Ito Windsor @ItoWindsor Twitter profile

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Ito Windsor

2 years

[Thread of Threads] This thread should refers all threads done on this account. These threads deals mostly with maths and computer science and are mostly focused on simulation

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Ito Windsor

@ItoWindsor

6 months

[Preparing Quant Interviews] Disclaimer: I'm not an expert, I'm just a student who graduated some months ago and is now in the industry and I want to share my experience and what I learned so far. So the following thread might not be exhaustiv but it might be a good help for you

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Ito Windsor

@ItoWindsor

1 year

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Ito Windsor

@ItoWindsor

4 months

pretty interesting interview question :

Interview Market Making Strategy

This market-making question comes from a prop trading final round which I failed. I was told to make a market on the number of prime numbers between 1-100. I was confident the number was around 20-...

quant.stackexchange.com

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Ito Windsor

@ItoWindsor

4 months

Kebch.

@Kevouuz

4 months

I have the better question - I say you N random variables with correlation p between each pairs; what is the maximum and minimum for the correlation p?

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Ito Windsor

@ItoWindsor

1 year

[Brainteaser 101 – 1 : rolling dices] One very simple brainteaser you might get in an interview is the following one. You are playing a game where you roll a fair dice. If you roll n, you get n dollars.

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Ito Windsor

@ItoWindsor

1 month

@quantymacro Yeah kinda hard Tbh the only way I see is to : - Follow usual courses (stats, linear algebra, programming) - Read some books on the market (Hull for example is a good introduction) When you have some technical skills, try to build stuff (Options pricing etc. )

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Ito Windsor

@ItoWindsor

5 months

Sometimes I think about doing a PhD and then I remember that the pay is at best mediocre

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Ito Windsor

@ItoWindsor

6 months

I recommend you as well Abdul Bari's channel () for the explanations of how the algorithms work etc. and if you are more into books, you can read 'introduction to algorithms' which is a reference in the domain

Abdul Bari

I have started this channel to help Students Community to learn difficult topics, from computer science, with a simple and detailed explanation. I have been teaching some computer science subjects...

www.youtube.com

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Ito Windsor

@ItoWindsor

6 months

Concerning Stochastic Calculus, you need to know your stuff on how to determine the law of a Wiener integral, apply the Ito lemma, solve usual SDE (geometric brownian, Ornstein-Uhlenbeck, ...), Girsanov, Feynman-Kac.

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Ito Windsor

@ItoWindsor

6 months

Just, a little difference is that if you apply for a trading position, something that appears a lot in those tests are 'mental calculation' For those I can recommend you to go on zetamac ()

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Ito Windsor

@ItoWindsor

6 months

Like when you overestimate your skills by saying that you are an expert in C++ by example. Well in many cases it's fairly easy to see that it's a lie and it's really bad for you if it's discovered (and it will be) as your interviewer can easily destroy you and worse

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Ito Windsor

@ItoWindsor

4 months

After 6 months on pycharm I just discovered how to get the documentation. Better late than never I guess

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Ito Windsor

@ItoWindsor

6 months

To train I can recommend you two websites : - leetcode - hackerrank Those websites have a lot of problems to train and, fun fact, you can find most of your assement's problem on those websites

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Ito Windsor

@ItoWindsor

3 months

As always

Jon Erlichman

@JonErlichman

3 months

Value today of $10,000 invested 20 years ago: Nvidia: $4,794,262 Apple: $3,602,127 Monster Beverage: $3,558,000 Booking .com: $1,454,390 Netflix: $1,420,835 Salesforce: $997,418 Google: $811,085 Amazon: $764,255 Domino’s Pizza: $356,479 Adobe $222,018 Costco: $191,940 Microsoft:

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Ito Windsor

@ItoWindsor

4 months

Is there any website / books for good practice with python / pandas ? I feel that my code is at best garbage and I would like to improve it

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Ito Windsor

@ItoWindsor

6 months

So for the books recommendation : if you don't know anything about finance you can start with the Hull (Options Futures and Other Derivatives). I'm not a big fan of this book as it doesn't go very deep but it can still give the big picture so more like a book for 'context'

