o*******r
发帖数: 750 | 1 We will see. 50 is imminent. 2sigma just added short positions
[在 aaddoo (nothing) 的大作中提到：]
：Even WTI may not go to $45.
：
：........... |
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o*******r
发帖数: 750 | 2 Exactly
Oil maybe sub 40 or 30 for 10 years
No retail investor could hold that long
Frogs give cash to mm for free, 2sigma is short crude big time
[在 StRegis (St.Regis) 的大作中提到：]
：
：商品的大周期那么长，为啥现在就要抄底？口袋深如巴菲特么？
：........... |
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k****u
发帖数: 3454 | 4 好了95%，剩下的5%就像高斯曲线大于2sigma以外的部分，恢复起来相当缓慢。。。 |
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P*******e
发帖数: 39399 | 6 那也很nb了 证明你还年轻啊
虽然吃巴菲还是经常控制不住 但是比年轻时已经好太多了
不小心说大了，2sigma行了吧 |
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b******r
发帖数: 1137 | 7 我感觉12秒5那是2sigma事件，你这个成绩至少3.5个sigma |
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L******k
发帖数: 2945 | 10 NGS2通了warrior就没玩。比较不喜欢的是要过最高难度需要通3遍 |
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p******s
发帖数: 938 | 11 NGS1也是这样啊，除非你干得过第二章的Doku。。。
不过超忍难度一向都是粉丝/核心向。NGS1我也只是通了hard。看了NGS2超忍难度的描
述，我不打算去尝试了。。。基本上，超忍下你玩的不是超忍，而是超级玛丽。。。 |
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t*****r
发帖数: 2542 | 12 68%和95%不就是1sigma,2sigma么？
概率难道不是随机分布？ |
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m***h
发帖数: 23691 | 13 marley算是lab里2sigma以外的，绝大多数lab还是很乖的。不然也不会包揽
导盲犬了。 |
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v******y
发帖数: 84 | 14 来自主题: Programming版 - 猜数据范围 按照你的描述，不就是求平均值mu和sigma
比如有一万的数字，取10次，平均6000, sigma 1000 那他1 sigma的范围5000- 7000
2sigma 4000-8000 |
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l**********2
发帖数: 728 | 15 金融行业喜欢告。
2SIGMA就把好几个离职雇员送进去了。
所以魏觉得赵策死定了。只要打打小报告，赵策至少丢工作，弄不好吃官司赔钱甚至蹲
大牢。
实际上互联网公司这么做的不多。我不是100%了解，所以也不把话说死。
所以赵策觉得都是吓唬他。
说老实话，我老认识好多创业辞职的，谁也没见到怎么着。我还认识不仅创业辞职的，
而且辞职前还从前东家偷用户数据的；我老还认识明目张胆DUMP HDFS被抓包的，也只
是开除了而已，换个公司都不眨眼。
顺便说一句，被抓包那个，也很长一段时间在这个论坛各个版面充大牛，呵呵。网上这
些所谓大牛，看一眼，呵呵两声就可以了。 |
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z****e
发帖数: 54598 | 16 所以啊，吓唬谁啊，看着都烦了，估计小报告今天又没发哈
：金融行业喜欢告。
：2SIGMA就把好几个离职雇员送进去了。 |
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M***6
发帖数: 895 | 17 建议公司叫3 lambda。比2 sigma还多一个。2sigma概率多一点。你的微积分多一点。 |
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s******s
发帖数: 13035 | 18 unpooled对sigma没有要求，1sigma，2sigma都可以。
原始的μ1和μ2，而是要拿μ1和2μ2来做t-test，那么对应2μ2的σ应该是多大？怎
么判断，分布曲线是简单平移，还是应该平移+拉伸/压缩？ |
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t****g
发帖数: 715 | 21 I am still confused by the example:
if f(x)=-x^2, then E(f(x)|mu,sigma)=-(mu^2+sigma^2). Now you want
derivatives:
1st order: -2mu, -2sigma;
2nd order: -2, 0, -2. Second order derivatives are independent of mu,sigma. |
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c****e
发帖数: 2097 | 22 发现个鸟！欠扁的实验。0.6－0.8(or 1.4)的背景，2个2sigma的烂鸟event,发现
了个球。 |
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h*********n
发帖数: 915 | 23 在网站上选职位，提交简历，然后会有人联系考试？ |
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h*********n
发帖数: 915 | 24 另外CS Ph.D.的话，申请的职位应该是quant analyst还是quant software developer? |
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l*******o
发帖数: 78 | 25 搜索到有几位大大提到做过了，可不可以提供些详细资料？多谢 |
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s**a
发帖数: 178 | 26 I dont work with SAP etc so I'll hesitate to comment
On HF side, many are actively hiring (HBK 2Sigma Bwater Graham and many
sstart-ups). I have a good number of candidates at final round interview or
offer stage.
Btw, DEShaw is always hiring, if you have such pedigree...
Many hiring managers will be in Vegas from Sun to Wed for ASF, so I'm
expecting a less hectic week, but activities will pick up starting Thu
Have a good weekend you quanty heads! if any of you are going to Columbia U'
s Chinese |
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d*******n
发帖数: 524 | 27 Have no idea what you guys were talking about here.
So I just derived it myself.
Here I use the lowercase s to represent the logarithm of stock price:
s = ln(S)
and use v to represent the value of the derivative.
then under GBM assumption for the stock price:
s = (r-1/2sigma^2)t + sigma*W
which is a biased Brownian Motion.
