Search results

In the purest sense, you are right that CS is specialized blend of mathematics, but that's no different from calling theoretical physical mathematics as well. I spent sometime in academia, went through the "publish or perish" crunch, etc. It is a trade-off between academic and industry, in...

Let me do a disambiguation, there is sufficient difference between Computere Science and Software Engineering, although they are often confused with each other. SE is focused on constructing ("engineering") flexible, scalable, extensible software systems. Computer Science, as an academic...

It is exactly for that reason that a new class of Quants, "execution strategy quants" are currently in very high demand right now. "slippage", aka, the market's reaction (for instance, pure scalping) to a large trade is becoming incredibly important, as each unit profit rapidly drops. For...

Which is why new organizations (new funds, new desks) can get their basic system together quickly, no legacy baggage. Once the systems are running, inertia sets in, and the speed of change gets slower and slower.

Heh, this type of stuff happens often. The friday before labor day weekend, the volume was very thin, one blackbox I see tries to induce volume. With pretty much all the index arb and hedgers asleep, systems can easily pickoff the order book induce system, as it tries to flat out its position...

Well, a similar well-known story was someone misheard a client's order for 80 contracts as 800, ended up selling 800 contracts (80 client, 720 prop). And then "black monday" (1987) hit, this person ended up making $10M in span of 1-2 days. That's a good mistake.

I think I remember the incident you are talking about, that was funny.

Also, if the risk module was referring to the same pricing matrix, then the "hedge' sizes would appear to be "correct". Just that the risk module would not have the "common sense" to realize that such hedge sizes are "outragous" for that particular day. Since such trading can grow to very...

ahem, you will be surprised how primitive some of the systems are, especially since something that have been running for 10+ years. Problem isn't the original design, it is that the systems over the years got mangled to serve different purposes, a portfolio trading system that also take on...

No, one case I know of was incorrect hedging, so the system would keep on reset the pricing matrix (supposedly a start-up error by the Tokyo desk when they are done for the day), causing larger and larger "hedge" to be put into the market. At time of discovery (when US risk picked up the...

I guess it would depend on the size of the firm. For a ibank, with $50B firm balance sheet, no a few million is not worth the trouble. But for a smaller dealer with, say $500M firm balance, then a few million would be worth the trouble. However, a $500M sized firm will also have trouble...

Yes, how big? Many $5-10M or so blow ups, a few $100M+ blow-ups. Almost all can be attributed to poor risk management.

Small trader, retail, even a small manager (< $100M), not worth the trouble. But if the customer is a fairly large hedge fund, fairly large dealer in a particular product, or extreme unusualness, then yes. Having involved in four such situations, the categorization of the "target" is very...

Okay, since I used to be on the other side (investment banks), something like this was done in secrecy. This is not paranoia, but rather done quite frequently. However, it doesn't matter how profitable a *retail* customer is, the amount of gain doesn't warrant a full-blown analysis, a...

Yes and no. Like any complex organization, it is hard to generalize what people at an ibank do, similarly, what does a person at IBM do? People in ibank do a large variety of things, investment banking (what you are referring to), trading, sales and trading, financing, modeling / quant, risk...

Well, I was the "asshole" that lead the outsourcing (read, not exactly off-shoring) RFP and vendor analysis that resulted in 3k IT people losing their jobs (transferred to the vendor and then summarily dumped). It was one of my "less proud of" moments. But even today, I believed it had to be...

Psychologically, it is completely different being an investor vs a speculator. Sure, for most people, trading on their own account won't make much more than if the money was put into a good investment vehicle. However, the self-satisfaction is non-existent with being an investor. To become...

I would also consider the FX rate fluctuations and the ability to hedge your FX exposure. Without the ability to hedge the FX, the high interest rate is almost meaningless. Brazil, and most of Asian (during the asian economic crisis), interest rate rached 20-30%, however, the ability to hedge...

From what I have seen, there are several possible causes of bad ticks: 1) Bad aggregation, almost all of the aggregated feed providers (Thomson, HyperFeed, Comstock, etc) would, in very high data rate times / product (say eCBOT or high rate equities / options / futures), time slice. So the...

Well, it is an art (black?) to sniff out what a real-move is and what a move forced by a large automated trading system is.