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ctkrohn


Total Posts: 11
Joined: Mar 2008
 
Posted: 2008-11-25 03:29
Hey everyone,

I've been working for the past year or so trading mortgages at a major bank. I feel pretty secure in my job -- or at least as secure as you can be in a position like mine -- but I'm looking for something that makes more use of my math and programming background. I hate to say it, but market making just isn't that intellectually stimulating. I'd like to make my way towards a quant trader position at a smaller hedge fund, but I realize I might not be able to jump there immediately -- especially in a job market like this.

The problem is that my job experience has been pretty narrow: I can tell you a lot about mortgage trading and quite a bit about other fixed income markets, but I developed my programming, math, and quant finance knowledge on my own. I feel pretty confident about my abilities, and I try to keep up with what little algorithmic trading literature there is, but based on what I've seen, quant trader positions seem mostly closed to junior guys without concrete related experience. Is this impression correct? How can I make myself more attractive to hedge funds and recruiters? I'm sure there's no typical background or career path for a quant trader, but how can I at least start moving in the right direction?

Any thoughts appreciated.

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3169
Joined: Jul 2004
 
Posted: 2008-11-25 05:01

What does "quant trader" mean?  Stab art?  Prop trading mortgages?  Vol arb?  If you're more specific, you will have a better chance of eliciting meaningful responses (that also applies to your comments about "programming, math, and quant finance knowledge").

 


"...a credit crunch does not seriously affect the Federal Reserve's capacity to stabilize the economy..." Bernanke, 1992

ctkrohn


Total Posts: 11
Joined: Mar 2008
 
Posted: 2008-11-26 02:37
Sure. To clarify, I'm looking to switch toward a job where:
- I get to take risk. I'd hate to build a model, but let others make money with it. That's why I don't want to work in research or programming at a big bank.
- Trading decisions are primarily systematic, based on model output. I'm not really interested in making macro calls or putting on trades based on a gut feeling.
- I get my hands dirty writing code, doing the math, testing strategies, and building models and trading systems. I don't want to just press buttons based on what other people's programs say.
- Focus is primarily on liquid, screen-traded markets: equities, currencies, certain fixed income and commodity futures, etc. I'm not really interested in OTC derivatives, securitized products, corporate bonds, ABS, or anything along those lines.

So with that in mind, I've definitely been leaning towards stat arb, high frequency trading, and the like. I'm not interested in capital structure arbitrage, convert arb, fixed income relative value, global macro, structured credit, or mortgage credit. Vol arb could work -- I know about rate volatility markets as they pertain to MBS, but I've never looked at swaption vol vs. cap/floor vol relative value strategies, or equity vol pairs, or dispersion/correlation trading.

Trading mortgages on the buy side doesn't really interest me. TBAs are definitely a flow product, but the lack of screen trading makes them very difficult to trade on a systematic basis. There are no screens where clients can see executable prices -- you have to call a dealer and get a quote. Most dealers are very picky about who they provide liquidity to. Furthermore, all relative value relationships have broken down in the past year -- the basis has been incredibly volatile. Today alone, we got to 20bp tighter vs swaps after the Fed announcement, but walked out unchanged. Before the crisis, a 20bp daily move would have been unheard of. It's very difficult to use mortgages to trade duration, and simply impossible to use them to trade volatility like you once could. Prepayment models have completely failed and OAS has become a useless metric. Putting on a trade of any kind requires you to take a macro view, which I'm not really looking to do.

Finally, to clear up my experience... undergrad math major, some grad-level experience in probability and stochastic calculus, coursework in econ and stats, programming experience in C, VBA (far too much VBA), and Haskell. Some experience in C#, C++, and Java, but not nearly as much as in C or VBA. Not much financial modeling experience, apart from using principal component analysis to decompose yield curve movements. I spent the past year trading agency MBS through one of the most volatile movements ever.

The problem is that my professional work experience isn't particularly relevant to what I want to do. So what can I do to improve my chances?

dehaan


Total Posts: 104
Joined: Oct 2008
 
Posted: 2008-12-01 00:57

hi,

as for me - start first, if you can afford it, your own day trading - the recepie you are thinking about ( [C +C++/ C#+VBA²+Java+Stats x Math-{ABS+MBS+CB+SF+...}+... ]==Job_at_a_HF) may be completely usless....

Regards


doctorwes


Total Posts: 577
Joined: May 2005
 
Posted: 2008-12-01 04:36
If you have a secure job, you're fortunate right now. We're in the middle of a very, very big adjustment on both the sell-side and the buy-side. More firms will vanish. You pointed out yourself that there are some remarkable things going on. It might be better to wait for a year to see what the landscape looks like; I suspect it will be quite different. In the meantime, there's always plenty to learn.



