I don't know about stocks, but I called a couple of futures firms, and they told me that most have a company policy that brokers can't trade their own futures accounts. I think this is because the CFTC / NFA require that if a broker trades his own account, then someone from that company needs to monitor the trading to make sure that the broker isn't "front-running" the orders of his clients, which is obviously illegal. My guess is that most companies don't want the hassle of having to pay somebody to monitor their brokers.
No, I am currently writing my thesis which includes developing some models. I trade myself but thought that working at a big company would allow me to leverage on the resources and knowledge that they already have. That might accelerate my learning curve... no? Thank you all for your thoughts. PS: A friend of mine, she is an investment banker and doesn't buy a single stock mainly because she is not interested/doesn't have the time, but she told me that in case she wanted to buy some stock she would have to inform her company in advance and get permission to avoid problems related to insider information.