UnRisk 8

Data Analysis for Quant Finance

Lately we have seen a spate of good jobs looking for people who "understand" data. This does not have a formal specification, but seems important to several banks and hedge funds. They see people with skills in econometrics and signal processing, and that's fine, and can be searched for on CVs and recruitment databases. But it's not exactly what they are looking for, and it seems to be the sort "I know it when I see it" skill that exists merely to make the lives of headhunters like myself difficult. We (they) need people who can look at data series and intuitively grasp that there is a process there, or indeed that what they are seeing is pure noise, or caused by some defect in acquiring the data. Live tick prices are notorious for having bad and broken data points. There are many people who can apply various forms of regression and this is useful skill, but someone has to have this intuition as their lead skill, backed up by various bits of maths.
One idea we've been pursuing are fields like high energy physics where colossal streams of data are emitted, and require interpretation. Could just as well be market microstructure where you've studied price streams with a view to try and work out what people are doing, not just validating a theoretical model.
And yes, it needs to be that way round.
This sort of role demands that in your head, there is a good variety of "mechanical" or physical models for what is going on, and you have a vocabulary that allows you to choose between different classes of process. This is quite a distinct action from validating your finance or physical model against experimental data.
Presumably you have some software skills like Matlab, R, C++, SAS etc, like any functioning quant, but it is critical that you are not so dependant upon the rich functionality that large packages deliver that you let them do your thinking for you.
The firms concerned do not require formal qualifications in quant finance, indeed their expectation is often that the idea people for the role are working in a quite distinct field.
This is not a standard job spec, but the roles are in NY, Chicago and London, perhaps giving you an idea of the demand for this talent.
If this sounds like you, then contact me Dominic@Pauldominic.com and we can informally discuss the way forward.