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Ito Windsor

@ItoWindsor

6 months

@Lptomov82 @MathMatize The square root is only defined on positive real numbers Thus the square root of 4 is 2 On the other hand, the square is defined on all real numbers and thus (+/- 2)^2 = 4 It's just a question of definition

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Ito Windsor

@ItoWindsor

1 year

@JourneeMerde "Soit f(x) la fonction ..." c'est pas mal aussi

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Ito Windsor

@ItoWindsor

3 months

Something that I personally find strange is that when you want to start your Machine Learning journey, there is a lot of "best ML courses" and similaire stuff but not that much about "good datasets" I mean, I don't think that you can learn a lot of things on this kind of dataset:

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Ito Windsor

@ItoWindsor

6 months

If in our very first interaction I catch you lying, why would I work with you ? How can I trust you ?

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Ito Windsor

@ItoWindsor

7 months

@ubertortank Wall street Oasis et un peu tous les autres sites du domaine C'est le format qui est recommandé donc les gens ne se prennent pas la tête (Et c'est mieux que les CV avec une photo qui prend les 3/4 du CV mdr)

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Ito Windsor

@ItoWindsor

6 months

For a focus on interview questions, there are special books : - Heard on the street - 150 Most Frequently asked questions on quant interviews - A practical guide to quantitative finance - Quant Job Interview Questions and Answers

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Ito Windsor

@ItoWindsor

2 months

An interesting article :

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Ito Windsor

@ItoWindsor

2 years

[Simulation of gaussian processes] Suppose that you work with a gaussian process. You may be in a case where the theoretical study cannot be further advanced. Therefore, you might want to simulate your process to get more information.

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Ito Windsor

@ItoWindsor

3 months

One must imagine Sisyphus happy

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Ito Windsor

@ItoWindsor

6 months

Specifically for brainteaser, or at least to work on the thinking, you can take a look at brainstellar (). The discrete/probability puzzles are kinda interesting for this. Furthermore you can take a look at '50 problems in probability with solutions'.

Home

Puzzles from Quant Interviews

brainstellar.com

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Ito Windsor

@ItoWindsor

2 years

@pyquantnews No stochastic Calculus for Quant ? However it seems to be a necessity to understand models

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Ito Windsor

@ItoWindsor

6 months

So first of all let's discuss about CV and fit part. What I mean by that is that you mostly have the 'right' CV format so that's good. but something that you might do is lying on it.

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Ito Windsor

@ItoWindsor

6 months

Now that you have your CV, if you pass the screening, the company you applied to might send you the link to a test. So far I've seen three types of test : - interview oriented test - coding assessment test - 'mini project' test

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Ito Windsor

@ItoWindsor

4 months

I'm spending *a bit* too much time at work I'm kinda considering dropping my apartment to fully live at the office

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Ito Windsor

@ItoWindsor

6 months

You need to prepare because if you have never seen how to solve a knapsack 0/1, it's very unlikely that under the stress you can come up with an answer.

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Ito Windsor

@ItoWindsor

6 months

For the coding assessment test, it consists in solving algorithms problem in a defined time (60 or 90/120 min in general for 2 to 3 problems). For this there is no shortcut, you have to PREPARE A LOT.

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Ito Windsor

@ItoWindsor

7 months

Interesting answer dealing with illiquid options and volatility

Option Pricing for Illiquid case

I am currently studying crypto options trading and have observed that there is often a lack of liquidity for options (such as BTC Options) on various exchanges, including Binance. In many cases, th...

quant.stackexchange.com

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Ito Windsor

@ItoWindsor

3 months

Missing some examples but interesting

MinMaxScaler vs StandardScaler - Python Examples

Differences between MinMaxScaler, & StandardScaler, Feature Scaling, Normalization, Standardization, Example, When to Use in Machine Learning

vitalflux.com

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Ito Windsor

@ItoWindsor

6 months

- prépa PCSI/PSI - ingé Maths/Info - M2 Maths App (finance quantitative) Dauphine

L'équipe Cité des Chances

@CiteDesChances

7 months

📣 C'est l'ouverture des inscriptions #Parcoursup ! ➡️ Les vous pouvez citer ce tweet avec votre filière d'étude post-bac et votre établissement pour que les terminales/étudiants en réorientation puissent vous DM si ils ont des questions #Parcoursup2024 📚

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Ito Windsor

@ItoWindsor

6 months

Now for finance you can have basic questions, difference between a forward and a future, payoff of a digital, of a straddle, how to reproduce a straddle with vanilla options. What are the greeks, their interpretations, the limits of the black-scholes model, ...

