Financial Math Alumni Panel Discussion on Big Data, High Frequency Trading and more…

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(Above left to right- Jeff Scroggs, Jonathan Leonardelli, Jared Bogacki, Ryan Wesslen, Albert Hopping, Emmanuel Sanchez)

Jeff Scroggs, Director of the Financial Mathematics Program, conducted a panel of industry experts on trends in financial mathematics and quantitative risk.  Three of the practitioners,  Jared Bogacki (BB&T),  Jonathan Leonardelli (Financial Risk Group), and Emmanuel Sanchez (Allianz), were from the class of 2004 – the first class to graduate with a Masters of Financial Mathematics.  Two of the panelists,  Albert Hopping (SAS Institute, class of 2007) and Ryan Wesslen (Bank of America, class of 2009), were more recent graduates.

The panel offered the audience an opportunity to see what role quants play in optimal business practices.

All the panelists agreed that their Masters of Financial Mathematics from NC State opened opportunities for career advancement, ranging from a entry-level quant positions to promotions to lead quant.

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Jared Bogacki started with the topic of 'Big Data'.  'Big Data' is the use of data sets so large and complex that it has become difficult to process them using traditional tools or data processing applications.  It is currently a hot specialization for quants, and will likely remain a sector of the job market that is hungry for well-qualified people. 'Big Data' is a broad term that covers several topics including analytics used to glean market sentiment as well as some aspects of high frequency trading.

High-Frequency Trading (HFT) is algorithmic trading that uses algorithms to rapidly trade securities. The methods involve proprietary trading strategies carried out by computers to move in and out of positions in fractions of a second.  Of course, there are many different approaches to HFT that range from geometric observations (Golden Cross) to taking advantage of arbitrage opportunities across markets (e.g. New York vs London).  Albert Hopping was asked, “Do you think HFT is good or bad for markets?”  He pointed out that HFT is really a response to the way electronic trading in markets such as the New York Stock Exchange and Chicago Mercantile Exchange function are regulated.  HFT reduces friction by providing liquidity, but it can also cause flash crashes that force markets to temporarily halt trading.  There was consensus that such trading is impossible to control – regulations always lag advances in technology.

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Effective deployment of quantitative risk management is a challenge for all businesses, large and small. Jonathan Leonardelli led this discussion.  There are many aspects to risk management, ranging from data mining for parameter estimation to the creation of dashboards in the context of Enterprise Risk Management. The push to use more quantitative risk measures can come from inside the business or from outside.  For example, regulations like the Dodd-Frank act require more transparency from banks and reliable quantitative measures for stress testing.

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Emmanuel Sanchez was asked to lead the discussion on how weather-related risks can be controlled. Climate change has brought the spotlight on some of the impacts of short-term and long-term weather. Catastrophe bonds can provide protection against large-impact short-time events such as hurricanes and floods; whereas, weather insurance provides coverage based on measures such as annual rainfall and heating degree days (when it is cold enough to need a furnace).  The availability of these securities and derivatives allows the sharing of risk inherent in sectors like farming and homeowners insurance.

Ryan Wesslen was asked to share his favorite/best model in the area of consumer credit risk and/or counterpart credit risk.  Of course, quants do not share the best model to predict recent trends, but many share their wisdom in hindsight after a particular model offers no significant competitive advantage.  No model is likely to produce a clear crystal ball with excellent valuations, and all models provide some level of insight. For example an individual’s credit scores, like many holistic indicators, are good at the extreme high and low ends. But scores in the middle aren’t good predictors of default risk.

Thank you Jared, Albert, Jonathan, Emmanuel and Ryan!

Keep a lookout for an upcoming new blog series- interviews with a featured alumnus to learn even more about his or her experience and expertise.

NC State’s Financial Math 10 year anniversary celebration

On Friday, April 25th 2014, NC State's Masters of Financial Math program celebrated it's 10 year anniversary. Alumni, employers, faculty and current students enjoyed an evening together catching up, networking and enjoying authentic Szechuan cuisine in SAS Hall. Big thanks to our sponsors: Andrew Davidson & Co., Progress Software , and The Sloan Foundation.

Below are a few pictures that captured the fun event.

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Thanks to everyone that came!

Keep a lookout for an upcoming post on the recap of the Alumni Panel discussion that proceeded this event.

NC State's College of Science article about the Financial Math program

Photography- Michael Zirkle

Music- Bruce Emery

These students made it through the rigorous Financial Math program at NC State

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(Left to Right- Xue Miao, Xinyuan Huang, Director- Jeff Scroggs, Director of Career Services- Leslie Bowman, Zhe Wang, Zhexing Zhang, Meenakshi Ramchurn, Sohaila Shaukat). Not pictured- Rana Kashif, Haozhi Wei, Zhengran Zhou, Samuel Busch, Kathy Varga, Xiangju Wang, Cheng Yu, Shihao Zuo, Meng Yang, Wen Zhong, Ying Xu)

The students (pictured above) proudly graduated on May 9, 2014 and received their Masters in Financial Mathematics (MFM) degree. They are excited and happy to achieve this meaningful accomplishment. Their hard work and long hours of studying paid off!

Sohaila Shaukat shares more details:

What was the most rewarding assignment or project of the program?
"The most rewarding project of the program was the one we did on asset pricing in 'Computational Methods in Economics and Finance' course. The project solidified my interest in derivative pricing and helped me build on what I had previously learned in Monte Carlo Methods for Financial Mathematics and Asset Pricing. Also, this added a lot to my resume, as employers are constantly seeking people who can build financial models and have a little bit of experience in it. It was also the reason I landed with an internship over the summer with Tata Consultancy Services."
What was the most interesting or favorite course and why?
"Most of the courses were rewarding. But my two most favorite courses are 'Computational Methods in Economics and Finance' and 'Time Series Analysis'. Both are difficult courses with brilliant professors, and helped me enhance my skills in data modeling, derivatives pricing and financial modeling. These courses also introduced me to R-programming and enhanced my skills in Matlab."
How many hours a week did you spend studying (on average)?
"I studied 20 to 30 hours per week on average. 20, when we didn't have to submit assignments in every course, and 30 or more usually when exam week/ mid terms are near."
Anything you would have done differently throughout your time here?
"I would have worked harder on the courses that involved a lot of Statistics and Stochastic Calculus. Since I had a non-mathematics background, I should have spent a lot more time on them. Also, I would have started applying for full time positions in July, 2013, instead of delaying it till January, 2014. This is because most major banking/wealth management firms hire their graduate trainees between July to December."
Sohaila's hard work paid off since she had several interviews and received a job offer. Look forward to a future post about her story.

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(Xinyaun Huang, Xue Miao, Zhe Wang, Zhexing Zhang)

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(Sohaila Shaukat, Director, Jeff Scroggs, Meenaski Ramchurn)

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(Time to celebrate!)

We congratulate them and wish many, many years of success!

To learn more about the program: Financial Math program details