Two Sigma - Difference between data scientist and quant researcher

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Jan 10 59 Comments

Got interview for data scientist at 2 sigma. What’s the diff between DS and quant researcher in 2 sigma? Do DS have chance to work on quant trading strategies? Any difference on the pay?

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TOP 59 Comments
  • Credit Karma lpqorkfb
    DS not as competitive I’m pretty sure. That being said, there are about ten tiers of companies between 2sigma and Visa, so you’re gonna take this offer no matter what if you get it.
    Jan 10 4
    • Credit Karma lpqorkfb
      CK pays a lot more than Visa these days is my guess. Although pay isn’t the only metric when doing tiering.
      Jan 11
    • Samsung Soy Sauce
      Lots of salt in here, and I don't mean my name.
      Feb 10
  • Two Sigma npamxjr
    Data scientist work is data engineering / cleanup / feature engineering. Quants do research and develop models. There is a slight difference in pay, just like there's a slight difference in pay between the data scientists and the people who work in the mail room.
    Jan 11 6
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      yzc

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      OP
      So the pay of DS is similar to that of SWE?
      Jan 11
    • Two Sigma papakoko
      My impression is QR > SWE = big tech SWE > DS. But, I also think that DS in TS is better than finance roles in IB for the same YOE. Just my guess.
      Jan 12
  • Bloomberg babasheep
    Having worked on 4 years on desk, I can tell you that it is not as simple as being a “quant” as you think to make strategies. Only a handful of quants actually make it a position that guides strategies. Rest basically models for risk, like a back office job. Most software engineers in FAANG makes way more money than those types of quants. The other kind of quants who actually make strategies that drive portfolio are on a different scale all together. They come from various backgrounds, including being traders, Algo engineers, stats modeling, DS etc...

    Oh yeah, unless you had experience cutting it out with the pressure and real thick skin, the money you make is going look like a burden pretty fast.
    Jan 11 2
    • Morgan Stanley testfoo
      I second that. Been working as a Quant for 3 years now. Only a tiny population of quants actually drive portfolio. Rest others just work on creating new signals to enhance existing trading models or model portfolio risk or create dashboards for daily portfolio monitoring. And as the industry matures with algo trading, the latter category of quants are being considered as cost center rather than a revenue generator.
      Jan 11
    • Visa / Data
      yzc

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      OP
      Looks similar to DS
      Jan 11
  • Goldman Sachs jaygarrick
    I'm a quant working on trading strategies and here are my 2 cents. I have interviewed several candidates over the past 3 yrs from FAANG with DS background and haven't extended an offer because the skill set is just vastly different. ML models are barely used in trading in a low latency environment. Statistics, intense programming background, strong fundamental math basics is what we end up using on a day to day basis for an execution strategies role. Strong advanced linear algebra background, optimization theory, optimal control theory, stochastic calculus is a pre-requiste for portfolio optimization. In my experience, execution strategy development is highly simulation based with conscious mathematical tradeoffs to achieve low latencies, staying away from probablity distributions as much as we can since simulation now has to sample the whole distribution for reliable P&L numbers and really really strong programming background. Candidates who cut the bar mostly have a Math, Electrical, Physics or an Economics background.
    Jan 13 5
    • Visa / Data
      yzc

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      OP
      are you from 2 sigma?
      Jan 17
    • Salesforce libracoin
      Looks like my background. I do ML but my training is in matrix algebra, optimization, stochastic processes, etc..
      I'm finding it hard to find any job that does decent math. Can you ping me? Happy to interview.
      Feb 5
  • Jefferies / IT cointoss2
    How can quants at TS generate so much PnL each to justify pay of 300+ 500+ in most cases? Hard to see so many folks inventing so many profitable strategies
    Jan 13 3
    • Jefferies / IT cointoss2
      Sure they can afford easily. But is there high turnover among quants? What happens to folks who can't generate that high Sharpe after a couple of years? Seems unlikely so many folks can all make real strategies.
      Jan 13
    • Goldman Sachs fake engineer
      Google pays a lot of relatively useless people 300+ k too. It's chump change.

      The guys making a million probably would get fired for underperformance but 300k or even 500 is just some grunt. There's always work to do that can increase profits, and it's very easy at that scale to justify paying more for someone better.

      What happens when you cheap out like banks do is you get a lot of crappy people lowering morale and drive out the good talent, and the quality of work spirals downward costing lots of money in the long run.
      Jan 13
  • Visa / Data
    yzc

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    OP
    So the pay at two sigma is QR > > DS > SWE?
    Jan 11 14
    • Goldman Sachs fake engineer
      Only almost? F that lol...
      Jan 12
    • Capital One wutsachidi
      @fakeengineer: I know a DS with 4.5 YOE at 2S whose TC is ~350
      Jan 15
  • Neurocrine singleaf
    What does interview for DS at two sigma look like?
    Jan 10 0
  • Goldman Sachs fake engineer
    I heard the pay is a good amount lower, but it'll beat Visa.
    Jan 10 1
    • Visa / Data
      yzc

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      OP
      how much can I expect? I also have interviews from tech companies such as Google Facebook LinkedIn, will it beat those?
      Jan 11
  • Instasize woqe
    On a sidenote, Is there anyone here reading “advances in financial machine learning” published 2018?

    Very interesting to have a actual ml fund manager published papers and write a book with some key insights. I’ve been into this area before but I am now pretty pumped to get back in the machine learning driven Trading if anyone wants to chat
    Feb 9 2
    • Axioma Tom Dwan
      You mean Lopez de Prado book? He's quite a controversial figure. Left a high profile job at AQR after a short period. Some say he's all marketing others say he's among a few revealing practical advice in ML applied to investment management. As for his book, I bought it myself. It's not an ML book however it lays down some practical advice in systematic investing with bits and pieces of standard ML.
      Feb 10
    • Instasize woqe
      That’s interesting thanks. I’m a data scientist who did dabble with Trading and ml 10 years ago.

      His books are interesting precisely because it focuses on the nuances of financial high frequency data versus general ml, he doesn’t spend any time on actual learning algorithms

      I’m pretty convinced he’s got some legit stuff because it confirms the findings I had back then. His published papers off for empirical findings as well.

      The fact is 10 years ago machine learning algorithms were not as powerful, cloud computing wasn’t available like it is now with easy GPUs and streaming data pipelines. Also commissions for retail traders are much lower now.

      He also didn’t even touch on deep learning which if you dig in the literature CNN’s are actually a state of the art for time series data though that’s only been really acknowledged recently. All said I’m optimistic that this is a good time for small teams to jump in
      Feb 10
  • Two Sigma shorten
    DS are generally support roles. No, you don’t get to work on strategies
    Jan 11 2
    • Neurocrine crying
      Is working on strategy better than working as DS, in general?
      Jan 12
    • Two Sigma npamxjr
      The ceiling on compensation is probably about 4-5x higher.
      Jan 12

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