(Note: this W is a BM only in the risk-neutral probability space,
not the real probability space. All the following BMs,
expectations and Martingales are in the risk-neutral s |
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i****y
发帖数: 65 | 28 Will be on site.
Could you please share your experience?
Thanks a lot! |
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b****a
发帖数: 84 | 29 which group?
I been to equity group |
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i****y
发帖数: 65 | 30 I think it is equity group, but not sure.
would you mind sharing your experience?
like the process and what questions?
Thanks! |
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Q*********r
发帖数: 93 | 31 They ask tons of programming questions. How did your interview go?
-brett |
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h**********k
发帖数: 168 | 32 when time is tough, programming skills become more critical.. |
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p*******g
发帖数: 38 | 34 I am glad you didn't go to 2sigma, i heard $$ sucks there. all they have is
marketing to fresh grads and play hard to get. Wise decision. |
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d****n
发帖数: 11 | 35 hi, would two of you care to describe what you each mean by "paid well".
everyone has different expectations.
is $150-200K total for fresh grads considered well paid?
is $250-300K total for 2-3 yr experience quant considered well paid?
actually, i have no idea what 2sigma's pays, but to me, if they pay this
money, then I would think they pay well.
just my 2 cents :-) |
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p*******g
发帖数: 38 | 36 well said. These hard-to-get-in places, including DEshaw, 2sigma, do not
live up to their reputation in terms of taking care of people, which are
selected on a very high bar.my 2 cents. |
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t********a
发帖数: 810 | 37 r u from deshaw or 2sigma? could u share some info about the bonus range? |
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s*******s
发帖数: 1568 | 38 sorry, I miss the X term,
But exp( (-1/2sigma^2t + sigma W(t)) is a Martingale, thus I think mu>0 is
enough
push |
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Q***5
发帖数: 994 | 39 Perhaps you are right. I was comparing the drifting term (\mu - 1/2sigma^2)t
with the variance sigma^2 t, but it seems that comparing with std sigma*
sqrt(t) makes more sense.
Are you sure the condition is not \mu >= 1/2 sigma^2? -- can someone
provides a strict proof? |
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n******r
发帖数: 1247 | 40 Y=X1+X2+X3+X4~N(4u,4sigma^2)
P(X1<0)=P{(X1-u)/sigma<-u/sigma}=F(-u/sigma)=16% -u/sigma=-1
P{Y<0}=P{(Y-4u)/(2sigma)<-2u/sigma}=F(-2u/sigma)=F(-2)=4.5% |
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z****i
发帖数: 406 | 41 3。 明白了。多谢。
反正我是没有replicate出来。。。
那个ODE解出来， P = C1* S + C2 * S^{-r/2sigma^2}.
to determine C1 and C2, one condition is P(B) = 1, another is P(infinity) <
=1, which makes C1 = 0. |
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w********r
发帖数: 727 | 42 2sigma 大牛50%cut
还有人说超牛75%
不过这个我就觉得可信度有先了
不过这种cut 高的一般都做不大
$ amount 有限。
至于这种吹嘘自己水平高的人，我只能说HF的老板在后面偷笑 -- 这些smart ass 把自
己卖了帮我数钱还这么高兴，真是可笑。
有本身还是自己当老板吧。 |
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f*****s
发帖数: 141 | 43 你还觉得少啊，我感觉这些职业网站上贴出的很多职位都是假的，是猎头们钓简历的诱
饵。再说，不同猎头贴出的职位，即使是真的，往往也是一个公司的职位。你没感觉出
，猎头一来电话，都是GS, Bloomberg, 2Sigma之类吗？ |
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z****i
发帖数: 406 | 44 steady-state black-scholes 解下来是C(S) = A*S + B*S^(-r/2sigma^2), A和B是两
个代定常数。 C(0) = 0, 所以B=0. 另外一个boundary condition 莫非是说the limit
of C(S)/S as S approaches infinity is 1, 所以A=1? |
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d*********n
发帖数: 27 | 45 With the $100 given, you can invest and have $100 * e^r a year later risk
free;you do not gain anything if this is smaller than 100+a*max(I-100, 0).
Now E[max(I-100,0)] =integrate
{
(I-100)/sqrt(2pi*sigma^2)*exp[-(I-100)^2/2sigma^2]
, I=100
, I=+infinity
}
=\sigma*[1-phi(0)]
=0.5*sigma
Hence you want 100*e^r =100(1+r) > 100+a*0.5*sigma.
So a < 200*r/sigma
如果这跟前人的答案一样，那我也没办法了 |
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s****n
发帖数: 1237 | 46 can you elaborate "non-tradable asset"? I can get "drift is not r" from the
formula, and kind of intuition (because it's nonlinear function of S), but
how do you give the quantity of this modified drift?
If from dS=rSdt+sigma*SdW, f=S^2, I have df=2rS^2dt + 2sigma*S^2dW, seems
the drift term is 2r. But the pricing formula indicates it should be 2r+
sigma^2? |
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e********e
发帖数: 250 | 47 Have no idea about 2sigma. Most people with family do not live in Manhattan.
West chester, long island, northern NJ, southern CT, are common choices. 1-
1.5 hour one way commute is common. |
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k*****a
发帖数: 7389 | 48 我们公司新来的几个WSNV说在2Sigma当intern时有几个大叔经常在她们身后晃悠想干她
们，看来这次可以核对身分了 |
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t*****j
发帖数: 1105 | 49 到现在没消息........
不知道要等多久啊，着急...... |
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