被徹底摧毀的感覺真好

2010/11/15

對金融業總是念念不忘,上個月開始搵工,報科技公司之餘也投了好幾間基金公司,可是,我完全沒有底,總要溫一點書。

問及友人,他說你搵Quantitative Analysis,就最好自己讀下書先。先讀Options, Futures and Other Derivatives,研究下Stochastic Calculus,加埋Macro Economics,間唔中刨下Economist,開始悶,就睇些輕鬆的My Life as a Quant。如果你想impress面試官,就最好自己download啲data黎run下,讀得電腦就好應該識做regression analysis,自己玩下先。專心讀番兩三個月,跟住先報名。你啲對手起碼讀左幾年書,隨時仲係金融工程博士,光脫脫就咁出去實做炮灰。

投了履歷後,幾天下來每晚花三四小時讀書學野,可惜全無回音,另一邊廂自己的研究又有了些成果,晚上的時間給回撥到研究工作上,讀書的事就此擱下。

現實就喜歡作弄人。過了個幾月,某銀行發電郵來叫我電話面試,我心想嘩頂你這麼久才覆我,幾乎想拒絕他們。但是,面下試又未嘗不是好事,起碼知己知彼,知對方想要甚麼。

是日也,中午起身等電話。

寒喧幾句後面試官問:你知道甚麼是布朗運動嗎?

我心想:我知道我讀布朗大學。

然後他問了好幾題關於布朗運動的基本問題:一系列布朗運動的積分是甚麼?那積分有甚麼特點?期望值是甚麼?方差又是甚麼?

我心想:頂,我淨係記得布朗運動是一個連續性正態分怖,時間序列上是求其兩點之差也是零期望的正態分怖。於是我向面試官坦認我唔識,但期望值斷估是零。

他說好,然後問方差又怎樣。

真係唔識,又緊張,冇計。

想來他真是循循善誘,說還記得V[X] = E[X^2] – E[X]^2嗎?

梗係記得。只係唔識計E[X^2]啫。

他說,哦,呢個簡單,用Ito Integral就可以⋯⋯

但係老師冇教過喎。

又問:布朗序列的求其三點間有甚麼關係。

呢題我好似識:基本上係冇關係。

然後,他又問了好幾條金融的問題。

問歐洲期權跟美洲期權有甚麼分別。嘩發達!呢題我識!然後接著問,咁大西洋期權呢?我說,唔識,教科書上都冇講過⋯⋯他又循循善誘,歐洲同美洲之間,咪就係大西洋囉!(地球是圓的。咁點解唔係中華人民共和國?)大西洋即兩者之間,每季都可行刑的。

又問,CDSCDO是甚麼?我記得黃元山本書有講過,不過年幾前讀完而家唔太記得。是鬼但,答了幾句。似乎他又不太滿意。

他問我是不是第一次見銀行工。我答係。

我問佢咩背景,佢話自己係金融工程博士。我話唔好意思,浪費左你時間。

係,係玩完,係被徹底擊倒。

不過唔緊要。

感覺好好。讓我認識到自己的渺小。友人叫我讀下書,的確有用。

不單如此,可幸是見識到在惡名昭著的銀行裏還是有這些技術含量極高的部門。

我鐘意。起碼,我覺得值得投資一點點時間。

我喜歡的是跟人刀來劍往的感覺。那天在山景面試,其中一回合,面試官是個運籌學博士,大家腦電波相近之餘又有點差異,他攻擊我之餘我又回擊他幾野,還沒玩夠就夠鐘被迫停手,極之過癮。

我沒有這麼容易給打柴的。給我一些時間,給我閉關練功,我會還以顏色。

被徹底摧毁的感覺真好。

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21 回應 to “被徹底摧毀的感覺真好”

  1. Says:

    山景有消息記得通知我!!!

    (你都係做返geek仔算喇~~~)

  2. c Says:

    Just my 2 cents:

    If you are interested in financial industry, look for jobs in high frequency trading (HFT).

    “Quantitative analysis" is like junior trader. They are more looking into math modeling and finance which may not be your strength or of your interests later when you take the job. HFT, on the other hand, requires more programming and system architecture skill, and becomes quite trendy in recent (maybe?) 2 years. FYI, more than 60% trading vol nowaday are from HFT.

    Here is a post you may be interested:

    https://www.renfund.com/vm/data_programming.vm

    • Justin Says:

      Indeed I applied for that job in Renaissance, they turned me down without even interviewing me…..

      • c Says:

        I actually interviewed with them. So the questions are all very low level system questions and basic data structures, algorithms, e.g. one was about Linux system calls and another was finding prime numbers.

