Background: Oversea bachlor Math&CS with 1.5yr we in algo trading
Round 1: Prof. Andrew
- Go through your CV, which market you currently cover?
- C++ experience, I told him I have 6 year C++ exp, so he asked me have I ever used C++11, and what's its changes to earlier version.
- Linear Algebra: N by N matrix how many roots in complex space, what is symmetric matrix, and what is positive semi-define
- More Linear Algebra: {(1,a), (a,1)} abs(a) <1 is it positive semi-define why
- Time Series, what is AR(2) give the expression, what's it relation to Wiener Process, and what is Wiener Process
- Algorithm: give a psudo code for nth power of matrix M.
Well, first I think I can rewrite M = V^(-1)*D*V (V-eigen vector matrix D-eigenvalues on its main diagonal)
M^n = V^(-1)*D^n *V
He wanted more general solution, since M maybe not diagonalizable. (Hint recursion odd/even)
Times up when I half finish - he said it's on the right way.
Confirm to the next round.
Round 2: Prof. Dan
- Go through your CV from your graduate, why left this firm? (World is so big, I wanna have a look LOL)
- Career Plan, why MFE
- C++ exp. latest use of C++
- 2^x = x^2 find the roots 2 obvious is one, is there any others. (4), is there any negative roots how many of them? (I got it wrong, only one negative root)
- Is there any methods to find the negative roots? (Newton method) , What is Newton Method? How can we derive it? (Taylor)
- What is standard normal distr. give the pdf of it. integrate it prove equals to 1 (polar coordinate)
- Questions
a. RITC
b. NY vs Chicago for trading jobs
c. Is there any other interviews? (ask performance in another way)
Other offers, For question 4 plot the graph you can ez find the answer is 3, I did not do quite well on this question, made 2 mistakes another was I calculate (2^x)' wrongly
Overall, positive experiences but not sure whether can land an offer.
Finger Cross
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