How much Math/Stat/CS do you need to know?

Hi guys!

I'm a sophomore at HYP majoring in Econ and a prospective trader. I was just wondering how much Math, Stat or CS you need in order to get into the field? I'm worried that just doing Econ right now will be insufficient for me to break into trading.

Thanks!

 
haxx0r31337:
Would Multivariable Calculus, Linear Algebra, Ordinary Differential Equations, Discrete Mathematics, Probability Theory, Stochastic Processes be sufficient?

What about stuff like Vector Analysis/Real Analysis/Complex Analysis, would those be desirable?

Yes, that is plenty.

 
haxx0r31337:
Would Multivariable Calculus, Linear Algebra, Ordinary Differential Equations, Discrete Mathematics, Probability Theory, Stochastic Processes be sufficient?

What about stuff like Vector Analysis/Real Analysis/Complex Analysis, would those be desirable?

I'd add PDE to your list. Black-Scholes is a PDE derived from the heat equation. This is the foundation of option pricing theory. Maybe Numerical Methods. Though you could be a high school dropout and still beat the market with a little knowledge as long as you're smart.

 
haxx0r31337:
Would Multivariable Calculus, Linear Algebra, Ordinary Differential Equations, Discrete Mathematics, Probability Theory, Stochastic Processes be sufficient?

What about stuff like Vector Analysis/Real Analysis/Complex Analysis, would those be desirable?

Not for a quant, those are all basic level math course which you should have complete by end of sophomore year. Your probably gonna want to take an optimatization class, real anaylyis, risk management, stochastic calc.

"The way to make money is to buy when blood is running in the streets." -John D. Rockefeller
 
mrb87:
Analysis is not useful at all. Stick to comp sci, statistics, ODE/PDE, discrete math and linear algebra. Pretty much in that order, but depends exactly what you want to do.

This is spot-on. I'm a math guy myself, and while I found Analysis (read: proofs-oriented courses) to be mind-expanding, they do not have any applications outside of academia. I disagree that they are useful for getting a deeper understanding of Calculus.

-No comment-
 
cauchymonkey:
altho real analysis is not "used" the mathematician in me questions how well some1 can understand calculus and odes without a basic understanding of the rigorous theory...

I'm taking for granted that someone taking advanced math courses is also taking analysis. You just won't use it in your job, so it's not like you'll have to remember how to prove the Bolzano-Weierstrass Theorem or anything like that.

 

Outside of some intermediate level statistics, learn to be able to code VBA well, know R and/or MATLAB (R seems more common to be honest), get a working knowledge of C++ (you don't need to be a developer, but working knowledge is great) and you'll be very well past the majority of applicants. Excel is still the workhorse of finance, R is extremely useful for analyzing data sets, and C++ is the most common language in trading & finance. Python is easier to learn and could be used as well. You don't need to get to the level where you call yourself a developer, just get a working knowledge to where you can talk shop and understand what is going on and you'll be far past the majority of applicants and provide useful function for a desk.

 

Thanks for the feedback! I did Java and R in freshman year. Learning Python right now, and will try to get into C++ and VBA later. (I don't think colleges actually teach VBA --- are there any good online resources?)

 

I also did econ at HYP ug and had no problem getting offers at BB S&T and prop shops. As others have noted above, having a working knowledge of programming is becoming more and more imperative. Seems like you're in the right track and don't have much to worry about in terms of preparation.

 

Most banks have teams of quants who program things at the trader's whim. However, being self sufficient is never a bad thing, so I have endeavored to pick up a decent understanding of the mathematical and programming side of things along with trading knowledge. It may/may not help you day to day, but if you go to an understaffed HF or a lower tier bank without the support you'd find at other banks, those skills will come in handy. Have seen it first hand, and it makes you a better trader generally.

 
ya boy andy:
Most banks have teams of quants who program things at the trader's whim. However, being self sufficient is never a bad thing, so I have endeavored to pick up a decent understanding of the mathematical and programming side of things along with trading knowledge. It may/may not help you day to day, but if you go to an understaffed HF or a lower tier bank without the support you'd find at other banks, those skills will come in handy. Have seen it first hand, and it makes you a better trader generally.

Not only that, but as a TA or analyst, you have very little to provide a trader on the desk, so learning those skills can quickly set you apart from the group.

On top of that, it certainly increases your skillset in an extremely valuable way. Not only can you quickly get yourself to the level where you can fill 'quant' roles within finance, but you can easily prepare yourself statistical analyst positions in the sciences (lots of pharmaceutical and biotechs recruiting here) and for a junior dev role within or outside of finance, which is a nice hedge in life should trading or finance not pan out for whatever reason. Even mediocre, inexperienced junior devs are earning roughly 6 figures depending on industry and location. Very portable skillset.

FWIW, I think the practical skills of Excel/VBA/R/C++ or Python will take you a lot further in being useful, when you're first starting, then any advanced mathematics. Even my friends that have gone on to do MFEs and similar programs @ CMU, Columbia, Stanford have mostly been used for their practical skills the first year on the trading desk @ various quant funds and HFT shops. There are people at top BBs, Citadel, AQR, etc.

 
Best Response

Echo what Jerome says: practical programming skills are really what set you apart when you first start if you're doing a straight out of undergrad gig. The days of random PhDs in Physics/Math with no prior finance experience being hired for their ability to numerically solve PDEs for exotic derivatives pricing are probably over for now.

A very solid grounding in probability theory (touch upon measure-theoretic probability and have a good understanding of stochastic processes) is probably the most useful, and problems in probability and combinatorics will get you past 90% of the brainteasers asked. Numerical methods in PDEs are nice but not essential and they have the occasional PhD to do that; stuff in optimization is actually fairly practical too--you will be stunned at how many people just blithely assume Excel Solver can do a lot of things and think they understand "optimization" when they can' t even describe how the simplex method or gradient descent works.

But focus on learning one of each: C++/Python and R/Matlab and be good at Excel/VBA.

 
syntheticshit:
Echo what Jerome says: practical programming skills are really what set you apart when you first start if you're doing a straight out of undergrad gig. The days of random PhDs in Physics/Math with no prior finance experience being hired for their ability to numerically solve PDEs for exotic derivatives pricing are probably over for now.

A very solid grounding in probability theory (touch upon measure-theoretic probability and have a good understanding of stochastic processes) is probably the most useful, and problems in probability and combinatorics will get you past 90% of the brainteasers asked. Numerical methods in PDEs are nice but not essential and they have the occasional PhD to do that; stuff in optimization is actually fairly practical too--you will be stunned at how many people just blithely assume Excel Solver can do a lot of things and think they understand "optimization" when they can' t even describe how the simplex method or gradient descent works.

But focus on learning one of each: C++/Python and R/Matlab and be good at Excel/VBA.

Syntheticshit,

I was wondering if you could maybe give an example of how the 3 programming groups are linked (C++/Python, R/Matlab, Excel/VBA) for a trader. I pretty much do all of my work in excel right now and have been learning VBA. I understand that R/MATLAB is great for Stat analysis but where exactly does C++ and Python fit into the mix of this all?

 

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