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49 votes
Accepted

Is R being replaced by Python at quant desks?

My deal is HFT so what I care about is read/load data from file or DB quickly in memory perform very efficient data-munging operations (group,transform) visualize easily the data I think is is ...
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32 votes

Is R being replaced by Python at quant desks?

Instead of wild guesses about R's/python's future in the community, here some facts: The following query on StackExchange Data Explorer counts the number of questions that have ...
  • 481
26 votes

Is R being replaced by Python at quant desks?

This is interesting because I see another trend: Matlab is being replaced by R, but I guess this is another story. I use R for my academic (I am also teaching this stuff) as well as my consulting ...
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23 votes

Is R being replaced by Python at quant desks?

I've used both R and Python with Pandas in a professional quantitative financial work to do both large and small scale projects. I would strongly recommend Python with Pandas over R for most new ...
  • 1,561
16 votes

Mark Joshi's book - quant interview questions

For large values of the spot S, this payout goes to infinity like the square of S. However, the hedging instruments available are vanilla options, which go like S to the first power. Mathematically, ...
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14 votes
Accepted

Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?

I would say that most ML methods risk overfitting and it depends very much on the asset class. The only area where more sophisticated ML methods such as deep learning appear to make a major difference ...
  • 1,028
13 votes

Is R being replaced by Python at quant desks?

For data analysis, particularly for large data analysis project, pretty much most of the top quant hedge funds and a lot of the banks are using Python (over R) for a couple of reasons but many still ...
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12 votes

Mark Joshi's book - quant interview questions

I suspect this is because, conditional on being in-the-money, the payoff of your option is convex in stock price $-$ whereas for a vanilla call, the payoff is linear. As a consequence, the delta $\...
11 votes

The future language of quant programming?

People get this problem wrong because they always end up discussing the theoretical advantages of these languages rather than the practical uses of these languages. Theoretically speaking: Haskell ...
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10 votes
Accepted

Pre-requisite math books, to the pre-requisite math needed to become a front desk quant

Really you need a degree Reading any one book from the above will not set you up. Furthermore, you will find yourself trapped in a cycle, where really none of the books you suggested can be read in ...
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9 votes
Accepted

Making a beeline to statistical arbitrage

I get this question frequently from academic types, and happily for you, the path does not involve any of those books. The major gaps in your knowledge, from the point of view of statistical arbitrage,...
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8 votes

The future language of quant programming?

You're going to get a pretty broad range of answers with this kind of question, but I'll throw in my two cents. I'm not going to answer your question about the "next big thing" in programming ...
7 votes

Where can I find detailed information of famous quant companies such as Renaissance Technologies?

Most RIAs have to file a Form ADV, through which some information is publicly available via SEC's website. Further, large RIAs are sometimes involved in high profile civil lawsuits through which ...
  • 2,153
6 votes

Is R being replaced by Python at quant desks?

For the tasks listed, both Python and R perform very well. There are some packages in Python not in R and vice versa. My solution for this is to simply call R from Python. This allows for the best of ...
  • 2,069
6 votes

Kalman Filter Equity Example

The following paper gives you a step-by-step presentation of how to use the Kalman filter in an application in a pricing model framework for a spot and futures market. Everything is explained using ...
  • 27.1k
6 votes
Accepted

Why Lie groups, differential geometry and string theory relate to MF?

MF is linked with physics mostly because it solves the same PDEs (Black-Scholes equation is a certain type of Schrödinger equation for instance). As for the specific links you mentioned : Lie Algebra ...
  • 545
6 votes

Is R being replaced by Python at quant desks?

Also in the high frequency / medium frequency field here. I received a "mixed" consensus regarding the use of R and its prevalence in the field (specifically HFT). Speaking with someone who works in ...
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6 votes
Accepted

Covariance between two stocks in a two-factor model

Your questions is unclear but I guess you mean that for the return of stock A you find a model $$ r_A = (0.5, 0.75) (r_F^1, r_F^2) + \epsilon_A $$ where $r_F^i$ are the factor returns and $\...
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6 votes
Accepted

Is being a quant as easy to look for high paid jobs as before

The kind of jobs a quant would do has changed a lot since the crisis. I wouldn’t say there is more or less demand for quants, just that there is demand for them to do different things. For example, ...
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5 votes

How to build a cross currency swap pricer?

I recenlty worked on a similar problem and solved it with the help of Quantlib library. Assuming you are working with EUR and USD: get cross currency (xccy) swap data EUR / USD. You want to know how ...
5 votes
Accepted

What qualifications do the traders have that quants don't?

The right amount of confidence and courage to take risks with other people's money without shading into overconfidence and bad judgement. Especially coping with the emotional pressure of losses ...
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5 votes
Accepted

Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)?

So you can get depo and swap rates from markit daily, at links like this: http://www.markit.com/news/InterestRates_<cncy>_<yyyymmdd>.zip i.e. http://...
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5 votes

Do quants need to know bloomberg terminal and VBA?

(these are just my random opinions. Sorry, I expect many people to disagree with some of them.) Bloomberg makes no effort to make its terminals available to students - quite the opposite. Hence lots ...
5 votes
Accepted

Quantitative Finance Interview: Brainteaser Question/Birthday Problem

If the birthday would have been in June or Dec there would have been a chance that day-knowing C would have known it, because there are unique possible days-of-months in the list for possible ...
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5 votes
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Quantlib: How do I price a ZC bond using the Hull White model?

Here is the price in HW[4] for a ZCB at time $t$: \begin{align} P(t,T) &= A(t,T) e^{-B(t,T) r(t)}\\ A(t,T) &= {\frac {P(0,T)} {P(0,t)}} \exp \Bigl( B(t,T)F(0,t) - {\frac {\sigma^2} {4a}} B(t,T)...
  • 2,866
4 votes
Accepted

What are the advantages of financial modelling in R?

It is very hard to answer this quiz as people might be good at different at tools. For example, if you are good at VBA, then you can achieve the same effect compared to R in most cases. The following ...
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4 votes
Accepted

Free or Relatively Less Pricey Quant Finance courses online

Just an update on my playlist, It has 33 videos now, roughly 3x more vids. I have included some more general economics and machine learning and programming vids, which have relevant applications in Q ...
4 votes

How should I develop my coding ability in order to set myself up for a quant role?

To test your programming skills, try QuantLib. Can you do interest-rate modelling with QuantLib? Can you debug the 10-level C++ template? Do you know how to use day count? Do you know how to use ...
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4 votes

Are questions in Joshi's book really asked at Quant interviews?

The topics are relevant, so if you find something you don’t understand then would be worthwhile brushing up on the maths. It is unlikely that someone will ask you the exact same question though, the ...
4 votes

Multi-Period Contribution

Thanks for the example. It is exactly like my comment. Look at your weights after the first period. Are they really 80% and 20%? Lets say you have £100 to invest. £80 is invested in product A. That ...
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