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sourjam


Total Posts: 4
Joined: Mar 2016
 
Posted: 2016-03-01 02:44
Hi All,

I'm currently working as a quant in the Model Validation team (Risk division) of a Commercial Bank (I’m in this role for a bit more than two years after spending close to 10 years in finance technology).
My duty is to create models to solve quantitative problems that the bank faces (that's what I envoy the most) and to validate the derivatives models (All asset classes but mailny IRD) that are implemented in commercial softwares used by the bank. For that, I normally have to independently develop derivatives models, stress test software models and conduct all sort of analysis to ensure that these models produce robust and accurate figures in a wide range of cases.

I have been approached by a firm for an algo trading eFX quant role (engineer responsible for building the algos for price construction/auto-hedging/execution/etc.) and I’m trying to make a rational decision on whether I should take or not this job.

To summarize, here are some the key differences (between my current job and this new role) I can think of:
1) It's a front office role as opposed to a support function (risk). therefore probably more fast paced and more 'risky' but with better compensation, etc.
2) Less mathematical, more algo type of work. I'm afraid eFX will not be as intellectually challenging as my current role. I might be wrong but so far I have not found very complex algo in eFX (based on what I found through Google). Don't get me wrong, I'm not saying eFX is trivial; the infrastructure can be quite complex but the algos required seem to be relatively simple. My current definitely keeps me intellectually challenged.
3) There might more opportunities in the future in eFX than in Derivatives pricing

I know no one can make that decision on my behalf but I’m be curious to read what other people think about such a move.

Thanks in advance

Cheers
Sourjam

triarb
Banned

Total Posts: 12
Joined: Oct 2015
 
Posted: 2016-03-01 11:56
..


HitmanH


Total Posts: 455
Joined: Apr 2005
 
Posted: 2016-03-01 15:30
From you point #2 - "Less mathematical, more algo type of work. I'm afraid eFX will not be as intellectually challenging as my current role. I might be wrong but so far I have not found very complex algo in eFX (based on what I found through Google). Don't get me wrong, I'm not saying eFX is trivial; the infrastructure can be quite complex but the algos required seem to be relatively simple. My current definitely keeps me intellectually challenged."

It isn't about finding a 'perfect' algo - in the way that in model validation one can get a perfect solution. It's about finding something that works 60% of the time of 50.50% of the time after transaction, infra and other costs...

Hence the maths may not be as unique, and difficult - but that isn't where the edge is

sourjam


Total Posts: 4
Joined: Mar 2016
 
Posted: 2016-03-01 16:14
Hi, why not. any email i can drop you a note at?

sourjam


Total Posts: 4
Joined: Mar 2016
 
Posted: 2016-03-01 16:15
@HitmanH: thanks for this. very valuable point

triarb
Banned

Total Posts: 12
Joined: Oct 2015
 
Posted: 2016-03-01 22:40
.

rickyvic


Total Posts: 120
Joined: Jul 2013
 
Posted: 2016-03-05 01:00
It depends on what do you want the new job sounds like trading or research/devel for trading.

I dont think algo mmking is that much of an easy job. There are a lot of challenges, you have seen what happened recently some players had a rough time... it is front office so be prepared it is different.

I am working on algo mmking in futures started a month ago, we do US rates primarily so similar. The challenges to build short term predictive models are not minimal in the fx space imo. I find t more interesting but probably a lot riskier than the old job.

"amicus Plato sed magis amica Veritas"

sourjam


Total Posts: 4
Joined: Mar 2016
 
Posted: 2016-03-14 02:49
thank you very much rickyvic

Jurassic


Total Posts: 85
Joined: Mar 2018
 
Posted: 2018-05-19 21:03
What does eFX work actually involve?
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