在Quantnet上看到了一篇关于AlgoTrading的帖子

原帖地址：https://www.quantnet.com/threads/best-algotrading-school.9243/
最有价值的当属DominiConner发的那段。他的大意是，想搞AlgoTrading/HFT的话基本得懂：
Unix internals, C, FPGA, Market Microstructure, Signal processing, Econometrics, Low level networking as well as FIX, Stats and data mining, Probability at a deep level, Game theory, AI.

然后MFE不会does even half of them。如果想搞AlgoTrading最好还是去读Econometrics/Stat，而且不是好学校入不了坑。

他说的很有些道理。我去看了一下tier 1 mfe的课程，

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反倒是tier 1.5的Baruch开了不少类似的课程。真是紧跟市场潮流。
MTH 9894 Algorithmic Trading, MTH 9884 Machine Learning, MTH 9879 Market Microstructure Models


其他tier 1.5的mfe就没怎么看，貌似哥大是没有的。（RonHe同学说疙瘩也有了）

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我的看法是，现在经济情况下，如果想去买方做HFT的话，读个mfe能add value，但是不能add much value。mfe学的那一套更适合去搞搞衍生品定价，但是HFT是不玩这些的，毕竟越复杂的衍生品流动性越差 。
之前那些mfe能进买方的case中，更大因素或许是读mfe之前的stat/cs/econ背景。
会写code才是王道。

其实巴鲁克是当之无愧的tier 1，毕竟他们的director还有career services的人都是从华尔街直接过来的，前瞻性很强

literally, algo trading is a broad term. but when street talks about it, it usually mean algorithm market making. Most if not all of them are high frequency. Major players include BB, broker house and trading firms. It is not investment but short term trading/order execution. So low level technology/algorithm are more imporatnt than financial knowledge. That's why top firms like HRT only hire from hard science (mostly CS/EE) major with no financial market experience.

When we talk about quant fund with market neutral strategy like stats arb, the term quantiative trading/quantitative investment is more appropriate. Although some of them are also high frequency, the model behind is more important. So math/stats/econ/ people are prefered to CS/EE

我觉得大家都把Algo Trading等同于HFT了吧,但HFT应该只是一个Algo Trading的子类吧.

或说我看到过招人确实是有要求会Signal processing/Machine Learning/Stats and data mining.不过我的理解是模型不应该是基于对金融市场的基本理解的吗?

oldfishdk 发表于 2012-7-29 13:11
我觉得大家都把Algo Trading等同于HFT了吧,但HFT应该只是一个Algo Trading的子类吧.

或说我看到过招人确 ...

是不是做短线可以把市场数据当信号来理解和处理啊？
求问

omg 哥几乎会do none of them

大家可以看看这两天Knight Capital的事情,似乎是Algo Trading系统有问题,股价已经只剩30%了..

oldfishdk 发表于 2012-8-3 02:19
大家可以看看这两天Knight Capital的事情,似乎是Algo Trading系统有问题,股价已经只剩30%了..

they experienced a tech issue due to the installation of trading software, shares sinking 33% and 63% in 2 consecutive days

LynDino 发表于 2012-8-3 17:50
they experienced a tech issue due to the installation of trading software, shares sinking 33% and  ...

所以应该给那些为了系统稳定高效任劳任怨的码农加薪！

yxyxyx 发表于 2012-8-3 18:53
所以应该给那些为了系统稳定高效任劳任怨的码农加薪！

头牌您是在为自己的future wage摇旗呐喊吗

LynDino 发表于 2012-8-3 19:17
. 1point3acres头牌您是在为自己的future wage摇旗呐喊吗

能呼吁就呼吁么，有啥不好

yxyxyx 发表于 2012-8-3 19:31
能呼吁就呼吁么，有啥不好

那也要给quant trader之类等比加薪！