Summer Internship in Computational Finance

Kane Capital Management (KCM) has up to 8 openings for students
interested in a summer internship
(http://www.kanecap.com/internship/index.html) in quantitative
finance. KCM (www.kanecap.com) is a market-neutral quantitative
equity hedge fund located in Harvard Square in Cambridge,
Massachusetts. The internships will run for 12 weeks. We are flexible
about starting/ending dates, but prefer that interns begin no later
than May 26th. Pay is $800 per week.

The ideal applicant will have significant computer programming
experience. Do you learn new programming languages for fun? Is Perl
your friend?  If so, then we would like to hear from you. A background
in statistics is useful. A few economics classes never hurt
anyone. But the key requirement is the ability to make the computer do
what you want it to do.

We are especially interested in hearing from freshmen. We hope that
the internship will lead to part time work during the school year and
more work in future summers. But that depends on how much we like you
and how much you like us. Applications from sophomores and juniors are
also welcome.

The work is almost all programming related. In simple terms, we want
to determine what the price of a share of IBM will be three months
from now. Doing this is mostly a matter of statistics. Doing good
statistics requires accurate data. Gathering, combining, cleaning and
sorting data is much harder than you might think. We need your help.
We use Perl for data processing and PostgreSQL for data storage. You
would spend most of you time working in R (www.r-project.org). You can
get a sense for the job by checking out the open source packages for R
that we and previous interns have created.

http://kanecap.com/publications.html

You may spend part of the summer working on these packages.

This is a good internship for a computer-savvy student interested in
finance, as opposed to a finance-savvy student interested in
computers. We expect you to know programming. We will teach you
finance. There may also be some library research involved as well as
various goofy side projects. For example, our interns have spent time
on things like:

http://wso.williams.edu/wiki/index.php/Elimination_of_fraternities
http://en.wikipedia.org/wiki/Rubin_Causal_Model
http://lancetiraq.blogspot.com/

If you are looking for a fancy Wall Street firm where everyone dresses
well and talks smoothly, KCM is not the place for you. Our office is
dingy. In the summer, we dress in shorts and sandals. Tie-dye is our
official firm color.

To apply, send an e-mail to david .at. kanecap.com. We do not need a
fancy cover letter or beautifully formatted resume. We need you to
describe, in detail, your programming experience and style. What is
your favorite editor? Have you used source control? What do you think
of test cases? Which operating system do you prefer? What computer
science classes have you taken? What programming jobs have you done? 
If these questions make no sense to you, then you are probably not the
person that we are looking for.

A further requirement will involve using R and our other tools for one
of your classes this spring. We realize that this is a pain, but one
of the reasons that we are able to offer such an unusual internship to
younger students is that we ensure that they are ready to go to work
from Day 1. Harvard students will be required to take GOV 2001. 

http://gking.harvard.edu/g2001syl/syl.html

Williams and other non-Harvard students will either a) Take GOV 2001
via the Harvard Extension school (we will pay the fees for this) or b)
Take a local course that offers similarly rigorous training, either on
its own or in conjunction with independent study on your part. STAT
442 is a reasonable choice for Williams students. In your application
e-mail, you should explain what class you intend to take.

We expect you to use the same tools that we use for whatever class you
take this spring. Those tools are R, XEmacs, ESS (Emacs Speaks
Statistics), LaTeX, Subversion and a UNIX-like operating system (Linux
or Mac). See this pdf
(http://www.kanecap.com/internship/kcm_intro.pdf) for details. We also
expect you to do a finance related project for your class (even if
your class does not require such a project). Feel free to ask us (and
your fellow interns) questions about any of these requirements. We
realize that this is a bother, but it is the only reasonable way to
ensure that you are ready to hit the ground typing come June.