Do (if so which?) trading desks on the sell-side use econometrics alot
Cause I would like studying more of regression diagnostics, non-linear dynamics, analysis of real time series, etc at a higher level.
What are the limitations of their application to finance and in what type of analysis of what type of markets are they currently applied.
who can answer what I'm babbling about?
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i did a fair amount of
i did a fair amount of econometrics in school. it's used more to build pricing models on the quant side, and can be applied to almost any market - rate curves, default risk, derivative pricing, etc.
it is not a useless subject for a trader to study, however, because it gets you thinking critically about sets of data and trends, but you won't be doing actual econometrics as a trader. some desk researchers and strategists are prone to whipping out slightly advanced stat, but there are just as many who are more intuitive/qualitative.
these are just my observations - rates and derivatives guys may shine some more light on this
Stat Arb and Algorithmic
Stat Arb and Algorithmic Trading are some of the applications of Time Series
If you can digest Hamilton in Time Series, you can be a quant!
there's a big debate on
there's a big debate on whether GARCH etc. models provide any edge in the market, but it's good know.