For those out there who program, design algorithms, engineer black boxes, etc... I have been considering going back to school for a degree in order to persue this profession. My question is, do you enjoy the work? Could you describe in a general sense what you do? Your day to day activities? Is it incredibly monotonous? I'm very interested in the field but would like feed back from people who are already in it. Any thoughts would be much appreciated. Thank you.
I'm sure at 200k to 800k per year you wont mind enjoying it or not. Be carefull that if you go for the salary the field may get more efficient in a couple years; both in employee qualified to do it and more firms chasing the deals (making it a less profitable thing). Just a random unqualified opinion.
I appreciate the input. Obviously the money is great, thats the main attraction. Thats why I wanted to get some feed back on the actual, day to day workings of the job. To see if it is what I think it is or not. I used to do programming in college and have a degree in Mathematics so I think I'm qualified, with the proper master's degree and all. Either way, thanks for the input.
Then it's more realistic for you to do it. If on top of that you know how about trading it's a big +. I thought about it myself. The problem is that there is no proper degree to qualify you for that. Potentials are; financial engineering, math, physics. But still, you are not a high frequency trader after that. Unless you do it in financial engineering and do you thesis on HFT which would be stupid because youre results are public.
You should do a master in computer science. You'll have to brush up your programming and algorithmic skills a lot. Studying in mathematics, physics or worse - financial engineering - will not be of much help. Unlike quant finance, the skill set that you need to perform well in high frequency trading don't have much to do with physics. A good background in efficient solving of complex problems is way more useful. More importantly, you'll have to solve problems that involve other parties, which makes things even more complicated. Game theory, network/graph theory, combinatorics and algorithmics will all be useful. Knowledge of signal processing will also be useful. Furthermore, I do not believe that HFT profit will decrease with competition. Providing short term liquidity to long term investors with the most efficient price discovery process possible is a service that will always be paid for. It will always be proportional to the total market cap of electronically traded securities, multiplied by the turnover in those securities, multiplied by the trading cost. Competition and decrease in spreads will only result in increase in liquidity, and consequently increase in turnover and market cap. Overall, as more and more trading takes place on electronic platforms, there will be an increase in demand for HFT professionals, both on the sell and buy side, as these will replace the old school dealer type.
Very useful info Cosine. Thank you. So a masters in quantitative finance won't be enough to get into HFT?
no expert here however a number of people in this field have told me they consider electrical engineering to be a great degree for this field.
NC: No, I don't think a financial engineering master would be enough. FE diplomas are very generic by nature and were mostly designed with the increased demand for derivatives pricing/trading/risk management specialists. Most of the content is built around that. High frequency trading on the other hand relies on the idea of providing very short term liquidity to market participants, hence the need for low latency trading algos and high speed code execution. The idea is also to infer the right price given the order flow, and from that perspective stats and EE backgrounds are also useful. Game theory knowledge is also necessary in understanding how market participants can and will adapt as a result of your own trading approach. For example, you can attempt to identify changes in the equilibrium price by infering from order flow and volume imbalances, but you have to do so knowing that trading counterparties might become aware of your pricing function and attempt to fool you into buying at a higher price/selling at a lower price than the equilibrium price. And the possibilities of how to do this are vast. In other words, a PhD in computer science/artifical intelligence and experience in building game bots (chess, poker, etc.) will be much more useful than degree in physics and derivatives pricing experience.
I think cosine is giving you some good info. I'm no expert, but I think most if not all of the job would be computer programming. So a computer science degree would be best. I would recommend getting a computer science degree and then try to get this kind of job. If for whatever reason it doesn't work out or you don't like it there are a lot of jobs that you can get with a computer science degree. IMO the cs degree is very valuable.