I'm looking for some basic, blunt and very realistic advice regarding the pursuit of a career in the application of statistical modeling for the purposes of trading (be it LF or HF). I know these threads get old, but bear with me. Background: I'm an undergraduate at Indiana University enrolled in the business school (Kelley). My majors are finance, economic consulting and public policy analysis. I will graduate May 2016. I had grown really tired with the prospect of working in consulting or IB (common routes for similar students). I'm not much of a 'schmoozer' (a valuable skill nonetheless). I don't have a traditional background, I spent every summer since 16 fabricating trailers for a family member's small business. I've yet to meet a fellow welder in the finance world but I'm sure you're out there somewhere! In short I really want to avoid the usual bschool route and avoid dealing with clients on a daily basis. I find I grow disinterested quickly by that which does not challenge me. I'm the kid who's never in class if there's no attendance policy but still manages to do just fine. I think anyone who just gets by like that though eventually hits a wall. For me, it was econometrics. We didn't spend a lot of time discussing application, so talking about p-values and logs was boring and I tuned out. Time-Series analysis flipped a switch though. I've always been interested in markets and securities pricing but didn't see how it would connect to a job. I always envied (as many do early on) the idea of becoming a 'trader', whatever that means. Two years ago I scrapped together some left over education money (don't tell mom) and started trading on optionshouse. I gravitated to derivatives immediately as it offered the prospect of returns greater than my fees and lets be honest derivatives are just plain sexy. Analyzing financial fundamentals was a bore though and technical analysis seemed like a lottery. I wanted something measurable and usable for strategy creation. Not a good value pick. Once I was introduced to the idea of model creation with time-series data I was hooked. (The idea of back-testing was something I always saw the value in, I just never had a name for it). I went from being apathetic towards my future to excited about finding the HOW of my passion. I realize the odds are not stacked in my favor, but I don't expect anything to happen quickly. With mathematical finance you either can or can't. There's no faking it. Education First things first, I am focusing on addressing the problem of really being in the wrong major. I used to see the trader skill set as Finance >> Economics >> Mathematics But its more accurately Computational Modeling >> Mathematics >> Economics (or some ambiguous variant). I've dedicated several hours a day to learning programming. I use R for statistics and have been using the language to both get an introduction to object computing and become an expert in econometric basics. (Statistics with R) I've been working with java, python and c++, really trying to decide which to dive into and become fluent. I've found that I'm learning quickly and the problem solving structure fits my mind perfectly. What is the most efficient and effective method for becoming a expert in CS for quantitative purposes? What skills do you find most important? What do you wish you would have learned? I understand I'm years away from being any use to a firm. Everyone starts somewhere. With that said, I'll be entering the job force in two years. I know I'll need to excel at a comp. fin. master program, but a year a quant does not make. What career route did you find effective? How can I use a three - five year job to prepare for entering a masters program? What skills/experiences will be most impressive to a masters program? Generally, I'm looking for advice and personal experiences. I see myself in a master program in 5-7 years. What would you spend that time doing if you could go back? Advice on what area of mathematics to focus. I'm a math minor (idk if I listed that), but I've read every piece of math course advice in the book. From don't learn stochastic to you'll never work anywhere near a desk without differential (probably true considering black-scholes. Obviously mathematical modeling is a key, I'm enrolled in a course specifically on it this fall. Any resources you find helpful for any relevant subject. I've found many sources but you are the insiders! Feel free to slap me with some reality! In fact, please do. I'm the only one who has to believe in myself - I need you to show me the walls. Thank you in advance for your thoughts. I haven't explained everything so feel free to ask clarification. I'm not an 18 year old who opened eTrade and thinks he's the next Buffett. I'm very serious about being apart of this industry and have a great deal of respect for those who are. Time and effort will get you anything. Again thank you to communities like this. The amount of material available for people like me is astounding.
I applaud your desire to seek knowledge and educate yourself, but the world doesn't really need any more quants. Remember Buffet's quote about derivatives as weapons of financial mass destruction? Anyhow, if you could use your acquired skills to develop a simple model that accounts for the skew and kurtosis found in financial time series data, you would probably earn yourself a Noble prize. Otherwise, just find a way to predict the future based on past data with something greater than 50% precision. Or maybe not, because then all the money would flow to you and the markets would cease to exist.
I'm not sure how you do things, but I don't make decisions based on a statement from the Oracle. Big difference between respect and naive idealization. Smart money is usually managed by smart people, but that doesn't mean they know what they're talking about 24/7. Even if I did everything as Warren did I'd probably go bust because the world is dynamic, nothing works twice for long and there's 1000 different ways to be 'successful'. So with all due respect to Mr. Buffett, as far as I'm concerned he can go F$$k himself. If we woke up tomorrow and the derivatives market (using this term loosely) was gone; you and I would have a lot more to worry about than my career prospects. Your hastily written post does bring up a useful point or two. Firstly, if you're scared of derivatives (I really don't know what you're referencing - options, futures swaps? - but as a general rule these products help manage risk. ) your advice in unwelcome. "derivatives as weapons of financial mass destruction?" Get bent you drone. Secondly, the difference between developing strategy through modeling and evaluating economic theory empirically, is to me, an important distinction. I have considered the Phd route and it is not for me. I'm not at an elite institution and I don't plan on spending six years not working at any point until retirement. I spoke last summer with a professor who left trading in Southeast Asia to get his Phd. He said he regretted it dearly and would have been better off in a masters program or sticking to his trades. I applaud anyone who takes the academic route but I am more concerned with practical application. You don't have to be Newton to use calculus nor Einstein to see the SOL as a constant. I'm not looking to develop theory, I'm interested in the application of theory to create more accurate models. Plenty out there do it daily, you don't get honored in Switzerland just for pulling in some profit. I think its clear I don't consider myself capable of changing economic thinking, nor was I looking for information regarding that. So again, get bent. I know there are those out there who see my thinking process and have some proprietary experience or knowledge to share. (Though I acknowledge naiveté on my part, considering I'm an amateur at best.) I look forward to those replies.
nuclearphynance.com You are in the wrong place here. They got what you want above. Tread lightly, use the search function and dont be a tool... Good luck.
Thanks for the redirect. Much more focused site - excellent resource. Sorry I'm a forum novice as I'm sure you noted. Again thanks.