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| Finformatics: Samurai GARCHkillers: Wilmott Magazine Article |
| Kent Osband |
1124 Views |
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In which the ubiquity of GARCH gets a swift
Katana to the Bento box. Having long admired Julius Irving's abilities as a
basketball player, the world was even more impressed to discover his
talents as a novelist. The World According to GARCH, written in 1978, was
an instant bestseller; and the screen version in 1982 was just as popular.
Soon economics departments joined in, adapting GARCH to their purposes. It
is now the favored technique for estimating the volatility of financial
time series. But I think things have gotten way out of hand.
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| High Frequency Statistical Arbitrage Quant / 5+ Years Experience - NJF431 |
High Frequency Statistical Arbitrage Quant / 5+ Years Experience.
My client, a top tier Investment Bank, has signed off the mandate to hire an experienced high frequency statistical arbitrage quant for its automated and algorithmic trading team. The group has had tremendous success in the past few years and has steadily improved the team with some of the most talented traders and quants in the market.
Appropriate candidates must have at least 5 years experience working as a quantitative analyst within the field of high frequency statistical arbitrage at a top investment bank or leading hedge fund. You should be able to work closely with traders, understand their strategies and offer quantitative solutions to optimise their models. My client is only looking to meet with the markets‘ top quants and the successful candidate will be expected to bring unique quantitative skills to an already gifted team of mathematicians.
Interested candidates should have extensive experience in the following;
· Time Series Econometrics
· Parametric and non-parametric regression
· Bayesian Statistics
· Multivariate Statistics
· Principal Component Analysis
· Co-integration techniques
In addition, experience in the fields of neural networks, support vector machines, genetic algorithms and adaptive filtering will be viewed as highly advantageous. You should be able to generate industry standard C++ code and experience in Java will also be extremely helpful. You are expected to have received a PhD in Mathematics or Theoretical Physics from an IVY league academic institution (or European equivalent).
My client is ready to remunerate with a market leading package and has a reputation for offering the best compensation in the market.
Please email your CV to w.murday@njfsearch.com |
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