3 year has passed. Everything has changed. I didn't take IBT TOEFL for the 2nd time, nor GRE. Going to the US and work there is still my dream, but i don't know when it will come true. Fortunately, during the past 3 years, i'v passed CFA level 2 and FRM exam as well as qulified to be a master degree candidate, i hope these will help me to hunt a decent job in the next few months. However, i didn't make much progress in my english writing skill and it may become a hinder for my CFA level 3 exam because when taking the exam i have to offer some investment suggestions by writing essays. So i come back again to chase dream and continue my english dairies. wish myself good luck~
2010.9.14 what's my career target? That's a question which has bother me for a long time. When I was a under graduate student, my target is to be a investment banker, an expert in the field of IPO or M&A. However, after taking courses of quantitative finance, my preference has changed. Quantitative finance analyst is a promising occupation in the investment field. It's combined with the knowledge of finance, mathematics and computer technology, and base on valid quantitative models. A quantitative analyst should be an expert of statistic, economics and coding and his daily work is full of challenge and passion. As a financial engineering majored student, I am a follower of the quantitative financial method and model building. So to be a quantitative finance analyst is my ideal career path. In this field, some people are very respectful such as Merton, Black, Scholes, Derman, Willmot and of course they're my idols. However, the road to a quantitative analyst is quite long and tough for me. A lot of thing are needed to be done before I become a qualified quantitative analyst. My most urgent work is to enhance my coding skills. Although familiar with MATLAB and R, I am a green hand in CPP and VBA which are the most popular programming language in this industry. As an interviewer told me, a big difference between the scholars and investment practitioners is that the professors just need to prove an investment strategy is effective by making some regressions or other statical tests under certain assumptions while the investment managers have to put the theories into real which means you must write some codes to realize the strategy by taking everything such as transaction cost, regulation and market liquidity in to account. It's not so easy an writing an essay. What's more, you have to make your strategy work. For a quantitative fund manager, the first principle is to make money. If your strategy doesn't work, it'a bullshit regardless how beautiful it's underlying theory is. So as I mentioned before, this job is full of challenge and passion as well as pressure. But I still wanna try because I believe that I can prove my personal value via this job. Although the road is tough, I choose to stick to it. that's all for today
2010.9.24 Today's topic is about the topic selection of my thesis. Unfortunately, my previous topic is rejected by my supervisor in the last seminar. It is a topic related to the field of asset pricing and EMH and called Mispricing return premium : evidence from Shanghai and Shenzhen Stock Exchange. However, until the morning before last seminar, I didn't uncover a vital problem in the theoretical model of the thesis. In fact, the model is not initiated by myself. I quoted this model from my main reference paper "mispricing return premium" whose authors are Brennan and Wang. In B&W's paper, they built a model which introduces a stochastic pricing error that is uncorrelated to the fundamental value of the security's payoff and proved that it will generate a premium in the unconditional expected return which is simply caused by the effect of Jensen's inequality and feasible for all equilibrium of factor pricing models. The problem is, the authors proposed a noise in log return and used a simple return form in there proof. This inconsistency of the return form is the main reason for the premium and if I set all return to be the log form, the premium will be wrapped out. So now I have to pick another topic. The main field I'm interested in are market microstructure, derivative hedge ratios and option pricing. I hope I'm lucky enough to get a new topic soon. Good luck to me~
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发表于 2007-5-20 00:54:00
发表于 2007-5-20 10:02:00
