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Yi Zhongwrote:
Hi Brett, great questions! Some of them are very intriguing, I would definitely come back from time to time and try on more. BTW, I am from Guangxi too :)
Feb. 21
Dave Dykeswrote:
Uh, the MATLAB log function doesn't return the common log as indicated in the blog, it returns the natural log.
Below is from the 2k8a documentation:
log Natural logarithm Syntax Y = log(X) Description
The log function operates element-wise on arrays. Its domain includes complex and negative numbers, which may lead to unexpected results if used unintentionally. Y = log(X) returns the natural logarithm of the elements of X. For complex or negative , where , the complex logarithm is returned.
log(z) = log(abs(z)) + i*atan2(y,x) Examples
The statement abs(log(-1)) is a clever way to generate . ans = 3.1416
See Also
exp, log10, log2, logm, reallog
Jan. 28
Yiqiang717wrote:
我申请加你的space好友了
Nov. 22
Yiqiang717wrote:
呵呵，矿工，希望以后可以成个矿工，不知博主现在是做什么？
Nov. 22
taras.diwrote:
I just read that comments are disabled :(. Any chance of getting them back up (possibly white listing e-mails?).. I wouldn't mind discussing some of the questions :D
Oct. 8
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Quant Career GuidePractical, No-BS Advice on Launching a Lucrative Career in Quantitative Finance 3/5/2009 Interview Question: Impossible OddsSample Question #309 (probability theory)
Another fun brainteaser-type question involving odds.
The odds of winning the Powerball lottery in the U.S. on one ticket is 1 in 195,249,054. ($1 buys one ticket.) How many $1 tickets do you have to play in order to have a probability of more than 1/2 to win the jackpot (grand prize) at least once in the games you have played? Does it make a difference if you buy one ticket per drawing, 10 tickets per drawing, or 1000 tickets per drawing? Also, does it make a difference if you play different numbers each time, or stick with the same numbers all the time?
[Disclaimer: this is absolutely not a promotion of any kind of lottery! This is just a sample interview question that tests your probability theory knowledge] 2/27/2009 Accent TrainingMost quant jobs are in the United States, so being able to speak good American English can give a quant job candidate a significant advantage. Of course, for some aspiring quant job seekers who did not grow up speaking American English (or British English, which most Americans find charming), one allure of working as a quant is you don't have to talk much. It's like an engineering job in other fields like computers or EE or aerospace. Just do the grunt work, use your brains, be good with computers, and you'll be okay. That's mostly true, but come interview time, being able to speak clearly is still very, very important. Also, it's just human nature to be turned off by someone whose speech you cannot understand. Here're some useful book-CD kits that you can buy (or borrow from a library) to help you improve your spoken American English:
I highly recommend you get at least one of these courses and practice, practice, practice. The U.S. economy, and the financial industry, are unlikely to recover soon and the job market will be the most competitive in memory, so it's best to have every advantage you can have. Besides, being able to speak English well can help you find other jobs, even back in your birth country. Good luck, everyone! 2/1/2009 Interview Question: Too Good to Be TrueSample Question #308 (finance)
A heretofore obscure hedge fund manager claims that, since 1990, his opportunistic strategy, coupled with "reasonable" leverage and "superb" risk management, has averaged 66% in annualized gross return. Why is this claim not believable?
[Answer in the comment section] 1/14/2009 Interview Question: Destruction VisitedSample Question #307 (programming - C++)
In C++, when is a class's destructor called? What exactly happens to the data storage and namespace when the destructor is executed?
[Typical real-world question that tests your fundamental knowledge of the inner workings of the language] 1/7/2009 Changing Definition of "Quant"Nowadays, when I see an ad for a "quant" job opening, chances are it's a developer position -- usually a quantitative developer position. In the last six months, it's becoming rarer and rarer to see a quant position in the traditional sense, i.e., someone who designs and tests models, as opposed to just implementing models. This is not a surprising development, since in these times of uncertainty and big losses, financial firms want people who can quickly improve what the firms already have, and whose work results in immediate usefulness. As with many other industries, in bad times, basic R&D gets thrown out of the door and ignored.
But this change may be permanent for the quant finance profession. After all, it's unlikely anyone will come up with a revolutionary model like Black-Scholes anytime soon, and you have armies of academics who can devote their time to testing various hypotheses. Wall Street, more than ever, demands immediate results, and results that can boost the bottom line. Gone are the days when physics Ph.D.s were given fat bonuses just to doodle esoteric formulas on company whiteboards.
What this means to quant job seekers is, programming skills -- especially in C++, C# and Java -- are more important than ever. My own experience has been that, every job I've applied to and/or interviewed for required strong programming skills, mostly in C++. Whether you're a physics Ph.D. student or currently getting your MFE, beef up your C++ knowledge and do lots of programming exercises! (Or go find something else that can leverage your existing skills.)
