[R-SIG-Finance] Career/Educational Advice - First Post

[mapgxcs at brunel.ac.uk]

Thanks Patrick. Very helpful comments.
Also thanks to all other replies!
Will sticky on R :-)
Regards
Michael
Sent from my BlackBerry® wireless device

-----Original Message-----
From: Patrick Burns <patrick at burns-stat.com>

Date: Tue, 30 Sep 2008 12:18:48 
To: <XIAOCHEN.Sun at brunel.ac.uk>
Cc: Dale Smith<dsmith at viciscapital.com>; <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] Career/Educational Advice - First Post


mapgxcs at brunel.ac.uk wrote:
> Hi all,
> Is R/S+ widely used within the financial institutions? Or it's quants' personal preference?
>   

Keep in mind that none of us sees the entire elephant,
so reality may be somewhat different than I picture it.

The short answer is that R has made inroads into finance
that are much larger than I've been expecting.  Perhaps
I've become too cynical (though given present news, that
seems hardly likely).

Earlier in this thread there was the idea that C++ and
Matlab are widely used.  That is both true and false.

In derivatives pricing and related activities, C++ seems
to be the thing.  (But note that there has been some effort
lately to bring R in as the frontend.)

Matlab tends to be heavily used in fixed income.  Fixed
income is more mathematical (as opposed to statistical)
than equities, so Matlab makes more sense there.  Plus
a lot of such fixed income work was started before the S
language took hold.  But R is being used some in fixed
income (which is statistical as well as mathematical).

Some firms use SAS.  These tend to be firms that were
among the first to realize that finance is a statistical field.
It boggles my mind that they still use SAS, but there you
go.

There is a massive amount of things done in Excel that
would better be done in R.  See
http://www.burns-stat.com/pages/Tutor/spreadsheet_addiction.html
for a more extended rant on that topic.

To answer the question of R being quants' personal
preference: Sometimes, but not always.  However,
R almost always becomes the personal preference of
those who have had it imposed upon them.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")
> Regards,
> Mc
> Michael
> Sent from my BlackBerry® wireless device
>
> -----Original Message-----
> From: "Dale Smith" <dsmith at viciscapital.com>
>
> Date: Mon, 29 Sep 2008 15:56:13 
> To: <r-sig-finance at stat.math.ethz.ch>
> Subject: Re: [R-SIG-Finance] Career/Educational Advice - First Post
>
>
> You are apparently working now. I agree, get involved with QuantLib or
> an R project and learn what you can. If you know any C++, get Joshi's
> "C++ Design Patterns and Derivatives Pricing" (2nd edition). Be prepared
> to answer questions about R, C++, and quantitative analysis. RServe is a
> fine project to investigate for distributed R calculations: distributed
> calculation services may not come up in your interview but it's worth
> knowing something as it may come up on the job.
>
> It's going to be a while before hiring picks up.
>
> Dale Smith, Ph.D.
> Vicis Capital LLC
> Voice: 212-909-4635
> Email: dsmith at viciscapital.com
> AIM: dsmith11701
>
> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of David Kane
> Sent: Monday, September 29, 2008 3:17 PM
> To: Julian Lee
> Cc: r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] Career/Educational Advice - First Post
>
> My personal opinions . . .
>
>   
>> 1. I have been looking at some masters graduate programmes and they
>> come in all shapes and sizes. ...  As
>> a quant in the industry, does the content of these degrees matter?
>>     
>
> No.
>
>   
>> 2. How much of open-source technology, R/Rmetrics is being used by the
>> financial industry?
>>     
>
> Lots. If you aren't using R now, you will be someday. Further thoughts
> at:
>
> http://papers.ssrn.com/sol3/papers.cfm?abstract_id=966354
>
>   
>> 3. Is it possible for someone to be a quant without any post-graduate
>> training?
>>     
>
> Yes. Your best bet is to get involved with an open source finance
> project. That will allow you to build your skills and gain some
> expertise, thereby making a job search much easier (although no job
> search will be easy this year.
>
> Good luck,
>
> Dave Kane
>
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