Econometrics?

[Zeuge]

How important is this class for financial engineering/quant finance positions?

 

[Jingxuan]

it applied statistical theories, esp. central limit theory, and hypothesis and tests using classical test statistic like likelihood ratio, Bayes, Wald, etc., to the economics studies. it talks about asymptotic distributions of these statistic thoroughly as well as programming. It also deals with time series analysis. I have taken this class which is a good way to review statistics and think about its various applications.
some quant recruiters put econometrics specifically as basic requirements on their job ads while others don't.

 

[TATW]

it applied statistical theories, esp. central limit theory, and hypothesis and tests using classical test statistic like likelihood ratio, Bayes, Wald, etc., to the economics studies. it talks about asymptotic distributions of these statistic thoroughly as well as programming. It also deals with time series analysis. I have taken this class which is a good way to review statistics and think about its various applications.
some quant recruiters put econometrics specifically as basic requirements on their job ads while others don't.

Mainly!

 

[snipez]

Buy-side quant positions, quant investing, and risk management roles. Usually starts with regression theory, which should be simple provided you payed attention in your statistics course.

I've been asked about the assumptions of multiple regression and how to test for autocorrelation, but otherwise I've never seen it before in my risk mgmt or trading interviews (I didn't put time-series stuff on my resume though, just metrics). Someone told me it shows up on the MSSM exam but I don't recall seeing it.

 

[Cary Ferguson]

Many back office quants are econ PhDs with their focus being econometrics. I'd say it's one of the main tools for theory and application.

 

[Zeuge]

Many back office quants are econ PhDs with their focus being econometrics. I'd say it's one of the main tools for theory and application.

Back office quants? So econ PhDs have a lower salary in the private sector than MFE grads?

 

[Cary Ferguson]

Back office quants? So econ PhDs have a lower salary in the private sector than MFE grads?

I wouldn't think so. I'm pretty sure there's economics PhDs deciding what the models should do based on research in statistical arbitrage. I don't think an MFE is near as qualified for that. From what I know, which might not be much, these research roles are heavily compensated compared to typical back office gigs.