Computer science courses for algo trading

What are some of the computer science courses that an Economics/Finance major should take at minimum in order to be knowledgeable enough to join a non-top 10 HFT/quant prop firm?

As of now, I have only taken freshman introduction to computer science yet I am taking a lot of mathematics, statistics and quantitative economics courses.

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Comments (36)

Sep 22, 2011

If you have the math/stats down, then courses which involve c/c++, java, matlab, strata etc. A lot of these places prefer masters degrees though, and to get in, normally one would not go straight from undergraduate, but would have experience at a larger bank either doing research, development or trading.

http://jobs.efinancialcareers.com/job-400000000073...
Here is an example for an entry level trading position. Check out the reqs.

"...all truth passes through three stages. First, it is ridiculed. Second, it is violently opposed. Third, it is accepted as being self-evident."

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Sep 22, 2011

Advanced C++ (C++0X, or actually C++11 now), covering topics like Virtual / Non Virtual Methods, Method Hiding, Covariance, Single / Multiple Inheritance, Pointers vs References, Shared Pointers, Thread Safety / Parallelism, etc.

Low level C programming (IPC - pipes / sockets, static / shared libs, file i/o, fork/exec, signal processing, semaphores, message queues, shared memory, multi-threading)

Advanced networking, mostly related to improving speed.

Sep 22, 2011

Thanks for the response guys, it's quite clear that I should stick to my core competencies rather than trying to re-invent myself over the next few years. As my ex-gf once told me "You're majoring in Statistics? Oh my gawd! That's like one really bad nightmare." I wholeheartedly hold the same sentiment for a masters in mathematics, statistics or computer science.

My goal is to complete a Masters in Finance after a year or two of prop trading experience, however computer science isn't really my core strength. I've gathered that some 'medium frequency' statistical arbitrage desks do take maths, statistics, engineering and even philosophy, finance and economics majors out of undergrad- perhaps I should explore this a bit more by contacting traders at those firms.

I hope to eventually transition to a place like FNYS, or even a Commodities focused/ Global Macro HF or CTA.

Best Response
Sep 22, 2011

you may want to reevaluate your goal. the stuff I listed is just the tip of the iceberg. It doesn't touch on any of the more cutting edge stuff going on. There is a reason HFT shops hire PhD's - they are legitimately driving technological advances in many areas because of their need for speed. As a finance / econ undergrad, you really bring nothing to that table, even if you have 2-3 intro comp sci classes. They want people with years of experience writing C/C++, customizing the *nix kernel, writing customized network protocols (i.e. TCP has a lot of overhead that might not be necessary for a round trip between two servers, etc.)

Someone more knowledgeable than me might be able to speak to the convergence of the financial math piece of it (algo development), and the technological implementation of those algorithms, but based on my exposure to various prop firms, it seems like the two are rapidly blending so if you are indifferent to (or not a rock star with) math or comp sci, you might want to formulate plan B.

I think IlliniProgrammer is a developer at a HFT shop - maybe he can chime in with a more accurate assessment than I've got.

Sep 22, 2011
Macro Arbitrage:

What are some of the computer science courses that an Economics/Finance major should take at minimum in order to be knowledgeable enough to join a non-top 10 HFT/quant prop firm?

As of now, I have only taken freshman introduction to computer science yet I am taking a lot of mathematics, statistics and quantitative economics courses.

In rough order, not all needed but the more the better:

algorithms/data structures
software engineering
computer language engineering
signal processing
artificial intelligence
operating systems/distributed systems

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Sep 22, 2011

not an algo trader, but from my internship experience / interviews / research, depends very much on type of algo (market making vs execution vs investment) and what kind of place you end up at.

a lot of it is just pure programming, but the math is more important than the programming in a lot of cases. i'd just take a bunch of math classes if you're already a decent programmer.

i like machine learning the best out of these, database stuff is useful but you can pick up all you need to know in a week on your own time

Sep 22, 2011

Thanks for the feedback. I've heard of the other 2 but what is investment algo trading? How do these types of algo trading differ from each other? What math classes do you recommend? I was told _not_ to study stochastic calculus.

