Every move, career, personal, etc. requires some degree of risk for a potential reward; If you are really dedicated to learn the market(s), one must weight the pluses and minuses of making the move to nyc area to grow and achieve. Many years ago I weighed the same, chose to make the move and have never looked back. Just my two cents. If things don't work out initially, I am sure there are many jobs you can take till you find the correct one that will put you on the path you seek. NYC has many opportunities for the young, eager, hungry, educated individual.
I'm presuming you're in your early 20's. I can't think of a better time to assume some risk in moving to NYC without a job in hand. Security is the last thing you need right now. Find a room to rent. Live in the burbs and take the train. Sofa surf at friends houses. Whatever you have to do to get by while you pound the bricks for an entry-level trading job. I wish you the best of luck. Traveler