How much math is enough math?
I am currently an undergrad at a top tier state university. I have been reading some of the forum entries about trading and have read repeatedly the need to be quantitatively minded to find a job in trading... thus, I was wondering how good do you have to be at math? I can do mental math pretty well, not lightning quick, but I enjoy math and can do it pretty well if I put my mind to it. Do you think that is enough, given the requisite amount of ambition and hard work?
I think it's incredibly important that you learn topology and stochastic calculus.
Studying mathematics teaches you how to think abstractly. You sure as hell won't be using topology, but if you can learn it -- the world is pretty damn sure you can learn your product.
lol babyj is a fucking retard topology no stochastic calculus yes. If anything take stats/probability courses which includes math stats, combinatorics, stochastic calc, then the more fundamental stuff ie PDE, DE, MVC, linear algebra, and an analysis course preferably complex analysis. Real has no application what so ever. Also take some comp sci courses.
Don't you mean the other way around? Real is a prerequisite for advanced probability theory and stochastic calc. If there are any applications for complex in finance I'd be interested to hear about them.
real analysis has no applications to stochastic calc what so ever. The pre reqs for this class are linear algb, probability, diff eq, and obviously calcs 1-3. You might have to take PDE depending on what topics are covered in your stocha class.
I don't think it's really necessary to learn complex analysis unless you wanted to be some uber quant...
saw this from Paul Wilmott's blog a long time ago, talking about volatility arbitrage
"If you really get into the Heston stochastic volatility model you will find yourself having to do some numerical integration in the complex plane (thanks to the transform methods used to solve the governing equation). This can be quite tricky to do in practice."
guess complex analysis does have relevance
I almost forgot, a strong understanding of Galois representations, moduli theory of sheaves, loop groups, rieman surfaces, hyperbolic geometry, and chromatic hopotopy theory are all absolutely essential.
you also forgot differential geometry, measure theory, and algebraic topology. And I dont think you could get a job without proving or disproving the Goldbach conjecture
take any CS/algorithm design classes, very abstract and more useful than topolgy, although I get that if you can do topology you can learn your product. if your school offers stochastic calc then take it/ audit it/ sit in on it/ anything... only take complex analysis if you need it or just want to see how deep the rabbit hole goes..but remember that ignorance is bliss.
If you're not going to be a quant, don't bother. Take through Calc 3 and Calc-based probability. Spend the rest of your time learning about products and trading. Perhaps you should open an IB account and do some actual trading.
It is important to be good at quick math though. I've had interviewers ask me relatively simple math (what is 6% of 5.3) and ask for a quick answer. This environment requires quick thinking and they will want to see that in an interview.
Real analysis proves you can think; it's actually the framework for measure-theoretic probability. Understanding how differentiation and integration work with regard to normal functions before bullshitting about how it works with stochastic processes is sort of important.
Also depends on what type of PDEs--honestly a classical course in harmonic function theory is probably not that important, but numerical approaches to PDEs is probably important for heavy-duty quant work. Stochastic processes is fairly important, along with time series analysis, if you ever want to not sound retarded on the more advanced desks.
If you want to be a quant, never enough. If you want to be in S&T, whatever you feel gives you an edge while being better than the rest of the applicants.
Over the last few years I can name literally 2-3 dozen people who didn't major in math or any hard science majors and never took beyond multi-variable calc and stat that are in top S&T groups or at great prop shops. People here have to realize that quants and HFT aren't the end-all be all and most people in trading have probably forgotten all they know about stochastic calculus and abstract algebra and the like.
One director of one of the big HFT & algo prop shops that I had coffee with said they basically don't hire many 'traders' anymore and that most of the 'traders' they hire are programmers/quants who help the traders (who are mostly senior level employees and partners) program strategies and the like. He clarified that his shop and others like it are distinctly different from most others that do more screen-based trading or at least grey box trading (think Optiver type MM firms).
High Level Math? (Originally Posted: 04/23/2009)
I have heard that the future of Wall Street will be more quantitative. However, do you think that someone would be at a disadvantage with only a bachelor's degree in a quantitative subject?
And no, I'm not saying I know Wall Street's future.
There's S&T then there's Banking, its not a one size fits all Wall Street requirement; math requirements are totally different. It's pretty obvious, depending on where you want to be on WS, is where you develop the necessary background; i.e. the value of doing an honors in Math is very low for banking.
I know it's not very necessary for banking. I meant for S&T. Sorry.
Isn't this the same as asking if we'll be stupider in the future?
Quia cum ex dicta blanditiis quia ea. Nihil modi nam sunt repellat expedita. Sint perspiciatis aut quis ad harum pariatur.
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