Sep 22, 2011

i just used investment as a catch-all for non-client algos. both market making and execution are serving clients (either providing liquidity or running their orders). investment might be long-run stuff or statistical arbitrage (probably not appropriate to call this investment) or something else.

you can probably just look up market making and execution algos.

market making, you take the other side of client trades so they can get their trade executed faster, and collect bid-ask spread in the process.

execution, you just reduce market impact by splitting huge orders into smaller chunks to execute over time.

statistical arbitrage: look for correlations, figure out if something seems mispriced relative to other products, then short the overpriced and buy the underpriced.

i'd probably focus on prob-stat stuff and linear algebra related stuff (machine learning is kind of a combination of the two, really).

Sep 22, 2011

Ok, so more probability, statistics, and linear algebra classes... Do you know of any hedge funds that buy and hold? Or would they just be called asset managers?

Do prop shops ever buy and hold or do they only do day and swing trading? Before I got interested in trading I had no idea there were so many types of traders out there!

Sep 22, 2011

Numerical analysis, machine learning and computational finance are all great classes that will give you a really good base for any of the above. In addition to S&T you should look into some of the big stat groups, I know JP Morgan did lots of recruiting at my uni from CS kids for SA spots. I'm not sure about your uni, but if your numerical analysis is applied to finance, you will get plenty of exposure to the stats side. Other than that, sounds like a tough schedule, good luck.

Sep 22, 2011

Hey, thanks. Yeah, I was told that numerical analysis is good to have if you're studying CS. Do you agree with the other post that a math major is more useful than cs? Or do banks prefer cs for trading?

Sep 22, 2011

I can't comment on banks, except that if you're apply to one of the strats and modeling internships, math might be a bit more useful. I think for sales and trading they just look for the smartest people, and usually being good at math is a good signal that you are bright. Numerical analysis is useful because a lot of the work you do is in Matlab, and learning new languages is always helpful. Other than that, someone else will have to shed light on what banks prefer.

Sep 22, 2011

Nice, that's great to know. I had kinda gotten the impression that it might be less about the subject and more about how smart you are, but great to see someone actually confirm it. How about hedge funds and prop shops? I'm guessing they're also just looking for smarts and degree subject is less relevant as long as it's STEM.

Sep 22, 2011
MRCR:

I'm guessing they're also just looking for smarts and degree subject is less relevant as long as it's STEM.

For what it's worth, firms like Jane Street and SIG have been known to hire philosophy (and other humanities) majors out of undergrad.

Sep 22, 2011

None of those courses will hurt, but none of them will be helpful unless interviewed by a programmer type. The heads of these companies for the most part are former pit traders that could not code for the life of them(their opinion matters the most).

Sep 22, 2011

So, if interviewed by these guys, math is better then?

Sep 22, 2011

I agree with @protectedclass , taking some of those courses definitely will make you standout as a candidate and show you are interested in trading, but in terms of actual interview it doesn't matter. Same applies to math. Obviously, they will expect you to know probability and will ask you lots of that, but unless you have on your resume "taken xxxx" then will most likely not grill you on that. You don't need to be able to crush through stochastic calculus to be a trader. Unless you want a software spot or a quant spot (which usually requires an advanced degree) you won't need it.

Taking a bunch of advanced math courses will only help you marginally in terms of interviews. Yes, they do help you build good problem solving skills, which can make brain teasers much easier if you're good, but only in a few instances have I been asked specific math questions (and I'm a math major). The most typical questions (and these only happen at the more quanty places) are stuff from linear algebra, maybe some calculus, and some stats. One thing I can say though is that across the board, every shop looks for how fast you are with mental math. One of the firms I interviewed at straight up said 'numeric ability' is the number one quality they look for. You will never have to use integration by parts on the job, but if you're long/short xxxx delta you need to be able to know in your head how much you need to buy/sell to become delta neutral without thinking twice.

Sep 22, 2011

I've noticed that some firms give arithmetic tests to traders, something like 32.491 / 5.7, and expect a certain number of questions to be answered correctly in x amount of time. Is this kind of test only for prop traders? Would they ask these types of questions for a S&T analyst role?

Sep 22, 2011
Sep 22, 2011
MRCR:

I'm studying computer science and applying to S&T SA internships (or technology ones if S&T doesn't happen). For electives I'm planning on taking database systems, big data analytics, machine learning, numerical methods, and computational finance. Do these courses look right for algorithmic trading roles? Are there any other courses that are useful?

