Via efincareers : Quant traders working in investment banking are not happy. Squeezed by regulations that curb investment banks’ prop-trading activities and by cost-cutting that means that pre-crisis compensation packages have been consigned to history, job dissatisfaction is at an all-time low, according to industry observers. Quantitative PhDs who would have usually gravitated towards high-paying roles in the financial sector are looking for alternative career paths, while those already working in banking are seeking to move on.

Stumbled on to an interesting comment on crossvalidated which I think is a nice way to warn against using techniques such as best subset regression, forward step regression, backward step regression etc. Wanting to know the best model given some information about a large number of variables is quite understandable. Moreover, it is a situation in which people seem to find themselves regularly. In addition, many textbooks (and courses) on regression cover stepwise selection methods, which implies that they must be legitimate.

The paper by Bin Zhou, titled “High Frequency Data and Volatility in Foreign-Exchange Rates” is one of the first papers in the finance literature to address the problem of volatility estimation in the presence of market microstructure noise. Here’s my document that explains the rationale and the math behind the estimate.

Via NYMag: In news that is sure to stir hearts across the country, Goldman Sachs has decided to give a $15,000 annual raise to next year’s class of analysts (junior bankers typically just out of college, usually about 22 to 24 years old) as part of an effort to retain and attract top-level talent. It’s an overdue move, and not all that surprising. Life as a young banker on Wall Street is a fairly miserable experience, and many young bankers are understandably fleeing the cramped bullpens of Manhattan for the free snacks and treadmill desks of San Francisco.

Here is a paper by IIMA working group that argues for automatic detection of market manipulation near expiry. The essence of the paper is that, SEBI has to detect fraud and punish the manipulators, rather than putting measures to prevent fraud( which has proven inadequate in general). This paper is inspired by an episode in the Indian market where a group of entities resorted to manipulative trading, who were later barred by SEBI from trading in the capital markets.