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Ito Windsor

@ItoWindsor

5 months

Started reading "Trades, Quotes and Prices" so far I appreciate it but reading it as a bedside book might not be my best idea If you have any recommendations on the same subject I would gladly appreciate

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Ito Windsor

@ItoWindsor

6 months

Concerning numerical methods, we talked about Monte-Carlo and finite difference so be aware of the convergence order, the pros and cons of each methods, ...

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Ito Windsor

@ItoWindsor

7 months

@miniapeur Feynman-Kac I find it so astounding that somehow you can link PDE and stochastic processes and thus two different people with two different background can in fact be working on the same object

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Ito Windsor

@ItoWindsor

3 months

Tomorrow might be a sunny day in Europe

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Ito Windsor

@ItoWindsor

6 months

and for numerical methods it will mostly be around Monte-Carlo and finite difference. On the other side if you are interviewing for a hedge fund, question might be more directed towards statistics and machine learning.

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Ito Windsor

@ItoWindsor

6 months

Seen on LinkedIn Might interest someone

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Ito Windsor

@ItoWindsor

6 months

Now looking at the difficulty of the problems, if you are a 'simple' Quant, you will mostly have medium problems but if you apply for Quant Dev position or SWE, then the odds are on the hard difficulty.

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Ito Windsor

@ItoWindsor

5 months

Is it worth to learn rust ? As a *fast* programming language it seems good so far but if the objective is the industry then C++ might be a better choice

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Ito Windsor

@ItoWindsor

6 months

But you can as well have stuff about optimization like the gradient descent or more 'finance' oriented stuff like the Longstaff-Schwartz algorithms and in which contexte it's usefull.

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Ito Windsor

@ItoWindsor

6 months

For maths oriented questions, the 'subjects' kinda depends on who's interviewing you. If you are interviewed by a bank, as you mostly work on derivatives, your 'pure maths' questions will be oriented towards probability, stochastic calculus, algebra, analysis

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Ito Windsor

@ItoWindsor

6 months

Furthermore in those tests you need to pass all test cases which means to overcome the complexity issue and thus you need to know the algorithms.

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Ito Windsor

@ItoWindsor

6 months

For SWE it's good for you to read as well 'cracking the coding interview'. And in a more general way, if you need a roadmap, you can take a look at neetcode ()

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Ito Windsor

@ItoWindsor

2 months

I might -in the following weeks- write a thread on MC simulations. Might be useless as every student has a fairly good understanding of it but if you struggle on one point of MC, feel free to reply here, I will try to answer it in the thread

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Ito Windsor

@ItoWindsor

6 months

For the interview oriented test, I mean that those tests are mostly oriented towards questions that could be asked in interviews and thus it generally convers everything from brainteasers to numerical methods but I will develop it more in the interview part of this thread.

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Ito Windsor

@ItoWindsor

6 months

Now for the 'mini project assessment', for what I have seen, those mostly appears for hedge fund and are mostly oriented towards : - Data Analysis - Machine Learning - market making

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Ito Windsor

@ItoWindsor

6 months

It's a bit a pain in the ass but there is not an infinity of tricks therefore if you do a lot of them and understand the patterns, you should be good on it.

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Ito Windsor

@ItoWindsor

6 months

Concerning machine learning, most questions I have seen are around the basics. What is the linear regression, lasso, ridge (pros and cons), PCA, bias-variance tradeoff etc...

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Ito Windsor

@ItoWindsor

12 days

@ThePrimeagen Wtf you had to pay for a compiler ?

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Ito Windsor

@ItoWindsor

4 months

If one wanted to start his journey in the world of market making, where should he start his journey ?

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Ito Windsor

@ItoWindsor

1 year

@BlackSwan_ptf I talked about the same subject some while ago What do you think of this explanation ?

