I've been applying to a few quantitative trading firms. My interviews so far have been coding and math puzzles, but I'm told that tomorrow's will involve mathematical finance. I have absolutely no background in that. What to do in a few hours of studying?
In college, I always felt there was something off about sitting through long lectures and taking methodical notes that were never referred back to, at least more than once before the exam. My solution then was to use a spaced repetition system (SRS) to make all the pertinent facts sticks. I talk a lot about spaced repetition systems--and their shortcomings--on my other blog. In this case though, the main issue is that I don't have time to create material for SRS anyway.
My strategy has been a mix of the following:
- Working through the financial economics questions of the interview prep book Heard on the Street. And by working through I mean reading the question, having no idea what it's talking about, then reading the answer. I think that failing step is necessary, but unfortunately I'm not even familiar enough with the concepts to follow most of the solutions. The book did throw in one repeat, and I was indeed able to answer. So hey!
- Watching a smattering of videos (in 1.5x to 2x speed) from the Coursera Computational Finance and Financial Engineering courses. Are these the best and most relevant courses? I'm not sure, but I am seeing concepts from the interview prep problems come up. And thankfully I have the math background to quickly parse the derivations and focus on trying to understand the terminology and motivation.
- Speaking of terms, the third prong of approach is searching for basic terms and models, which I have been following to Investopedia and watching their nice quick videos.
Is this chaotic flurry of learning good over a longer term? Well, I don't have time to answer tonight! But I will say this: I've felt like I'm doing better on math challenges than coding/algorithm ones. I've studied and worked with programming much more in the last few years, but it doesn't seem to compare with the massive amounts of quick, targeted math problems I did in high school--probably 100-200 problems per week. Those were mostly more basic than math olympiad problems, and I'd say the reason I didn't do better than I did in math competition is that I didn't do much of the less satisfying work of reading solutions for hard problems just outside of my range.
I'll see how it goes tomorrow.