MFE Career Series

In the next coming months, I intend to lay out some job functions/roles/departments that most MFEs get hired for. In my experience, most MFEs are career changers, and as soon as they get to school, they get so busy with the stochastic calc and econometrics stuff, that they sometimes dont have time to research all the job functions.

In this series, I would try to pool some collective knowledge that I have gathered from both from my end as well as talking to alums and my classmates. I think this would be useful to me as I decide for my own full time position, as well as to those contemplating (or entering) MFE programs. Disclaimer: this is just my own set of perceptions..please take it with some amount of uncertainity.

The topics briefly would be:

1. Quant positions (on the floor) (Quant, Quant Trader)
2. Research/Strategy (Strategist, modeler, Research)
3. Risk Management
4. Buy side (portfolio mgmt, buyside research)
5. Trading Positions (Trader, Trading Assistant, Junior Trader, etc)
6. Structuring
7. Sales (??)

Will try to post on this series when I get back to school!!

WSJ mentions MFE ..

An article on quant financial programs appeared today in WSJ. Here is the link.. Quite informative.

weeks 33/34...Nobel Laureates and more!!

2 more weeks into the internship. Things are looking great..am working on many aspects of fixed income and learning about new products and strategies.

The other day, I had a chance to go to a very interesting seminar hosted by National Academy of sciences - featuring some very prominent speakers - Robert Engle (of the ARCH fame), Derman, D. E. Shaw (yes it's also a fund, run by guess who?), and so on. Heard some really interesting views on volatity, statistical mechanics, econophysics, and so on. Some tidbits:

• Returns are non-gaussian. Large events cluster together. One of the speakers (Eugene stanley) used high-frequency data (TAQ) to show that the data actaully follows an inverse cubic law.
• ARCH models give forward measure of vol. Vol is low in bull markets and vice versa. (why??)
• Dr. Engle talked about his new book (in works) : "Anticipating correlations".
• Doyne Farmer talked about using agent based models for behavioral models.

Later, at the reception, I had a chance to talk to Dr. Engle, who was so accessible to talk to....I never realized for a moment, that I was in fact talking to a Nobel Laureate. I later had also a chance to meet my good friend - Aloke (read more about this on his blog!!!) from NYU. We chatted about life, work and of course, how our classmates are faring in what seems to be a bull job market! As Borat says - "Nice!!"

In other depressing news: Cal lost to Arizona!! This was just not expected.. oh well!!