Ito Windsor

@ItoWindsor

1 year

[Brainteaser 101 – 1 : rolling dices] One very simple brainteaser you might get in an interview is the following one. You are playing a game where you roll a fair dice. If you roll n, you get n dollars.

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Ito Windsor

@ItoWindsor

6 months

for the others, they are more situation and modelling based. However most of the time you need a specific trick to solve them.

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Ito Windsor

@ItoWindsor

1 year

The more I do quantitative finance, the more I become aware that in fact, nothing (or at least not that much) stuff comes from quantitative finance. It's mostly tricks taken from other math areas and developed for other problematics

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Ito Windsor

@ItoWindsor

2 months

@BlackSwan_ptf @macrocephalopod

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Ito Windsor

@ItoWindsor

1 year

@LLigue_d_ombres Déjà quand quelqu'un te dit "non l'école ne joue pas" tu sais qu'il mytho

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Ito Windsor

@ItoWindsor

2 months

@L_Econologiste @JomauxJulien Depending on the situation (meteo, congestion, issue with capacity with other countries, ...) prices go up and down and it can be quite volatile thus for the same delivery for the same zone you can have multiple prices and the difference can be huge

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Ito Windsor

@ItoWindsor

6 months

Now you passed the test, it's time for the interview During those, there is 4 group of questions : - Brainteasers - Finance - Maths - Fit

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Ito Windsor

@ItoWindsor

11 days

Have you heard of this bad boy ?

Sean Nicoara

@snicoara

12 days

This Crowdstrike issue seems to be an issue with addressing invalid memory space... #Crowdstrike #BSOD

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Ito Windsor

@ItoWindsor

3 months

@BlackSwan_ptf 1) A Digital option (let's suppose it's a digital call option) is an option that pays 1 if the underlying is above the strike at the maturity and pays 0 otherwise

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Ito Windsor

@ItoWindsor

2 months

Data Scientists are really good at marketing rebranding. Ridge does sound better than Tikhonov

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Ito Windsor

@ItoWindsor

6 months

Concerning analysis/algebra, it's more around an undergrade level so linear algebra, matrix decomposition, ...

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Ito Windsor

@ItoWindsor

6 months

I think that's all. There is a lot more ressources but tbh I have not read all of them so I'm not that much into recommending it. If I read them and like them, I will add it to this thread. Good luck for your interviews guys.

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Ito Windsor

@ItoWindsor

6 months

Therefore if you are interviewing in a bank and your subject is deep hedging, you will be asked some stuff about machine learning.

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Ito Windsor

@ItoWindsor

9 days

@oxbquant Yup At the end what matters the most is the features you have

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Ito Windsor

@ItoWindsor

2 months

@draculacomeback T'as vu ça dans beaucoup de HF ? Côté como c'est vraiment pas déconnant En power ça joue énormément vu que le delta entre ton forecast et la réalité est une composante importante des prix

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Ito Windsor

@ItoWindsor

1 year

@JourneeMerde @0xdeadc0de___ Y'a pas mal de maths en cyber, non ? Au niveau de la cryptographie etc.

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Ito Windsor

@ItoWindsor

15 days

All those years spent learning GTA San Andreas cheat codes are finally useful

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Ito Windsor

@ItoWindsor

6 months

BUT don't forget that this is in the GENERAL CASE, when talking with some friends, depending on the exact position / subject of your internship, the question asked vary a lot.

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Ito Windsor

@ItoWindsor

4 months

@stalequant @BlackSwan_ptf Import numpy as pd 💀

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Ito Windsor

@ItoWindsor

26 days

I just lost 30min looking for non existing data because OBVIOUSLY at 2AM the IDA for 6th July has not yet happened 💀 I do need some sleep

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Ito Windsor

@ItoWindsor

6 months

For the brainteasers there are two kinds : the first one are brainteasers on probability and the second are 'tricks based' brainteaser. For the probability one, most of them use cards, dices, ...

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Ito Windsor

@ItoWindsor

6 months

To go deeper into finance and with a bit more mathematics, you can read the Bouzouba (Exotic Options and Hybrids). In this one you will see more stuff dealing with options, volatility surfaces, models, ...

