Experienced quants: what kind of Math/Comp Sci/Stats/Econ do you actually use in quant trading and finance?

As a freshman in university, I always hear about how you have to be really good at math/comp sci/stats/econ and other quantitative subjects to do well in quant trading, but no one ever goes into specifics.

So my question is, what kind of math/comp sci/ stats/econ do you really need/use in your job? And out of these "big 4" subjects, which 2 would you think are the most important for a successful quant?

Math: Do you need: Addition and subtraction? calculus? linear algebra/numerical linear algebra? ODE's and PDE's? Advanced numerical analysis? stochastic calculus? discrete/continuous optimization?

Stats: basic probability? measure probability? applied regression analysis? Econometrics? Applied linear models? Longitudinal data models?

Comp Sci: This one in particular, do quants just need to be good at basic scientific computing and algorithms, or do they actually need to know how systems, networks, etc... works as well?

Economics:Intermediate theory and econometrics or more than that?

 

Have you considered Engineering and Physics?:)

“It is our fate to be tormented with large and small dilemmas as we daily wind our way through the risky, fractious world that gave us birth” Edward O. Wilson.
 
crowe:

Have you considered Engineering and Physics?:)

<span class=keyword_link><a href=/resources/skills/trading-investing/fill-or-kill-fok>Fill or Kill</a></span>:

The original quants were physicists. This forum always neglects to mention physics in threads like this, but so many quant models have their roots in physics.

Hi everyone, thanks for the comments so far!

Crowe and Fill, unfortunately, my school does not have an good engineering program at all, but it does have a top notch physics program and a top notch Econ program. But if both programs are comparable, you would choose the physics major over the Econ major? Or would you prefer Econ major with classes in physics? Or physics major with classes in Econ?

My dilemma is pretty much trying to spread out my meager 4 years amongst math, stats, Econ, comp sci, and physics. I am incredibly interested in all of these, but still have very little time.

 

I advise not asking this question on quantnet since the math community in general doesn't approve of aloof questions.

Have you taken a college math course yet?

You can't study stochastic calculus without measure theoretic probability. PDE's are also a subset of stochastic calculus. Stochastic calculus comes out of derivatives pricing models. A "quant trader" can be a whole slew of different people. A guy using mean reversion techniques could label himself a quant trader. A guy using advanced algorithms to signal buy/sell could be a quant trader.

You should take math courses first so that you have more informed questions. Math people in general don't like people who abuse the subject by just throwing out a whole bunch of terms they know nothing about. You may not have even seen regular calculus so does stochastic calculus even mean anything to you?

You're getting into questions that come after calculus, analysis, probability, differential equations, partial differential equations. Look for inspiration to get through calculus 2 if you haven't done it yet before you get into all this.

 
Best Response
jktecon:

I advise not asking this question on quantnet since the math community in general doesn't approve of aloof questions.

Have you taken a college math course yet?

You can't study stochastic calculus without measure theoretic probability. PDE's are also a subset of stochastic calculus. Stochastic calculus comes out of derivatives pricing models. A "quant trader" can be a whole slew of different people. A guy using mean reversion techniques could label himself a quant trader. A guy using advanced algorithms to signal buy/sell could be a quant trader.

You should take math courses first so that you have more informed questions. Math people in general don't like people who abuse the subject by just throwing out a whole bunch of terms they know nothing about. You may not have even seen regular calculus so does stochastic calculus even mean anything to you?

You're getting into questions that come after calculus, analysis, probability, differential equations, partial differential equations. Look for inspiration to get through calculus 2 if you haven't done it yet before you get into all this.

Jk

I apologize for being a noob. Again, I am only a freshman in university. I am currently taking the analysis sequence at my school. 1 month from now we will be starting lebesgue theory so, yeah, up until this point I have no real experience with measure theory at all besides the basic premise. My (possibly misinformed) impression of stochastic calculus is that it's just regular calculus except instead of spitting out a number, you spit out a distribution and integrate with respect to Brownian motion.

Basically, I'm trying to plan my curriculum to best pursue my ends and I was wondering which of these disciplines are the most important with just 4 years to learn. I've heard all sorts of word of mouth advice from students on campus who are arguably just as ignorant as I. I've heard you can't be a quant without comp sci. I've heard physics is the best route to go and Econ is useless for a quant.

I really just want to sort out the facts with guys who actually work in the industry.

 

Any mathematician in industry needs programming. I can't think of a job in industry mathematics where you literally just have pencil and pad and solve problems/prove existence of functions.

The only reason there are physicists on wall street was the modelling skills of physics were most relevant to modelling the large random data sets of finance. Look up Ito integral by the way because idk what your definition really means.

If you really are that far along in maths look at Bermt Oskendal's stochastic differential equations book or Shreve financial maths 1.

The basics are in Hull chapters 11,12,13 for simple knowledge of the concepts that go into B-S-M model. A math undergrad is necessary. Physics majors don't cover any real math at undergrad compared to math majors. Classical physics is a waste of time. If you are a math prodigy then spend the next 4 years attempting to get through Brownian motion and Stochastic Calculus by Kartzas and Shreve.

On top of this learn C++, python, matlab, and stata over the next 4 years. Look at the MFE courses and prerequisites. Many of them have sample lectures online, watch them, eat, sleep breathe maths/programming for four years. And recognize immediately that mathematicians don't ask such basic questions. Your job is to answer these questions for others and solve problems.

 

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