z****g
发帖数: 1978 | 1 The PnL of any market making should come from spread, not taking risk,
neither volatility nor underlying movement. |
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z****g
发帖数: 1978 | 2 both underlying movement and implied vol change are highly correlated with
trading volume. So if it is truly market maker, and you have good customer
flow, as long as you are trading against customer, your should always be
selling the high vol and buying the low vol. It is really the flow that
matters.
Also, research shows that most the PnL of option market making contributes
to the delta, which means you should have a tolerance of the delta within
which you should not hedge the delta. volatilit... 阅读全帖 |
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G*****3
发帖数: 71 | 3 Surely it is a bit pointless to talk about trading book size isnt it? With
the amount of leverage out there, depends on the product, you can have a
book worth hundreds of millions, yet only make/lose 3k a day. The right way
of accessing whether you are big or not is to look at your average profit
and pnl stdev.
Also according to the job description, it looks like a trading arcade. Have
to say, with all due repest, it is quite a evil busines model. Very
profitable for the owner, but if you want t... 阅读全帖 |
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l*******n
发帖数: 206 | 4 Just to be fair, I learned a lot more information on trading from fantong's
post than nycplayer's post. Of course fantong's temper can be improved.
working for a larger institution not necesarily means you are more sucessful
as a trader who are judged only by their pnl. If you are a flow trader,
that is totally different career. You might be trading 1 billiion a day,
that means nothing.
From my judgement, fantong's post is sincere and information are authentic.
On the other hand, most ppl attack... 阅读全帖 |
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s****n
发帖数: 700 | 5 要是自己有策略赚钱， 那就出来和公司合伙干好啦。 分的pnl肯定比工资强多了。
record |
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r*****o
发帖数: 11 | 6 学物理出身的。刚毕业时在一个大公司小部门做了不到一年FX modeling,当时那部门是
计划搞出一个trading fund。然后就2009了。我折腾了两个月发现finance太难找了，
于是在湾区做起了software。工资一般般，但现在房子也买了（当然一屁股贷款）娃也
on the way了。还坐着将来跳到facebook或google的梦。。。
最近前公司的manager打电话，说是他们现在spin off成一个fund了，虽然很小（好像
干活的就4～5个人）但还弄了些strategy开始赚钱了,我当时鼓捣出来的model好像也好
使。地点还在湾区，问我想不想跟他干。。。能去分pnl很诱人，但感觉risk也大。毕
竟finance入行较浅，不知道这样的公司风险有多大，FX这个方向做的好能有多好。从
做了一年的感觉如果没有牛人带这东西自己能学的不多。湾区做这个又少，要是黄了下
家难找。大家能不能给点建议 |
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t**********a
发帖数: 166 | 7 That trader is probably the head trader of a medium size desk or a star
trader. He has to make more than 50M PNL (maybe 70MM nowdays) to get 5M
bonus.
trader support = quant or assistant trader? If quant, among his 40W total
comp, probably 30-35W doesn't depend on the performance of the desk at all. |
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t**********a
发帖数: 166 | 8 That trader is probably the head trader of a medium size desk or a star
trader. He has to make more than 50M PNL (maybe 70MM nowdays) to get 5M
bonus.
trader support = quant or assistant trader? If quant, among his 40W total
comp, probably 30-35W doesn't depend on the performance of the desk at all. |
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o******l
发帖数: 35 | 9 Depends on firm, and how established the trader is. |
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l********g
发帖数: 116 | 11 10-15% in front office of bank
10-??% in prop trading shop or hedge fund, case by case |
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t**********a
发帖数: 166 | 12 No way bank can pay this high. Probably 5-10%? And high end is more prop (
little dependence on client flow) |
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m*********g
发帖数: 646 | 13 12%-20% mentioned in a recent article on Bloomberg, talking abt how the
banks/funds are facing cost difficulty and forced to cut headcount. |
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d*j
发帖数: 13780 | 14 citi的那些 prop trading 正好是 10% |
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t**********a
发帖数: 166 | 15 at the end, it will depend on capital expense - i.e., no need to spend
capital vs high margin/reserve requirement |
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EM
发帖数: 715 | 16 一般是4个月到1年不等
high-frequency类型的公司没有inventory，一般4个月左右
其他类型的公司一般都是1年左右 |
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d*j
发帖数: 13780 | 19 you got an offer?
good one?
cong! |
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a***r
发帖数: 594 | 20 rule of thumb is half of the fee. just like the bank allocate half of the
revenue for comp.
but you d have to be the top dog on the desk, the one calling the shots,
making the trading decisions, including what "signal" to install in a
computer driven environment.
if you are new, most reputable places will not even let you have your own
book. As a result you will be among the rest of the guys that are paid from
the remaining half of the fee, along with the cost to rent office spaces,
buy computer... 阅读全帖 |
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a***x
发帖数: 26368 | 21 book size?
