading horizon of days
These 2 models may overlap if they cover the same name. There is a feature of the trading system to manage the overlap.
(No model with trading horizon of seconds – not really high frequency.)
GUI is x-win. Whole company is linux/solaris, without windows.
Sybase – used lightly, now phased out. Persistence is done without database, probably in flat files.
Primary app language is c++ — threading, IPC, TCP, multicast for mkt data feed handler. No RV.
Various scripts – often in perl.
– bond math
– classic option math and stoch
– credit valuations
– IR products – builds on bond math. Many IR instruments are vol-dependent. Black model is a vol-model.
? mortgage valuation models – default rate (depends on credit rating), prepayment probability (depends on prevailing IR)