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| Finformatics: Samurai GARCHkillers: Wilmott Magazine Article |
| Kent Osband |
1127 Views |
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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.
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| Hedgefund Research Strategist (Academic from a non-finance background required) - (London, Connecticut) - NJF599 |
Hedgefund Research Strategist (Academic from a non-finance background required) - (London, Connecticut)
The firm is a quantitative hedge fund with a fully systematic approach to trading global equities & futures. They were established in 2001 and employ around 100 people. The central London office is the hub of the firm but they also have an offices in Connecticut, USA. The company fosters a collaborative academic culture and typically hires candidates from universities and non-finance industries with backgrounds from academia or industry in (statistics, econometrics, physics, computer science, maths, and engineering). The ideal person should have an academic background with an interest in joining a high quality research focused environment within a finance company that nurtures talent and provides on-the-job training. The firm operates a meritocratic approach and talented researchers receive 6 figure remuneration. The career path would be: researcher > research manager > partner.
The role will involve working in a research group within a collaborative environment. The primary work will focus on conducting R&D with a focus on statistical research of large financial datasets, identifying trading patterns, signals, back-testing strategies using time series data with a view to developing production level strategies. The firm have mainly focused on developing trading strategies for intraday ? 1 week statistical arbitrage, pairs, mean reversion, etc... A suitable candidate will need to have strong all-round mathematical skills with a focus on statistics, mathematical problem solving, and a creative approach to find new alpha. The ideal person does not need to have a background in finance but they will need solid statistical and quant skills. The role would be very suitable for a PhD graduate/Post Doc or Experienced Scientist who does hard maths on a daily basis. A typical day will involve researching data and conducting statistical research and building probabilistic models. Candidates with a background in bayesian maths, probability, time series analysis, statistical learning, statistical strategies and the hard sciences that focus on stats are of particular interest.
You will need to have:
? A PHD from a leading university
? Solid statistical & modelling skills (Matlab, R, SAS, S+) for researching large data sets.
? Programming skills
? The ability to manipulate and sort/filter large amounts of data using a database.
? Creative and able to think of new ways of innovating and applying statistical approaches to researching data and finding patterns.
Useful books:
· "Active Portfolio Management: Quantitative Theory and Applications" by Grinold &, Khan.
For a confidential discussion contact James Kennedy | NJF Search
James.kennedy@njfsearch.com
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