Hi all - please excuse the erudite nature of this post. Have done a good deal of scouring, and had a few idiosyncratic circumstances I'd love to glean some perspective on.
I'm currently an interest rate derivatives trader at large investment bank, four years out of undergrad (econ/social sciences dbl major). I largely trade a proprietary/discretion-based book (i.e, make PnL based on fundamental/technical theses/trade ideas). This style of trading rankles me for two reasons: a) it's incredibly stressful, and b) I believe the world of proprietary trading is moving away from irrational human/discretionary traders sitting in individual silos and ultimately toward a quant/algo structure. What I love the most about my role is the macroeconomic nature of the markets I follow, and being able to formulate large scope theses and allocate assets/risk based on this. Still, I want to be in a role where I'm looking at the big picture more quantitatively and systematically. Moreover, I have a very strong/nuanced understanding of the markets, pricing mechanics, etc. The caveat however: my math acumen is limited to calc (1-3), linear algebra and ordinary differential equations; i.e. my college-level classes, with very limited statistics and almost no programming experience. Hence, I'm considering a quantitative M.A at Columbia to fill in these gaps. With this in mind, I'm trying to jump out of the world of discretionary prop trading to do either of the following:
a.) Become a pseudo discretionary/systematic/quantitative portfolio manager/asset allocator: I want to be able to merge my macro strength/understanding of the markets/global economy with a more nuanced quantitative and systematic approach. I don't think I would be the Physics PhD-type (whatever that implies) given the amount of my career (4 years) I've devoted to trading the markets and developing idea expression through asset allocation, but I'm deeply intrigued by the process of creating/developing the fundamental inputs, technical signals, and data points into a robust algorithm that can then be tweaked and implemented. Perhaps I wouldn't be the one creating the algo from scratch, but I'm interested in understanding an algo's ins and outs, having some sort of say into the flags and inputs that drive it, and ultimately finding the ideal asset classes/trades to express the algo's findings. My programming is limited to creating pricing models in VBA, but I'm thoroughly interested in programming and developing a strong skillset therein (whether it means learning Python, C++, etc.) Does such a role exist in a quant fund? A birds eye, top-down macro-focused synthesis of a trader/portfolio manager and a quantitatively oriented investor? Given my interest and end-goal (a mouthful), and my relative lack of advanced math, what type of quantitative M.A would you recommend (if any?) Statistics, mathematics of finance, MFE? I would basically be doing the M.A while working (so 2-3 years hopefully no more).
b.) Jump into finance/macroeconomic academia: as stated above, I have a strong passion for financial economics/macroeconomics and political economy. In a different route from the above, I would ideally pursue a career in finance academia as an end, with the means being a PhD in a top 10 b-school/finance program. With this in mind, which type of M.A program do you think would give me the math/stats coursework needed to be a competitive applicant to a top finance PhD program? Stats/MAFN/MFE?
Apologies for the lengthy nature of this post - just most of my career anxiety condensed for the first time into written form.
Thanks!
I'm currently an interest rate derivatives trader at large investment bank, four years out of undergrad (econ/social sciences dbl major). I largely trade a proprietary/discretion-based book (i.e, make PnL based on fundamental/technical theses/trade ideas). This style of trading rankles me for two reasons: a) it's incredibly stressful, and b) I believe the world of proprietary trading is moving away from irrational human/discretionary traders sitting in individual silos and ultimately toward a quant/algo structure. What I love the most about my role is the macroeconomic nature of the markets I follow, and being able to formulate large scope theses and allocate assets/risk based on this. Still, I want to be in a role where I'm looking at the big picture more quantitatively and systematically. Moreover, I have a very strong/nuanced understanding of the markets, pricing mechanics, etc. The caveat however: my math acumen is limited to calc (1-3), linear algebra and ordinary differential equations; i.e. my college-level classes, with very limited statistics and almost no programming experience. Hence, I'm considering a quantitative M.A at Columbia to fill in these gaps. With this in mind, I'm trying to jump out of the world of discretionary prop trading to do either of the following:
a.) Become a pseudo discretionary/systematic/quantitative portfolio manager/asset allocator: I want to be able to merge my macro strength/understanding of the markets/global economy with a more nuanced quantitative and systematic approach. I don't think I would be the Physics PhD-type (whatever that implies) given the amount of my career (4 years) I've devoted to trading the markets and developing idea expression through asset allocation, but I'm deeply intrigued by the process of creating/developing the fundamental inputs, technical signals, and data points into a robust algorithm that can then be tweaked and implemented. Perhaps I wouldn't be the one creating the algo from scratch, but I'm interested in understanding an algo's ins and outs, having some sort of say into the flags and inputs that drive it, and ultimately finding the ideal asset classes/trades to express the algo's findings. My programming is limited to creating pricing models in VBA, but I'm thoroughly interested in programming and developing a strong skillset therein (whether it means learning Python, C++, etc.) Does such a role exist in a quant fund? A birds eye, top-down macro-focused synthesis of a trader/portfolio manager and a quantitatively oriented investor? Given my interest and end-goal (a mouthful), and my relative lack of advanced math, what type of quantitative M.A would you recommend (if any?) Statistics, mathematics of finance, MFE? I would basically be doing the M.A while working (so 2-3 years hopefully no more).
b.) Jump into finance/macroeconomic academia: as stated above, I have a strong passion for financial economics/macroeconomics and political economy. In a different route from the above, I would ideally pursue a career in finance academia as an end, with the means being a PhD in a top 10 b-school/finance program. With this in mind, which type of M.A program do you think would give me the math/stats coursework needed to be a competitive applicant to a top finance PhD program? Stats/MAFN/MFE?
Apologies for the lengthy nature of this post - just most of my career anxiety condensed for the first time into written form.
Thanks!
Doesn't have to be a 2-3 year drawn out process
