Masters in Statistics vs Masters in Econometrics
Which of Masters in Stats or Masters in Econometrics applies better to the hedge fund industry?
Are there investment or trading strategies used by money management firms that would make HR prefer someone with a Stats background over an Econometrics background (or vice versa)? If so, which strategy type (stat arb, HFT, macro, credit event, options writing, etc.)?
I am trying to decide which of the two choices has the better application to trading, investment/money management, and would appreciate any and all insight (especially from people currently in the industry).
Thanks a mil!
G.
A graduate stats degree definitely doesn't hurt if you're going for a stat arb fund. Some of their strategies use some pretty advanced techniques from time series analysis. I know a few people in stat arb funds with stats backgrounds but all of them have PhDs in machine learning or data mining or stochastic control. I'm not sure if a masters is enough by itself, especially if you're applying straight from school.
Either way, a master in stats is definitely a better bet than a masters in econometrics. A lot of the techniques you will learn will be the same (regression, time series analysis etc.) but it will be in a general context in the stats degree and you'll be in a better position to apply your knowledge to a broader set of problems. Of course, everything I just said is completely wrong if your school has a garbage stats department.
^Really? I figured that if hedge funds either take a macro approach or more algo process approch, econometrics would be a more favored degree.
I know some guys at this Canadian macro fund (friedberg mercantile) and they say that when they hire guys with advanced degrees, they like to take people with lots of raw intellectual machinery (i.e. a big toolbox of skills) but no specific knowledge on anything. They say that if they hire an economist (phd in econ), it's too difficult to break the bad habits that you acquire in academia.
In any case, I was talking about stat arb funds in my earlier post.
Thanks guys for quick response.
I have time still to decide and have also been chatting to some acquaintances and reading up on the matter.
Some articles point to Econometrics as it relates to modeling and forecasting, for example, implied volatility, liquidity, and other variables, another to measure pricing bounds to indicate closing trades, another to examine risk WRT kurtosis and skewness (these are the less macro applications I have seen). With Stats I can see how the higher level training would be handy (I am under the impression the training will be more thorough than econometrics), with stats applicable to stat arb, for example (although haven't margins have dwindled considerably since 2002?).
It DOES seem as though Econometrics would better suit Macro and Algo strategies (I'm here to learn though), and Stats to Stat Arb funds. A friend with MSc Stats is currently modeling and evaluating credit risk on mortgage portfolios. Perhaps there are similar positions in funds operating in the credit event space (distressed debt). Luckily I don't have to decide anything right now, but I DO need to broaden my perspective. Any help will be great.
MBP - aside from stat arb funds, can you mention other areas of application WRT stats?
Well, it's difficult to say. Stats is a very broad field. As an example, a friend (stats phd) is finishing up his dissertation in high frequency trading and he has an offer from a top quant fund (DE Shaw/two sigma) as a quant strategist. Another acquaintance has a masters in stats and works at a prop trading firm in options market making.
Any comment on Baruch's MS Statistics out of the Zickland School?
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