Currently senior SWE at FANG. has CS phd but not so strong math background. Interested in quant role in finance. How to study to prepare. Thanks!
Know derivations of OLS, CLT, backpropagation. MLE and MAP estimation. Time series analysis also useful but I'm not very familiar with that. An example of such a question that was asked was, you are given close-close price data in two names, one series has been reversed in time. How would you determine which one is reversed?
Thanks! I dont know any of these. Any books or courses to recommend?
Elements of statistical learning
Get familiar with stat programs like Stata, R and soem bullshit charts like morning star, head and shoulder etc..
I suppose mentioning "head and shoulder" or other "bullshit charts" will immediately result in rejection in any reputable place.
Quite good answers here, but... Each firm has its own interview practices. Jane street is SO different to Citadel; hft is different to global macro, and so on. ESL book is a must, something like Cormen too. Random walks and other basic probability topics are very common too. C++ is partly important (being familiar with smart ptrs and move semantics is enough). Sadly, studying popular brainteasers increases likelihood of passing an interview by a huge margin (in my opinion it should not).
Depends on what you are looking for. The skillsets diverge so much between different firms. Some are more focusing on derivatives pricing while others are more statistics. Read the book “A practical guide to quant interviews”. That is pretty much the industry standard for brain teasers and probability questions.
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why switching? maybe more interesting problems to work on than just coding.
Wouldn't it be easier to look for more interesting jobs in tech.