CQF
Subscribe to Wilmott
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
latest jobs
p&d
search
magazine area
cqf
bookshop
about us
subscribe
home
Finformatics: Samurai GARCHkillers: Wilmott Magazine Article
Kent Osband 1124 Views

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.
What I Knew and When I Knew It - Part 2: Wilmott Magazine Article
Ed Thorp 4559 Views

Ed looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.

Advertise your event here
Wilmott.com has a global membership of 70,000+ quants and risk managers, with a typical reader visiting once a week. Targeted access to top-level practitioners makes the Wilmott Events Board a highly effective way to contact future participants.

There are two ways to place your ad with us.

1. For a single ad, you can place it directly onto the Events Board on the Forum (log on and select 'new topic'). We will then direct you to our payment URL. The ad will remain hidden until we receive payment.

2. Alternatively, and to receive a bulk discount, you can send your ad(s) to us at events@wilmott.com and we will post it/them onto the board for you.

For details and costs, please contact events@wilmott.com.
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
Now Playing
Finance Focus: Nick Higham
Singular perturbation problems
Latest Blogs
Paul
High-frequency Trading: Where are we and how did we get here?
28 06 10: 10:30 AM
NNT
My Technical Appendix
16 04 09:2:40 PM
Collector
The Very Long Hedge
19 06 10:5:07 PM
Emanuel Derman
Die Antwoord: Part Deux
28 07 10: 11:17 PM
Satyajit Das
Botox Economics ? Part 2
18 07 10: 12:18 AM
DCFC
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
From Jorion-Taleb To Choudhry-Triana
08 07 10: 9:45 PM
Jan Dash
Free Opera in Central Park Aug 18 - NY Grand Opera 2010
12 07 10: 8:34 PM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
SEC Accuses Dallas Investors Of Insider Trading Yielding $550 Million
30 07 10: 10:16 AM
Cuchulainn
Higher Order PDEs and the Curse of Dimensionality
06 06 10: 4:12 PM