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I was a participant in the survey, I used to be on the institutional side.

Great comment, I barely remember the days before semi-electronic markets. Technology and access has certainly leveled the playing field a great deal, now a trader sitting in his living room can have access to the same information, the same historical data, same speed of execution, as a big...

A decent overview, nothing deep, but gives some idea about the institutional equity trading industry (50+ pages).

I am quite familiar with VWAP and other similar strategies, such as order book VWAP, value vwap, etc, etc. These methods are used primarily as benchmarks nowadays for program trading, since it is fairly easy to "beat" these benchmarks. Sell side firms are now using these "easy" benchmarks to...

They won't be talk if they are accounting for a noticable percentage of the daily volume (1% of 400k is around 4k sides per day). I have seen 500 lot orders and 400 lot fills.

It is funny, but I have yet taken 1 cent out of my trading profits. I still live in the same apartment I bought before I started, drive the same car (a '94, but I live in manhattan, so just having a car is a luxury). I actually spend substantially less than when I was employed, since I don't...

I used to participate, then served as a faculty advisor for the ACM programming contest (went to the final 3 times, highest finish was 6th). The problems are similar in nature, but algorithmically a bit harder than the problems I just looked at in TopCoder. Last year, no US university...

You mean a full Globex setup? What kind of products will you be pulling down? The amount of bandwidth you need depends on how many products you subscribe to. You will need a pair of servers (TIBCO under the current MDAPI, if you have coded to MDP, then no software). If you are trading more...

I know of the firm, SKTY are the initials of the four partners. They are quite young (mid to late 20s). I had a chat with some of the partners a couple of years back, they not only trade ED options, but also a few CBOT options (wheat? beans? can't remember). PM me if you are looking for...

I completely agree, simple or complicated is relative, it is never as simple as 2-3 rules, nor does it often involve esoteric methods.

I run a set of automated trading systems, all written by myself.

I have no idea why I am replying. I have taken some interest in Asia, particular due to the growth in derivative markets. AIMR is the association that administers the CFA certification. CFA degree is not issued by government, rather citizens of any country can take the CFA tests. The...

By the way, you get look at the first chapter of the High Frequency Finance book here: http://www.fxtrade.oanda.com/resources/hffbookchapter1.pdf

Here are a few popular sites, PLAT being probably the most frequently referenced one. However, the strategies discussed in PLAT are probably not applicable to anyone except for academic interest: http://www.cis.upenn.edu/~mkearns/projects/plat.html Journal of Computational Finance...

If you want to get an idea on the data massaging / basic strategy setup side, try this book, "Introduction to High Frequency Finance", written by a bunch of Olsen & Associates people : http://www.amazon.com/gp/product/0122796713/002-6629849-2537655?v=glance&n=283155&n=507846&s=books&v=glance...

I have some knowledge of the financial markets in south east asia. I am confused, title of your post said you are looking for a "programmer" job, and yet body of your post keep on saying "trader". I have no idea what is it exact what you want. If you graduated from a top university...

No, it is just the simple matter of diversifying. All strategies have inherit capacity limitations, so with more and more capital, the HFs are just looking at more investment strategies, including the traditionally less liquid markets. It is hard to say what Goldman does, since they are in so...

With a lot of the funds doing private equity stuff (see Cerebus, DE Shaw, Ritchie, etc), not even to mention funds that specialize in activism (ESL, for instance), the line between a large hedge fund and an investment bank is blurring.

Huh? Algorithmic trading is still trading, why the difference? Just because a computer can beat the world chess champion (see Deep Blue vs Garry Kasprov), it doesn't mean that people would find chess any less interesting or fun, right? The retail mom-and-pop are still going to buy their...

Just a note about a behemoth like ML, watch for where you will be interning. Like every ibank, the organization is highly fragmented, if you are on the mortgage desk, you won't even see people in equities (let alone talk to them), etc, also in the private client (retail) world, you won't see...