4 ms·

I got an applied math Ph.D. with a good course in measure theory and stochastic processes from a star student of E. Cinlar and a lot in optimization, wrote my d

by graycat 12y ago

I got an applied math Ph.D. with a good course in measure theory and stochastic processes from a star student of E. Cinlar and a lot in optimization, wrote my dissertation on stochastic optimal control, had a solid background in software, especially in scientific computing, including a lot of applied statistics, sent a resume to Fisher Black at Goldman Sachs, and still have his nice answer back that he saw no opportunities for mathematics in finance. Jerked the chains of lots of headhunters and got nowhere. I concluded f'get about it. Maybe since then it's changed.

rwmurrayVT 12y ago
When was this?
- graycat 12y ago
  Long time ago, e.g., Fisher Black was still alive (maybe he's not now). I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia. I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no. When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth. So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street. Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black. In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me. Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No. Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.
  - FD3SA 12y ago
    Sounds like you'd have been a much better fit for Renaissance Technologies than Goldman.
    - graycat 12y ago
      I heard that at GS Rubin pushed algorithmic trading. Sure, would've been great to have met Simons. Heck, I never got around to working in differential geometry but at one time did get the notes of S. S. Chern! And once tried to understand a seminar of an A. Gleason student! But I did cover exterior algebra, from both Fleming and Spivak. Now I have Cartan's book, now in English! I have no idea just what Simons did to make his $12 billion or so, but likely it had to do with algorithmic trading in some sense. Once I did get an interview at Morgan-Stanley, showed them some work I'd done in mathematical statistics, I later published, and mentioned that I'd like to work in the applied math of trading but got no interest. The people on Wall Street made plenty of money and didn't need me. So, I decided to go where I could make money just by pleasing users/customers -- do a start-up, i.e., hire myself. From headhunters, I got a lot of just hostility: The main reaction was that in looking for a job I was doing something wrong. For another, my resume said I'd been a professor. Right, I had been. So, the head hunter got all twisted out of shape suggesting that I claimed the title of Full Professor. Nope, I claimed no such thing. The headhunter was eager to be nasty. Bizarre. Dysfunctional. Destructive. Nonsense. I don't know what Wall Street wanted; I have to doubt that much of Wall Street knew what Wall Street wanted; whatever they did or didn't want, they didn't want me. It's a very old problem: If working very high up, then are almost certainly (Simons is a grand exception) are working for people who, net, don't know measure theory. Then a person actually making use of such math will have a huge interpersonal interface problem. Quite broadly one of the main bottlenecks in getting value from technical work is the problem of the awkward, often bitter, interface between a good technical person and a less technical superior. I have heard that the lawyers have a solution here: A working lawyer is supposed to report only to a qualified lawyer. Really, then, a technical person with some valuable technical work should just start their own business. Or, how many people on Wall Street working as applied mathematicians and not for themselves earn money enough to live in a nice Manhattan townhouse or apartment? My guess is, not many and that, instead, the big bucks, say, for a $20 million townhouse, are going to non-technical people, management, sales, IB, trading, firm ownership, etc.
deathflute 12y ago
Hey, I wanted to send you a message but your profile has no email. Can you send me a message or put an email in your profile? Thanks.
- graycat 12y ago
  How do I send you a message?
  - deleted 12y ago
    [deleted]
  - sliverstorm 12y ago
    There is no messaging system; visit the user's profile (click on their name) and cross your fingers they have some kind of identifying information- an email address, a web page, etc.
  - deathflute 12y ago
    You can find my email in my profile by clicking on my username.
    - graycat 12y ago
      I do see URL www.localmeze.com but I see no e-mail. When I do the same click on my Hacker News user name, then, yes, I see a line for my e-mail but the line (a text box) is empty because I haven't given my e-mail to HN. What's going on I don't know.
      - deathflute 12y ago
        I did not realize that the email is not publicly displayed. I have put in the about section now. hn At machine.imap.cc
        graycat 12y ago
        Just sent to hn At machine.imap.cc

by graycat 12y ago

rwmurrayVT 12y ago

When was this?

graycat 12y ago
Long time ago, e.g., Fisher Black was still alive (maybe he's not now). I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia. I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no. When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth. So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street. Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black. In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me. Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No. Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.
- FD3SA 12y ago
  Sounds like you'd have been a much better fit for Renaissance Technologies than Goldman.
  - graycat 12y ago
    I heard that at GS Rubin pushed algorithmic trading. Sure, would've been great to have met Simons. Heck, I never got around to working in differential geometry but at one time did get the notes of S. S. Chern! And once tried to understand a seminar of an A. Gleason student! But I did cover exterior algebra, from both Fleming and Spivak. Now I have Cartan's book, now in English! I have no idea just what Simons did to make his $12 billion or so, but likely it had to do with algorithmic trading in some sense. Once I did get an interview at Morgan-Stanley, showed them some work I'd done in mathematical statistics, I later published, and mentioned that I'd like to work in the applied math of trading but got no interest. The people on Wall Street made plenty of money and didn't need me. So, I decided to go where I could make money just by pleasing users/customers -- do a start-up, i.e., hire myself. From headhunters, I got a lot of just hostility: The main reaction was that in looking for a job I was doing something wrong. For another, my resume said I'd been a professor. Right, I had been. So, the head hunter got all twisted out of shape suggesting that I claimed the title of Full Professor. Nope, I claimed no such thing. The headhunter was eager to be nasty. Bizarre. Dysfunctional. Destructive. Nonsense. I don't know what Wall Street wanted; I have to doubt that much of Wall Street knew what Wall Street wanted; whatever they did or didn't want, they didn't want me. It's a very old problem: If working very high up, then are almost certainly (Simons is a grand exception) are working for people who, net, don't know measure theory. Then a person actually making use of such math will have a huge interpersonal interface problem. Quite broadly one of the main bottlenecks in getting value from technical work is the problem of the awkward, often bitter, interface between a good technical person and a less technical superior. I have heard that the lawyers have a solution here: A working lawyer is supposed to report only to a qualified lawyer. Really, then, a technical person with some valuable technical work should just start their own business. Or, how many people on Wall Street working as applied mathematicians and not for themselves earn money enough to live in a nice Manhattan townhouse or apartment? My guess is, not many and that, instead, the big bucks, say, for a $20 million townhouse, are going to non-technical people, management, sales, IB, trading, firm ownership, etc.

deathflute 12y ago

Hey, I wanted to send you a message but your profile has no email. Can you send me a message or put an email in your profile? Thanks.

graycat 12y ago
How do I send you a message?
- deleted 12y ago
  [deleted]
- sliverstorm 12y ago
  There is no messaging system; visit the user's profile (click on their name) and cross your fingers they have some kind of identifying information- an email address, a web page, etc.
- deathflute 12y ago
  You can find my email in my profile by clicking on my username.
  - graycat 12y ago
    I do see URL www.localmeze.com but I see no e-mail. When I do the same click on my Hacker News user name, then, yes, I see a line for my e-mail but the line (a text box) is empty because I haven't given my e-mail to HN. What's going on I don't know.
    - deathflute 12y ago
      I did not realize that the email is not publicly displayed. I have put in the about section now. hn At machine.imap.cc
      - graycat 12y ago
        Just sent to hn At machine.imap.cc