25%
the
own
, |
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d*j
发帖数: 13780 | 22 如果是trader用公司自己的钱哪
像那些 prop trading desk 一样
imaging
about
how |
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S*********g
发帖数: 5298 | 23 江平，挑战华尔街的正文第二页：
"他给我拜了年，并希望我重新考虑离开雷曼的决定。他说，鉴于我长期对雷曼的贡献
，他和总裁已经商量，将赢利提成提升到16%"
"我在雷曼多年，平均提成在3%-4%,一直到2004年才一步提高到11%,但其中现金部分只
占3%" |
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j*********g
发帖数: 224 | 25 正如daj说的，我是用公司自己的钱，其实就是创始人的钱。看来20%很不错了。 |
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r*******e
发帖数: 971 | 27 【 以下文字转载自 JobMarket 讨论区 】
发信人: reclapple (加菲鲸), 信区: JobMarket
标 题: Recruiting Entry Level 2 years Quantitative Analytics Research
发信站: BBS 未名空间站 (Sat Sep 24 18:47:35 2011, 美东)
>
> 不要站内信。有兴趣请联系：
> Jason Hung Vu
> The Leverage Group
> 139 East 23rd Street
> New York, NY 10010
> Ph. 212-330-6400
> Alternate Cell number for out of office: 201-839-6319
> Send me a LinkedIn invitation: http://www.linkedin.com/in/hungvunewyork
>
> Entry Level – 2 years Quantitative Analytics Research (PhD required)
... 阅读全帖 |
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s******r
发帖数: 324 | 28 you have to view p/l just as a number. It's not life and death, otherwise
you will burn out quickly. I have been as PM for ten years, never one day
lost sleep because of pnl, including days down tens of millions, you have to
realize it's just a job. |
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s******r
发帖数: 324 | 29 from what lz described, he is working at a mutual fund. The pressure is much
less than hedge fund, he needs to learn how to relax. If he works in a
position that he has cut of pnl, he will go crazy. |
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s********0
发帖数: 398 | 30 多谢！顺便再问一下：
有人跟我说，two sigma虽然很好，但是比较偏向于协作分工，bonus也是主要看所在组
的performance；worldquant比较tough，但是有机会成为portfolio manager，这样可
以有PnL的cut
这种说法属实否？ |
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s********0
发帖数: 398 | 31 多谢！顺便再问一下：
有人跟我说，two sigma虽然很好，但是比较偏向于协作分工，bonus也是主要看所在组
的performance；worldquant比较tough，但是有机会成为portfolio manager，这样可
以有PnL的cut
这种说法属实否？ |
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l*******1
发帖数: 113 | 32
你确定？
jump是有利对冲的，因为你short一个option。无论是jump up 还是down，你的PnL on
the option是
-delta*(change price)，
如果是正常的call, 你的损失是 -[delta*(change in price) + 0.5*gamma*(change
in price)^2]
比起正常的hedge，如果有jump，你的hedge cost 变低了。
seller 在卖option的时候，因为option with jump 让seller delta-hedge时候在
gamma上的损失比较小，所以必须价格比普通call要高。 |
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G******h
发帖数: 64 | 33 我听说的版本是，小打小闹的，喜欢当个小官啥的，但是不出PnL。最后自己离开的。 |
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G******h
发帖数: 64 | 34 我听说的版本是，小打小闹的，喜欢当个小官啥的，但是不出PnL。最后自己离开的。 |
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s******r
发帖数: 324 | 35 just a general quant role working in equity/future strategies, it will be
pretty well paid if can contribute to pnl. |
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mw
发帖数: 525 | 36 今天跟一个朋友聊天的时候谈到的。好奇的在这个长龙卧虎的地方问一下，平均一个
trader 今年$10M 是个什么水平？
欢迎八卦 |
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s******r
发帖数: 324 | 37 it has to be top places. even that one trader most likely mean 1 PM. |
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i**********5
发帖数: 467 | 39 That depends on how much support he received from others. If he make 10M
just by himself with less than 10M cash, his bonus will be around 4M. |
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b******e
发帖数: 34 | 42
没有直接招去做PM的？ 但好像 risk很大的说？ 好像3个月PnL不行就要走人了。
deepthroat，你在worldquant？ |
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e*******e
发帖数: 1144 | 43 experienced hire公司的名声就不那么重要了
看具体的机会吧,比较一下哪里PnL提成比较多 |
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s*******s
发帖数: 1568 | 44 depends on how much you contribute，5％－10％of your pnl |
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l*******1
发帖数: 113 | 45
book 上面sold了一大堆exotics，基本就是buy back client的position而已
有client order的时候就 pricing derivatives using internal pricer，然后adjust
delta hedge，然后给sales provide一个price，然后execute， 然后 check pnl
没有order的时候就定期adjust 一下delta hedge，
看看book上的exposure，然后senior trader 去hedge。。。
打酱油外加给senior trader 干活的 -_- |
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L******g
发帖数: 1371 | 46 pnl / lmv = -15bp
i knew your group must be great. we just lost too much on momentum. |
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b***u
发帖数: 12010 | 47 你delta neutral只相对于当时一小段时间neutral。underlyer价格一变就不neutral了
，更不用说一路到expiry。另外option都有theta，underlyer价不变你都会有pnl。所以delta
neutral的portfolio需要隔一段时间adjust。你要想安心一点就搞gamma hedge，这样delta的
delta也是neutral的。但仍然要定时adjust。 |
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s*******s
发帖数: 1568 | 48 joke, depends on who is the primary PnL generator. |
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s***y
发帖数: 357 | 49 我拿到了他们家的Associate PM 的OFFER. 有PnL 分成但是很少。不知道要不要跳。
想了解一下WorldQuant内部的情况，希望知道这家公司的人能够站内发信给我聊聊。
提前谢谢啦。 |
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L******g
发帖数: 1371 | 50 最近 BOA(ML) prop 组的一个小印，他说他们40多个quant 的group，都要被裁光，
去年他的strategy pnl 7M pay out ratio 5%. not 50%. |
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