If you're a CS major, you should be supplementing with finance/pure math classes to stand out from the other bajillion STEM majors.

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Sep 22, 2011

Apply for trading positions, that's all you really have to do. Don't get suckered into thinking "I want to work at Goldman Sachs, I can apply for a software development position and lateral to their trading desks", from what I have heard, that is nearly impossible.

As far as course work, make sure you have a probability and statistics course, and a stochastic processes course if you have the background to take it. Partial differential equations should help too. Taking a course on options and futures is fine too, but I was never expected to know anything about them besides what I can learn on Wikipedia in 5 minutes in my interviews except for at one place.

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Sep 22, 2011

Little undergrad coursework will prepare you, maybe Data Mining and Statistics if at all available. Get good grades and work hard. Know how to make your resume stand out

Two things you can do to get where you want. First and most straightforward is get an internship next summer, this will be easier the higher your GPA. Applying begins in October. Any experience will be beneficial, but mind you, your position may pigeonhole you in the future. Ultimately you want to be a trader, and there and quant trading internships, but they are most competitive. Also available are development and research roles, which can lead to trading down the road, but conversely peg you as a researcher. You just do the best you can do.

Second thing you can do, and much more difficult, is start trading yourself. This is where you really learn. There's a good thread on this board about how to start on your own. There's also Ernie Chan's book that tells everything you need to know about running your own small electronic trading fund. This is a LOT of work (just like the real thing), but if you are extremely dedicated the sky is the limit (all the easier if you are a seasoned coder). Regardless of your trading success, after a year or two you would certainly have something to show, to list on your resume, and have a leg up on all your peers with a better GPA. You could surprise yourself.

Read Mark Joshi's guide, excellent overview of what it means to be a "quant"

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Sep 22, 2011

It's unclear what you want to do. Do you like the idea -- or not -- of being a quantitative trader?

Sep 22, 2011

what's a rising junior?

Moving tonnes of product. Making fat stacks.

Sep 22, 2011

Take probability, econometrics, statistics, and macroeconomics

Sep 22, 2011

hi

macroeconomics

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Sep 22, 2011

@dabanobo -- I do like the idea of being a quantitative trader. I'm trying to avoid ending up in non-trading roles and trading roles that are not quantitative and don't involve programming.

@rynofrowan -- "rising junior" means that I will be a junior next year.

Thanks for the course suggestions, everyone. ReardenMettle, I have access to graduate level courses as long as they're not restricted majors, so any suggestions you have there would be great as well.

I've built a tentative schedule for next semester based on all of your suggestions. I'd appreciate any comments:

  • Data Mining
  • Intro to Probability / Statistics
  • Intro to Econometrics
  • Intermediate Macro
  • [Other degree requirements]

I'm taking a few prerequisites as co-requisites here, but I think I'll be able to manage it. I'm trying to get as much applicable knowledge as possible before any possible internship.

@protectedclass -- I can't fit Stochastics / PDE into my schedule right now.

@ReardenMettle -- thanks, I've read Mark Joshi's guide. I've also started reading http://www.amazon.com/How-Became-Quant-Insights-St.... I'll look into the book you mentioned soon.

Sep 22, 2011

You can get plenty more guides and book like Mark Joshi from here
https://www.quantnet.com/forum/threads/master-read...

Sep 22, 2011

So you aspire to work as a quant and are currently entering your final year, yet you still haven't to take intro to probability and statistics? Firstly, most people take that course during their freshman year, and more importantly you should be taking (or should have taken) mathematical statistics instead.

Sep 22, 2011
Macro Arbitrage:

So you aspire to work as a quant and are currently entering your final year, yet you still haven't to take intro to probability and statistics? Firstly, most people take that course during their freshman year, and more importantly you should be taking (or should have taken) mathematical statistics instead.

I actually have two years left, though I am behind where I would like to be in math coursework. I had limited choice in what courses I could take to satisfy my major's probability / statistics requirement. The one I chose takes a calculus-based approach. I'm not sure if this counts as 'mathematical statistics' or not, since I've never heard that particular combination of words.

Sep 22, 2011

Sounds like a 'mathematical statistics' course. Regardless, I think you're about a year behind in terms of math and stats so it will be an uphill battle to land anything related to quant trading for your SA but something you can easily overcome.

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Sep 22, 2011
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