Good luck, everyone! Interview Question: Playing VolatilitySample Question #306 (finance case question)
Let's say you expect market volatility to go up significantly over the next six months. List at least three ways by which you can profit from this expectation (assuming you'll be right, of course).
[This is an excellent and oft-encountered case question that tests your knowledge beyond formulas from books] 1/1/2009 Interview Question: TV EpisodesSample Question #305 (statistics)
A children's claymation show called Little People has five major characters: Eddie, Sarah Lynn, Sonya Lee, Maggie, and Michael. Each Little People show has five stories (episodes), each story focusing on one of the five characters. Now, the producers of the show try to not repeat the sequence of the characters featured from show to show. How many shows can they produce before they're bound to repeat a sequence previously used?
Where Has Brett Been?As you can see I haven't updated this blog in two months. I'm now involved with an Internet-based distance learning start-up called TNC Networks (http://www.tncnetworks.com), plus my family recently welcomed a new member, so I'm left with little -- actually no -- spare time.
Another ramification of my new life stage is, I probably won't be able to reply to e-mails sent my way. It's not only a question of time, but a question of my commitment to my new venture. I'll continue to update this blog with interview questions as much as I can, though, so I hope you'll still find this space helpful, even if the big environment sucks for quant job seekers.
Good luck, as always. Happy New Year!Wow, what a terrible year it has been for the quant field! No need for me to repeat here what you already know. One thing that totally surprised me is how fast the hedge fund losses snowballed in the last quarter, and this does not bode well for the new year, at least in hiring terms.
In any case, life goes on. I want to wish everyone a happy new year -- and hope everyone who was looking for a job got a "Plan B"!
Good luck, as always. 10/29/2008 Interview Question: Goodness of FitSample Question #304 (statistics)
Explain the difference between R2 and adjusted-R2. When is R2 (or adjusted-R2) not useful?
10/22/2008 Interview Question: Optimal Hedge RatioSample Question #303 (finance)
You just bought one (1) share of stock A and want to hedge it by shorting stock B. How many shares of B should you short to minimize the variance of the hedged position?
[Taken from Chapter 4 of Zhou, A Practical Guide to Quantitative Finance Interviews (Lulu, 2008)] 10/13/2008 Interview Question: Keeping Up With NewsSample Question #302 (case question)
Ok, so you read the Wall Street Journal every day. Tell me what's been happening in the financial market recently, what caused the event or events, and what do you think of the government actions?
[Even if you don't read the WSJ, the interviewer may still ask you a question like this to see if at least you keep abreast of what's happen in the financial world. The last part of the question is actually tricky: you don't want to sound too pro-government action or anti-government action, since you don't know what political bend your interviewer possesses.] 10/10/2008 Interview Question: Matlab CommandSample Question #301 (programming - Matlab)
Dude, I see you're skilled at Matlab. Now tell me quickly: does the log function in Matlab return the natural logarithm or the common logarithm?
(Common log = base 10)
[Remembering the definitions of the log() function in different programming languages is one of the more frustrating aspects of using different languages at work] 10/9/2008 Interview Question (#300!): Black and WhiteSample Question #300 (probability brainteaser)
There are x white balls and y black balls in an opaque bag. (Obvisouly, you can't peek into the bag.) There're also a lot of white and black balls on the side. Each time you take a black ball out of the bag, you put a white ball (from the side) into the bag. If you take a white ball out of the bag, you do not replace the ball.
After you take out three balls, what's the probability of getting a black ball on the 4th try?
(Of course, you may assume that both x and y are greater than 3.) 10/8/2008 Interview Question: Inline or DefineSample Question #299 (programming - C++)
Explain the differences between inline functions and #define in C++. 10/7/2008 Interview Question: Itsy Bitsy SpiderSample Question #298 (probability theory)
A spider must eat three flies a day to survive. (It doesn't need to eat more than three.) The spider has a 50% chance of catching any fly that comes near its web. What are the spider's chances of survival, given that five flies have already come near its web today?
[A classic; you may see variants of this question featuring other predators and preys] Interview Question: Object TypeSample Question #297 (programming - C++)
What's a const object? When do you use it? 10/5/2008 Interview Question: Numerical ApproachSample Question #296 (applied math)
How do you use numerical methods to solve sqrt(50)?
[Questions like this are very popular] 10/4/2008 Interview Question: Can You Draw a Tree?Sample Question #295 (finance - option pricing)
For a stock that's currently trading at $50 and its $55 call option expiring in 10 trading days, draw a binomial tree. 10/3/2008 Interview Question: Extreme SearchSample Question #294 (programming - algorithms) Following up on Question #293: describe the most efficient algorithm. Write some code in C++ or C# or Java. |
Books for present and future quants
A few helpful online tools for would-be quants
My favorite music albums
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