        From another talk I heard, the trading strategies have a broad spectrum. On one hand, you need extreme fast computers and relative simple models to arbitrage/exploit the instant market opportunities at large quantities, like the differences between different stock markets. At the other extreme, you had mutual fund or Buffet like long term trading strategies. In the middle, there are traditional traders. Of course, the border is not so clear.

        I think it is in general good to interview for different jobs so you know what people are doing and only then you can find where you fit. I really enjoy the opportunities to ask questions at end of interviews. I even did a case interview for a market analysis position an energy company.

        Even given the perfect condition, the job matching is still a NP hard problem. (Imaging there is god-like invisible hand that operates behind the job market, by Church–Turing thesis, it still cannot match each candidate ot the most suitable position efficiently.) So I don’t think this is a easy process. Just keep trying and good luck.

      • 魔術師 Says:

        >但係老師冇教過喎。

        咁樣想法唔係咁好。

        >歐洲期權跟美洲期權

        應該係歐式(European)同美式(American)期權先啱。 呢一題好基本,只要有炒過衍生工具嘅都會識,甚至港交所投資者教育都有講。

        >咁大西洋期權呢?我說,唔識,教科書上都冇講過

        話完唔識都可以墥下掛? 「教科書上都冇講過」都可以發揮下想像力。

        >CDS和CDO

        如果你無讀過glossary,想猜都無從猜起。不過如果你知,都可以從字面上估下:
        CDS=Credit Default Swap 係用來對沖信用風險(Credit Default)的工具,Swap 係掉期,用現金結算。
        CDO=Collateralized Debt Obligation, 明顯就係將債務(Debt)證券化(Collateralized),再變成的"債券"(obligation).當然再drill落去有IO,PO,trench,duration matching等學問,卻是CFA Level 2的課程了。

  3. 小孜媽 Says:

    John C. Hull的Options, Futures, and Other Derivatives亞洲版在香港只售三百餘元 😛

    另外有二本也是我們公司那些做Quantitative Analysis的博士們推薦的:

    Brigo and Mercurio, Interest Rate Models – Theory and Practice

    Paul Wilmott, Paul Wilmott Introduces Quantitative Finance

  4. Alienz Thame Says:

    嘩!原來我全部識答,原來讀probability唔止可以玩network!

  5. 爆炸頭 Says:

    類似情況我都試過,唔知癡左邊條線走去報我唔熟既工,又唔知點解有得interview,結果十問九唔識,比個哥哥仔鬧到狗血淋頭,點知過多三個月間野就倒閉了,心都涼嗮。(無錯,就系嗰間咩咩兄弟)

  6. Justin Says:

    c: I am not a system guy either. I work on a high abstract layer of programming, which is somehow architecture-independent. So I am not sure if HFT needs my skill set.

    You are right that it takes a lot of interviews and trail-and-errors to find a good match. Not only that it is NP-hard, you can get a Nobel prize in Econ as well. 🙂

  7. kab Says:

    http://chronicle.com/article/article-content/125329/

    explains why interview / viva exam still matters?

    • Justin Says:

      Not surprised. I did some “consulting" work for other university student when I was an undergrad too.

  8. 媽媽阿四 Says:

    哈哈哈哈好正.
    喜歡認識自己渺小的人,才能越來越大.

  9. Echo Says:

    加油!
    我都鍾意同d 見試官刀來劍往的感覺。我自己鍾意邊觀察,邊準備(商科冇咁辛苦,最多睇下公司和公司競爭者的1~3年年報,留意下身邊發生的事),盡量集中講一個小主題(但多角度分析,咁樣會深入d,令人有印象)。
    上星期見左個Managing Director 1.5小時,討論我從user behavior pattern的角度分析文化差異如何影響他公司某一個產品在中國市場的預期利潤,由他最初冇么耐性,到互相提問,以至最後講左句"I must say I am very impressed by your approach’.真係好有滿足感。
    間公司本身只想招聘會說瑞典語的engineering 人,不過我有興趣,嚐試由自己熟悉既角度去了解(即係刨年報同一大堆商業雜誌),都仲未死得住,我覺你可以由一d 生活化既例子入手,再去睇書,咁會易融會貫通,我自己是在搭mtr 時觀察人和事,了解user behaviour pattern 之後再諗one limitation of existing product and one idea to improve it.
    唔洗太完美,講真每日都有變數,但有個idea 係手,講野時個心會定。
    我自己就覺得可以有一間是集中火力的(最喜歡果間),其他的就分散投資,始終都要兩手準備。

  10. 魔術師 Says:

    >每季都可行刑的

    唔係「行刑」, 係「行使」;唔係 execute, 而係 exercise.


  11. […] 可以多見幾份工,上次給人徹底擊倒,後來的兩個月,我認真地讀了點書,認真地跑了些數據,雖然還是不會Ito’s Lemma,但有機會多謅兩句。 […]


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