Calculus and Quant HFs
Hi WSO! Uni student here interested in the level of math applied at some quant strategy hedge funds. I was wondering if any quant analysts here can give some insight on how advanced the level of calculus is at your fund and how important it is to know advanced calculus on the job. I am asking because I will be majoring in Econometrics and that only requires up to Calculus II. Will I be missing something if I stop there and would be beneficial to go further in my studies with math? I don't mind calculus but have had trouble finding a passion for learning it. Thanks!
The math involved at a quant fund usually goes well beyond calculus. Trying to work at one of the top quant funds with knowledge through only multivariable calculus would be like trying to write an English thesis after learning the ABC's (I'm not trying to offend you and this is clearly an exaggeration, but you get the point).
No offense taken - nice analogy too lol. Thank you for the reply!
Yah you’ll need to be way above the calc sequence. Calculus is a very basic mathematic, for pure quant you’ll need to know Linear algebra, stochastic methods, partial differential equations, regression analysis, etc.
Can you guys elaborate a bit regarding where math as advanced as this would be used. I guess my questions refers more to funds like Citadel's, D.E Shaw's, etc. investment teams - not their market making divisions or anything like that. Are the specific strategies more along the lines of HFT and trading millions of shares a second or does this also apply to their flagship portfolios where I thought this wouldn't be used as much. (please feel free to correct anything I just said)
Not in the industry but write a few algos on the side for fun-Linear Algebra, Probability, and Statistics are the bread and butter.
For HFT, (again, not in industry) ive heard it really is more along the lines of engineering than math.
If you are looking to learn, quite a few professors post course notes on their websites for public use.
its not all equal, as quant can be used in the wrong context amongst some firms. but overall, the amount of math you would need for one of the firms you've mentioned (DE Shaw, Citadel, etc...) would require you to have a masters at the least, and more often than not a PHD in a field that uses high math. The math specifically could be Stochastic Differential Equations, Partial Differential Equations, Probability Theory, Multi Dimensional Optimization, Linear Algebra, and the list goes on and on. I don't work as a quant, but i am currently in your shoes as well, as i have headed back to uni to further my studies in hopes of becoming a quant. I would continue on with your math studies. The Calculus sequence is really just rote memorization, where you will start to see things come into fruition and start clicking is Linear Algebra and Differential Equations (at least for me anyways). I would stick with it, it does get more interesting.
Thank you for this! I will definitely take what you said into consideration.
This varies a good amount. Surprisingly, buyside quant research is frequently less mathematically advanced than sell side quant research. Buyside quantitative research is mostly about forecasting returns and minimizing volatility. Financial data has a lot of annoying properties that make using very complicated/mathematically advanced techniques somewhat dangerous. So in general it's often constrained to quadratic optimization and multivariate regression. However, it's important to have a very comprehensive understanding of undergraduate level mathematics/stats in order to be a quant so you know that you aren't misusing it.
It's definitely a misconception that quants use graduate level mathematics frequently. They mostly do not. The only exception would be those who work heavily with options pricing where there actually is a lot of stochastic calculus involved.
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