Eric Wepsic is a vice president in Proprietary Trading at D. E. Shaw & Co., New York City, which is located between Times Square and Rockefeller Center. His job is to look at proprietary automatic trading strategies. "I find and evaluate new trading models which are used as components of strategies or as stand-alone strategies," he explains. "The purpose of the automated trading strategies is to trade in such a way that D. E. Shaw & Co. makes as much money as possible while minimizing risk."
"I work in a group of programmers, quantitative researchers, and traders. My fellow quantitative co-workers and programmers have Ph.D.'s, master's, or bachelor's degrees in computer science, mathematics, and similar disciplines. The traders have a variety of educational backgrounds, technical and non-technical. Though my job is fairly fast paced and exciting, the office environment in my division manages to be casual, intellectual, and pleasant."
"Generally, I spend a lot of time thinking about finance and financial mathematics, and a fair amount of time on statistical analysis. In order to do this, I spend a fair amount of time programming, which I think of as the way I express my ideas. I also advise others who are doing similar jobs to mine, pointing them in the right direction and helping them avoid mistakes."
Eric has a B.A. and M.A. in mathematics from Harvard University. He joined the company in 1994 when he finished his master's, finding out about the job from a friend who worked at D. E. Shaw & Co. "I wanted to do something more fast-paced and with more applicability than graduate school," he explains. "Also, I like the fact that people actually care about what it is I do here. In my work, I generally use mathematics as a way of looking at the world; the philosophies and skills that I've acquired come in very handy. For example, I might use the 'idea' of a proof by contradiction in making a business decision."
Eric gives an example of the type of problem he works on: "I'll give a management-oriented example. We have trading parameters in our system. Sometimes, we wonder whether we could improve these parameters, and, if so, by how much. Suppose our current setting of a parameter is 120, and our system makes $5 million / year. If we find out that the ideal value of our parameter could be as small as 115 and as much as 125, what would determining the parameter more accurately be worth? Is it worth doing, if it would take a year?" Check out his answer!
In general, Eric encourages any student to "think about what you want to do and why, and what, if anything, you want to accomplish with your life. Since you are going to spend 2000+ hours/year at your job, your career choice is important. I can't emphasize this enough."
As preparation for working in finance, Eric mentions a number of courses. "Proof-oriented courses are very important. Courses in statistics, calculus, linear algebra are useful for their subject matter. Programming is very helpful. If you can't program, you'll have a hard time doing what I do."
"In reality, though, what we look for in mathematicians is problem-solving ability. You might also be able to get that from crossword puzzles and games magazines, but mathematics was the key for me, as it is for many other young people."
