Vital Stats
HOMETOWN: Ramot Hashavim, Israel [a Tel Aviv suburb]
Master's Program:New York University (Courant Institute), Master of Science of Mathematics in Finance
Undergraduate Degree:Bachelor of Science in computer science from Columbia University
Honors: Magna cum laude
Internships: I just completed an internship with a hedge fund, Hyman Beck & Co. The fund I'm working on is a vulture arbitrage fund. We did a lot of derivative trading in foreign exchange. I was doing mostly research, looking at volatility forecasting models, especially long memory models, and trying to see how applying them to various trading strategies would work in terms of P&L.
Mentor: I don't have a role model or a mentor, but I'm interested in what people do, and there are many people who have done really interesting things.
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- Qualifications and Background
- Aspirations
- Beyond the Numbers
Advanced Trading: What did you do in the time between earning your undergraduate degree and attending New York University's Master of Science of Mathematics in Finance program?
Miron: I did a bunch of things. I got a graduate degree in a very unrelated field -- film. I did various types of writing -- screen-writing and others -- and ended up drifting back into computer science after a few years. I worked as a computer programmer for a physical security company called DVTel. And at that time I became very interested in the financial engineering aspect. That's when I decided to go back to school for this.
AT: Interesting career shift from film writer to quantitative engineer. What prompted the change?
Miron: I finished college at a very young age -- 19 -- and I wasn't sure what I wanted to do professionally. Writing was something that I always enjoyed and was passionate about, and I wanted to give that a try. It ended up not being a good full-time career choice -- it's more of an avocation than vocation. I missed a lot of the quantitative work that I had done, and just from reading got interested in finance, so that was the trajectory. It was not something I had expected when I got into other fields, but it's worked out.
AT: How did you finish college at 19?
Miron: I finished an accelerated high school program in Israel at 16 and finished college in three years.
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AT: Why did you choose NYU's master's program?
Miron: I looked at a bunch of them -- the usual suspects. I liked NYU because of its proximity to Wall Street and the faculty -- many of the professors are practitioners. It's an excellent program. I've talked to a lot of people who are very happy having gone there. The connection to the industry had the most impact.
AT: What is your math background? Do you have any prior programming experience?
Miron: I have a bachelor's degree in computer science and I worked as a programmer. In terms of mathematics I have what is fairly standard for a computer science degree -- reasonably advanced calculus but not what you would see in a math degree.
AT: What classes are you taking that will be essential to helping you be more prepared for a job on Wall Street?
Miron: They are all relevant, but some are more interesting to me. Algorithmic trading class, for example, was really interesting. I had a class in continuous time finance, which I liked. It was taught by Dr. Peter Carr [head of quantitative financial research at Bloomberg]. Everything I've taken has been very targeted to the financial industry, and it all has been relevant.
AT: How would you rate your knowledge of the business of financial services, on a scale of 1 to 10?
Miron: I think it's pretty good -- I don't think it's encyclopedic, but I have the broad strokes from listening to people and trying to understand the broad outline of things. I understand how the industry works and who the major players are and how they relate to each other. If I had to give myself a number, I'd say 8.
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AT: Why did you choose to pursue a career on Wall Street?
Miron: I like quantitative finance -- it has all these really interesting open problems, you can create some useful products and there seems to be an ability to apply these theoretical tools to so many fields.
AT: So do you want to pursue a position in algorithmic trading?
Miron: Yes, I think so. It kind of covers the wide swath of things. People have different ideas when they talk about algorithmic trading -- there are different interpretations. But in general that's where I see myself going.
AT: What do you want to focus on?
Miron: The aspect that I like tends to be black-box trading. I like time series analysis. I think a lot of algorithmic trading comes down to the frequency that you trade, so if it is high enough frequency, it almost becomes algo trading by default. Certainly anything related to transaction cost is a big part of algo trading.
AT: Does any particular asset class interest you?
Miron: There is enormous potential for algorithmic trading in other areas, outside of equities. It's easier to do in assets that are not over the counter, but there probably should be a way to work with these techniques. It kind of started with equities, but I can't imagine that it won't be adapted to other asset classes. I don't have a particular asset class in mind. Algorithmic trading works with any asset class that is sufficiently liquid.
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AT: In what areas do you see yourself working?
Miron: I like financial modeling, very broadly speaking, and there are other aspects I'd find interesting. Something like derivatives and working with volatility models, like what I was doing over the summer, is something that I enjoy. That's applicable to anything you want to do with derivatives. If you have a volatility model, it covers the whole swath of things.
AT: Do you have a preference -- buy side or sell side?
Miron: I have no preference for buy or sell side. There are things in either world I'd enjoy doing, and there are things I would not. It's too broad of a category to dismiss at this point in my career.
AT: Name three firms you'd like to work for.
Miron: There are some firms that have a very good reputation, and I'd be interested in talking with them. But I don't have a list at this point.
AT: What do you see yourself doing in 10 years?
Miron: Ten years down the road, I think the things I envision doing are fairly similar but hopefully at a more senior level. I'd like to do something that is research-oriented but applicable to trading. That's what I see myself doing fairly long term.
AT: What three questions would you ask a prospective employer?
Miron: I'd be interested in how a particular department was innovative in the grand scheme of things. What is it that it's doing that other people are not? I'd want to know about the culture of the firm: How does it evaluate whether someone is useful or not, and how does it avoid the trap of using results that can be skewed by excessive risk taking, for example? The easiest example would be for traders: How does the firm evaluate people, taking into account how they manage risk, not just how they've performed for the last year or two? I'd want to know about the firm's risk management philosophies. People have inadvertently manipulated derivatives curves, and it becomes that much trickier to manage risk when your models require a five-sigma event in order to see how they work -- or, more appropriately, to see how they fail.
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AT: What do you like to do in your spare time?
Miron: I am a voracious reader. I like writing, but I don't have that much time for it. Traveling is also a big thing for me; I really like traveling.
AT: Do you have a favorite book?
Miron: The last good book I read was "Middlesex," by Jeffrey Eugenides -- a few weeks ago. I also read a bunch of Margaret Atwood books recently.
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AT: Name one thing you did this summer for fun.
Miron: I just came back from a week in Vermont with my family. That was probably the only vacation-related thing I did because I've been working since the semester ended.
AT: Describe one of your personal goals beyond a career on Wall street.
Miron: I'd like to have a family at some point. Does that count as a future goal?
AT: Choose one word to describe yourself.
Miron: Curious.
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