CS PhD seek advice on Quant Career

[Microsoft Research]

I'm a 4th year PhD student in Computer Science. My research interests are machine learning and data mining. I've interned at Microsoft research and Google and found it no more interesting doing research in IT.

I have a little bit background on Finance. I've taken courses including financial engineering, stochastic processes and other finance courses. I'm wondering how should I start my career as a quant researcher in major IBs? What knowledge should I prepare (say courses) before interviews?

I know there are lots of expert here. So any inputs are welcome. Thanks.

 

[Andy Nguyen]

Read all the books in this list Master list of useful Quantitative Finance books - QuantNetwork - Financial Engineering Forum
Get some exposure in finance by getting an internship, working part time, etc
Do you know what you want to be a researcher in ? Any specific asset class ?
Since you have to finish your PhD degree and at 4th year, there aren't much courses for you to take anymore. You probably in the stage of doing your thesis so the best way would be to find some topic that can be applied in finance. Maybe technical analysis would be a good fit. Get a book by Prof. David Aronson.

For most CS PhD, a job at MS or Google would be a dream. Are you sure you would not find doing research in finance just as boring as research in IT ?

 

[DominiConnor]

You have some of the basics for algorithmic trading. Personally, I'd see if you could get transferred to MS research in Cambridge who have good links to some large banks.

I'd look at signal processing, and of course you will need to learn how to program in C++.
Sadly, it is the case that I've had to say to some CS PhDs that they actually just need to learn to program, and then move on to C++.

I'd steer clear of TA, but Market Microstructure ought to be on your reading list.

Be aware that the quant ends of several large banks don't count CS as a relevant PhD, at you will need to dodge those who want to suck you into a code monkey role.

 

[Microsoft Research]

Andy and Domini,

Thank you very much for your advice. I'll certainly consider your suggestions. I appreciate it.