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No, TA has nothing to do with quant finance because there is no quantitative basis for these patterns. Scalpers, on the other hand are 'wet-ware quants', since they use autocorrelation .

Well, that is true at the first glance. But you do know that currency and IR risk are inseparable :D So if i am trading a EURIBOR/LIBOR quanto option or a vanilla currency swap (which is as much of an FX deal as it can get), I will probably hedge myself with eurodollar futures...

Quant finance in general is not concerned with predicting the prices or direction of the market. Roughly, you can split quant work into tree parts a) understanding risk - how much, when and how could one loose, what can be done to prevent it. Portfolio theory as well as many other things...

Now, how come every time quant finance is brought up here LTCM comes up? Nobody ever mentiones 100 trillions of dollars (notional) in IR derivatives today (all quant stuff), nor a number of stat arb funds, some of them making about the size of LTCM's losses every year (look at clinton for...

Well, an average quant makes more then an average prop trader at a prop firm or a day trader trading from home. And they have a nice, secure job - would not that be a good reason to become a quant?

You should realize that all of their positions where in OTC derivatives and their loss was someones gain. Actually, the main (in my humble opinion) reason for their demise was that when the market went against them, some of the investors propped up on their positions by requestion liquidation...

Well, he _personally_ did very well in the whole story. The beauty of being a Noble prize winner is option-like payoff :D

Actually, it is worth writing your own engine - especially if you are using MC for pricing stuff like asians. For example, there is no cheap (under 100K) tool that I have heard of that does low discrepancy number generation (Sobol sequences). Also, tweaking the distribution on comercial tools is...

well, in that case there is a bigger question: "what are you planing to do with your life?" it it was me, i would rather learn about interesting, rich products, at least from an intellectual perspective. that is of course, unless prop firm is trading something else (bonds and options are faar...

But it is back office, do not forget. it is tricky to get from back office to the desk in larger firms or banks. Nevertheless, it is a pretty good opportunity. What are they offering you - about 50k?

Err, for the skew models look at some stochastic parametrisations, like SABR model. It is quite neat and predicts the smile dynamics rather well. I can send you some VBA code + spreadsheet

Right, that's the key phrase. I totally agree that some automation is here and hopefully here to stay, but it still relies on some human judgement, otherwise the exchanges would be taking on risk that would never be covered by the potential gains from MM-ing. The floor trading should go away...

As a ex-quant and a quant trader, i would like to develop this issue a bit. If you are worried about automated market-making - autmated market making for options is really faar away. Electronic exchage trading will benefit quant finance methods but for a number of different reasons.

That probably means that you are hanging out with the wrong crowd. Try attending brown bag derivatives lunches at NYU - you will be in for a shock.

On Sept. 10, 2001, put options on AMR were 17 times their average volume of 269 contracts. On Sept. 6, 2001, UAL put options were traded at more than four times their average volume of 711 contracts. Now, that is more like it. 269X quoted in the first post would surely forced IV to go...

Let's add some market reality to this. Imagine a marketmaker that sees a HUGE number of bids for puts? "Paper coming, locals hiding". I would NEVER sell or buy any options under such conditions unless I was compensated by real nice implied vol. And I mean REAL nice. The skew in such market...

Well, that pretty much rules out any derivatives, does not it? I think the guy mentioned that he traded on CBOE before. Given the conditions described, I can not understand what value does the firm add - the capital is trader's own, the working spot and transactions are charged for - why not...

Well, unlike markets chess is not a stochastic system. In a simpler game, checkers, computers have been world champios for over 10 years. On the other hand, I would not envision a good speech recongnition system or a machine translation system for the next 50 years or so. NN-based black box...

Nothing to do with the discussion, just a pure math remark. Any number like this (A is X times then average ) is meaningless without the standart deviation for the series. The easiest way would have been to look up historical implied vols for that security for that day. Higher volume breeds...

I can quote two reasons - more interesting products to trade (for derivatives folks like myself) and fatter paycheck. Since it sounds like the fellow in question is in equities, it must be the second one.