Day in the life of a Quant

A couple people have asked for something along these lines. I'm going to do two versions of this. "Quants" are an overly generalized term, so there really are multiple types of quants. There are quants that support derivatives desks, there are quants that do statistics for proprietary trading, and there are quants that build apps for use by an institution. I really only know anything about the first two.

Exotic Derivatives Quant:

5:45am - get up, shower

6:30am - be on train

7:00am - get to office

7:10am - deal with first trader complaint. A pricing module for knockout options on fx broke.

7:30am - morning call with traders, quants and sales people

7:45am - work on forward discount curve for dollar denominated assets.

8:20am - first trade of the day comes in. A European bank wants to price a equity index basket option. You start on the code immediately (VBA or C++, depending on the difficulty of the basket/option being priced and also depending on the bank from what I've heard).

9:00am - finished writing and debugging code. Go to your validating quant to check work. (Usually two quants will work on a given model at the same time. If both models get to the same answer within a certian tolerance, then the code is considered good).

9:20am - your code and validation code match up, code is sent to the model validation quants (usually yet another group that compares the model used to several other models). You go check your work for a while and then go back to the project you were working on before the trade came in.

11:30am - lunch at the desk

12:30pm - new trade comes in, a hedge fund wants to do a reverse repo on a stock.

12:35pm - trader whines about his sheet freezing up while pricing the particular stock repo vs the counterparty. you tell him it's because he has too much stuff open and running.

12:40pm - trade is priced and your desk wins the trade.

12:45pm - trader complains that the hedge ratio on the repo can't be right. You wonder why he thinks there's a ratio on the repo. . .

1:30pm - model validation comes back with the 'go-ahead' on the basket option trade (sometimes they come back within the day, for more complicated stuff it can take days).

1:40pm - the counterparty is notified of the trade price, but you know they won't get back to you till the next day.

2:00pm - another equity repo trade

3:00pm - bond markets close. This is important to you because some of the exotics you price can cross fx, fixed income, equity and credit all at once.

4:00pm - equity market closes

4:10pm - make sure all the marks are correct in the derivatives book and double check hedge assumptions

4:45pm - work on correlation matrix for one of the trades in the book

5:30pm - you're an equity guy, time to go home.
note: this is probably a fairly easy day as far as leaving at 5:30, but generally speaking the trade volume tends to be pretty light. There's an occasional "truly" exotic trade that takes a couple days to price. Lots of repo type deals or total return swaps with hedge funds. Technically as the quant you're not reponsible for the risk, but you are responsible for giving good fast prices.


Stats Quant:

6:30am - get up, shower

7:00am - get to the office, log onto relevant machines

7:10am - Check overnight diagnostics on machine trading algorithms being run overnight. Since you didn't get a phone-call waking you up (automated, of course) and telling you of an error, you don't expect to see anything abnormal. You don't need to check overnight pnl because it was e-mailed to you at 6am.

7:30am - open project being worked on. Usually a program in C++ or some research in R/S-plus. Begin programming.

8:20am - fixed income markets open, make sure machine run trading systems are not failing. You really don't have to do much here because you're supposed to get an e-mail and some bells/whistles go off when stuff breaks. Not to mention the electronic systems were running overnight. Some of the trading algorithms only run during liquid hours though.

8:30am - go back to your programming.

9:30am - equity markets open, you do the same drill you did with the fixed income markets.

9:40am - back to programming

10:20am - one of the trading systems throws an error. It froze itself, but you need to manually take it out of it's risk. You delve into the code to see what happened.

10:50am - you found the bug and fixed it. You would test it on the test servers, but the bug happens so infrequently that it wouldn't matter. You did test it internally. You plug it back in and go back to your original project.

11:20am - you go out to grab lunch with a couple colleagues. You decide to stay out for lunch today as opposed to bringing it back to the desk.

12:10pm - you return to your desk and return to coding.

2:50pm - the daily manual trading algorithms produce their results. You and your colleagues discuss the results and start making phone calls to put on the trades given by the daily algorithms. These often involve OTC derivatives, so you actually need to place the phone call to trade.

3:20pm - trades finalized.

3:30pm - daily quant round-table meeting. You and the other quants discuss any issues you've had with coding, any ideas you have for new trading ideas and papers you read overnight. The discussion flows like a classroom. The meeting ends with the new trading ideas that seem worth following being moved forward for a full write-up. Those that have already been written up and fully discussed today move into development phase and are assigned programmers. A paper is handed out for reading overnight.

5:00pm - after the meeting you and a colleague decide to play a quick game of chess.

5:20pm - you lost, again. . . that guy used to be a championship player.

5:30pm - you go back to your workstation to save everything down and make sure things are running.

6:00pm - the fixed income electronic markets open back up (they are 23 hour markets) to check that all the diagnostics are running. You go home as soon as everything checks out.

note: as a prop-side quant your day is somewhat less structured. That means you really need to be driven to do your research and develop new ideas on your own. It's like being a really well paid academic. You don't have others pushing you to do something right as much as you do on a sell-side desk. Typically you need more background for this sort of work too. Usually you see PhDs who did their dissertations in a relevant or exotic fields (exotic because they tend to bring ideas that are unique and methods that are different from the usual tools known to the finance world). You probably will need to be able to program your own stuff (most PhDs in technical fields learn sufficient programming).

Hope this helped. Feel free to e-mail with more questions.