JoeC
Certified Headhunter

Total Posts: 157
Joined: Oct 2006
 
Posted: 2008-12-01 05:31

If you are as secure as the market can provide you may want to approach your search as "if I found it great, in the mean time my check clears)"

To move into HF, Stat Arb, etc... you will likely need heavy C++ or perhaps Java; the VBA isn't going to be real helpful.

That you have Stats in your background is a plus.

"At the junior level" there is a mass of people lucking and very few seats for that bracket of skill and experience. If your seat will probably be safe through Q3-09 I'd study the markets and your C++; waiting for the right moment.

As a headhunter there are still real roles to be filled - but until we get clarity on the regulatory framework/intent I suspect large sums of big money will wait - better to move when the money moves -- unless you find something great than take it.

Feel free to email me if you want to think it through a little more.


Jurassic


Total Posts: 133
Joined: Mar 2018
 
Posted: 2018-08-25 22:20
> I hate to say it, but market making just isn't that intellectually stimulating

Why is this? This view is repeated elsewhere on here. Is this the same for all flow trading/sell side trading?

day1pnl


Total Posts: 40
Joined: Jun 2017
 
Posted: 2018-08-26 01:40
Tend to think its being excessively repeated. But there really could be a million reasons. Most people trade quite boring instruments in asset classes that aren't super interesting either, yet can not be immediately "automated" by algorithms - you'd be wasting time trying to code it up if nothing trades on screen and you have to call someone to get a quote. If I'd have to find a root cause, I'd guess that as result of above, most market makers spend 99 pct of their time doing absolutely routine manual work (rinse and repeat) and 1 pct of their time scrambling to get out of risk they don't like but got given by clients (negative selection bias). Not actually having the positions you want to have.

But it is what you make of it. Depends very much on the asset class you trade, complexity of the derivatives, the clients you face, the amount of human skill vs programming skill involved, your colleagues, if you are in the brokering or risk business, etc. etc.

Osiris2


Total Posts: 21
Joined: Sep 2017
 
Posted: 2018-09-08 01:42
I think all the low-hanging fruit has been grabbed in terms of markets where automation can easily replace humans in market making. On the one hand that means fewer jobs left for people in those seats, but the flip side is that those which remain are more interesting.

IMO, derivatives MM (for non-vanilla) is the classic example of a market where it is complicated enough that you can't just blindly follow a simple set of rules, and thin enough that there isn't enough data to train algorithms to the point where they will be any good. You almost never get to do exact offset trades, and end up running dynamic hedges where you are just pushing your risk around into higher order factors and have to make some qualitative/gut level assessments of which of those risks you are willing to take in order to hedge out others.

Jurassic


Total Posts: 133
Joined: Mar 2018
 
Posted: 2018-09-08 10:08
> I think all the low-hanging fruit has been grabbed in terms of markets where automation can easily replace humans in market making.

Thats odd considering the push in EMM right now

Jurassic


Total Posts: 133
Joined: Mar 2018
 
Posted: 2018-09-08 10:22
> Depends very much on the asset class you trade

@day1pnl whats good in your opinion?

day1pnl


Total Posts: 40
Joined: Jun 2017
 
Posted: 2018-09-08 10:34
> > I think all the low-hanging fruit has been grabbed in terms of markets where automation can easily replace humans in market making.

> Thats odd considering the push in EMM right now

It's not odd at all - it's called competition. just because its not low-hanging anymore doesn't mean you can/should stop pursuing it.

day1pnl


Total Posts: 40
Joined: Jun 2017
 
Posted: 2018-09-08 11:27
> Depends very much on the asset class you trade

@day1pnl whats good in your opinion?

something illiquid and that has many greeks.

chiral3
Founding Member

Total Posts: 5060
Joined: Mar 2004
 
Posted: 2018-09-08 18:58
Asking this question in '08 (per the OP) is very different than asking it now. A bunch of zeros got handed out and a bunch of deferred comp and unvested comp got wiped out since then. Many of the people that have held on with the tightest grip have been trying to get back to their high water mark. I know people that lost eight figures and that's not going to get recouped before they retire. These are senior people, and they spin a certain story tot eh junior people they need to implement their ideas for their clients. The buyside has less pnl vol and a slightly better life balance (sometimes). There's less regs that serve as headwinds. If you have a marathon mentality it's not a bad place to be these days. I'd also be mindful of where we are in the cycle. Guys that went to PE 10 years ago have a rose-colored view of the next 10.

Nonius is Satoshi Nakamoto. 物の哀れ

Jurassic


Total Posts: 133
Joined: Mar 2018
 
Posted: 2018-09-08 19:06
@chiral3 sorry Ive kinda hijacked this thread with my questions regarding sell side trading (as of 2018)
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