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Ito Windsor

@ItoWindsor

17 days

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Ito Windsor

@ItoWindsor

2 months

@random_poisson @oooooooorion L'argent Pas simple de bien vivre sur Paris Honnêtement si j'avais mes parents en banlieue proche ou mieux sur Paris, je serais resté chez eux plutôt que de passer au CROUS (encore plus maintenant avec un *vrai* loyer à payer)

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Ito Windsor

@ItoWindsor

2 months

@L_Econologiste @JomauxJulien For power in the short term, you can either buy electricity on the day ahead (an auction) where there is an unique price per country. However you can as well buy power on the intraday market and in Europe it's a Limit Order Book therefore with bid/ask

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Ito Windsor

@ItoWindsor

2 months

No fine-tunning and everything has the same performances 💀

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Ito Windsor

@ItoWindsor

2 years

So, to put in a nutshell: The Cholesky method is a general method useful for simulation of gaussian processes because: - low hypothesis on the covariance matrix but it has two drawbacks: - complexity in O(n^3) - take care of "too bad" conditioning

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Ito Windsor

@ItoWindsor

10 months

@BlackSwan_ptf Issues with short term maturity so a stochastic volatility model.I would say Heston but just because it's the only one I know for equity You could try to improve by adding jumps (thus you would work with bates model) but from what I remember adding jumps make the market incomplet

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Ito Windsor

@ItoWindsor

6 months

In terms of volatility : - power - crypto - equity - bonds (Shitposting but a bit of truth)

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Ito Windsor

@ItoWindsor

3 months

@TonyTheLion2500 Depends if you are Buy or Sell Side but to put in a nutshell : - Stochastic Calculus - Probability - Statistics - PDE - Optimisation - Linear Algebra

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Ito Windsor

@ItoWindsor

3 months

So far my ML journey has been mostly around find *nice* datasets, EDA/Dataviz to understand what's going on and reading documentation/code. I'm far away from only building models

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Ito Windsor

@ItoWindsor

11 months

@usulmuabddib Postuler != s'engager Et passer des entretiens ça permet d'engranger de l'xp en choppant des questions et en étant en situation. Ça peut toujours te faire step up

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Ito Windsor

@ItoWindsor

4 months

@BlackSwan_ptf @BeatzXBT I just started watching this one ! I think that you shared it like one or two weeks ago

Bitcoin Algo Trading and Market Making Seminar 22 Mar 2017

This is a video recording of a seminar led by Arthur Hayes, BitMEX CEO, on March 22nd 2017 in Hong Kong. The topics covered are how to get started connecting...

www.youtube.com

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Ito Windsor

@ItoWindsor

2 months

@miniapeur Chain rule goes brrrrrrrr

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Ito Windsor

@ItoWindsor

1 year

@whoisthisjer @galois1724 Not at all because it doesn't make any sens to divide by a matrix

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Ito Windsor

@ItoWindsor

1 year

Does anyone have this book? I can't find it on the internet, just the first few pages but I can't even be sure that my problem is in it

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Ito Windsor

@ItoWindsor

4 months

@derimonkeyfin Regarde le médian Y'a un monde (assez probable btw) où ce sont les salaires des partners qui font monter le salaire moyen

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Ito Windsor

@ItoWindsor

6 months

@usulmuabddib Side avec Ask/Bid Vu que ce tu veux faire (un LBO de ce que je vois), il faut que tu puisses reconstruire facilement le LBO à partir des orders J'imagine qu'après tu voudras aussi sauvegarder les trades donc rajouter une "execution_date"

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Ito Windsor

@ItoWindsor

7 months

@usulmuabddib @0xdeadc0de___ Ça veut juste dire téléphone

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Ito Windsor

@ItoWindsor

4 months

@Spiindoctor This is what I could read in the introduction of the Bishop :

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Ito Windsor

@ItoWindsor

7 months

@thecarefreebear @BlackSwan_ptf @kebabroyal_ @Almost_Sure @CoeusCap Isn't it the generator of the semi-group associated to the Geometric Brownian ? It appears in the Feynman-Kac theorem in the PDE and you can link that to the pricing of options through the risk neutral pricing with the discounted products being martingales under Q

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Ito Windsor

@ItoWindsor

7 months

@kebabroyal_ @sdav1986 What do you mean by an absolute mess 🤡