Aspiring Quant - the math way or the econ/finance way?

[donny]

Atleast 2/3rd of the research published in some form of empirical work. ...

... a PhD Math student will have the opportunity to do research with a professor in the finance department...that is a really far stretch. It almost never happens...

Hey Joy Pathak. So I was reading your reply and correct me if i am wrong, the conclusion I seem to make is that these highly scientific highly advance mathematical techniques aka the ones I mentioned, Machine Learning, PDE, Signal Processing, are only present in the corporate firms such as DE Shaw, Renaissance and Winton Capital. From your post, it seems like these breed of quants have no place in the university. They need a Math PhD but can't find work at the Finance department. And maybe they take some finance classes but they are highly empirical. No room for fancy analysis there.

Thinking about it. It seems to be true thereby concluding that the path to those firm is very narrow confirming the common mandate that "scientist are going to Wall St". If such a method by some guy in the Electrical Engineering department found a way to make tons of money through automated trading, he'll probably only publish the scientific part and not the application part. Why? Not much use having a finance related application in the IEEE or ACM correct.

---------- Post added at 10:58 PM ---------- Previous post was at 10:52 PM ----------

If you are aiming for finance, do a PhD in a related area -- such as the numerical analysis of PDEs.

This seems to clear up a misconception which I also had early. I mean I read interviews saying people with a PhD in number theory going to finance because all those firms want the 'really smart people'. But then I thought to myself, PDEs seem SO MUCH closer to finance than number theory.

But may I enquire a little further. How much do you think a dissertation in PDE, and I mean the content in the dissertation itself, has applications in finance. I know it definitely varies depending on the title. Can there be a case where a guy, like me, spends 3 years writing a dissertation such that it has FULL applicability in quant trading. He can take the concept, code and run the algorithm.

Yes, PhD in PDE aid the learning. But can a revolutionary idea, deed worthy by faculty in the Math department, takes it origins from problems in finance. Because if such problems exist, the ones that come from finance but cast in math, I'm SURE to fire all abstract ideas - functional analysis, topology(?), differential geometry - at it. Just makes me happy knowing those otherwise unrelated classes have its uses later.

Thanks.

 

[Joy Pathak]

Hey Joy Pathak. So I was reading your reply and correct me if i am wrong, the conclusion I seem to make is that these highly scientific highly advance mathematical techniques aka the ones I mentioned, Machine Learning, PDE, Signal Processing, are only present in the corporate firms such as DE Shaw, Renaissance and Winton Capital. From your post, it seems like these breed of quants have no place in the university. They need a Math PhD but can't find work at the Finance department. And maybe they take some finance classes but they are highly empirical. No room for fancy analysis there.

Thinking about it. It seems to be true thereby concluding the path to those firm is very narrow confirming the common mandate that "scientist are going to Wall St". Think about it, if such a method by some guy in the Electrical Engineering department found a way to make tons of money through automated trading, he'll probably only publish the scientific part and not the application part. Why? Not much use having a finance related application in the IEEE or ACM correct.

That is not entirely what I was saying although bits of it yes.

I was merely suggesting that it will most likely not be possible to do research in those topics as a PhD student in FINANCE at a decent school. You will have to do Mathematical Finance research as a PhD student in MATHEMATICS or STATS , etc. You could be an OR PhD student also I suppose as is the case at many universities.

It will be close to impossible to get a position at a top 20-25 school as a PhD Math or Electrical engineering or Stats or OR even if you take a few finance courses or do Mathematical Finance. Majority of the people do empirical finance research in finance schools and they prefer taking their own kind, which is PhD Finance.

If you go get a PhD focusing on the mentioned topics, your best shot would be to either shoot for a professor position in the math department or go into industry. The firms you mentioned are some of the most elite. There are several firms.

I just know a bit about how it is in the business schools in regards to hiring of professors. I don't know much about others, although I will mention that there are SEVERAL (more than you can imagine) PhD's in Math/Stats/EE/Etc that graduate every year compared to the faculty positions available.

If you want to be a prof at a business school go do a PhD Finance from a good school. What will it take to get into the firms you mentioned? I donot know. If it helps, one of my friends friend was picked up by Ren Tech after he worked at Goldman for 2 years. He has a PhD in Math from MIT.

Also, there are exceptions to what I said, and some famous ones I might add, but the general point stands.