Last quarter of univ. Help me pick classes.

[tuanvo]

Hello Quantnet forum. I've been reading this forum for the past year, but finally posted because I need your wisdom.

I am graduating in Computer Science undergrad at the end of this quarter, and interested in a career in financial engineering. For some odd reason, there are so many awesome courses this quarter that (I imagine) would be useful. The constraint is that I don't think I can handle the workload. So help me solve this optimization / portfolio selection problem, where the goal is to maximize my preparedness for a MFE program, or, better yet, directly a job in the financial sector (good for a resume). My only work experience is a software internship at one of the "big 4" software companies, so my resume will still make references to school related stuff.

Currently Registered for. (Given classes. Will take no matter what)
Econometrics / Comp Finance Class
Mathematical methods for comp finance

Undecided (Help me pick 2 out of the 4. I need these 2 to graduate)
Nonlinear dynamics / Chaos
The only reason I'm interested in this class is because of the book Black Swan. However, it doesn't seem to be very widely adopted in finance. Would an interviewer even care if I had this course on my resume? This particular class at my university is an applied math class focused on physics / biological systems, so I'm not sure how well this will translate.

Compilers
The project will be building a compiler for a restricted subset of Java. It's not likely I'm going to build a compiler at a finance job, but it would be useful knowledge if I ever need to write a parser for some domain-specific language / scripting language.

Machine Learning
I already took an A.I. course. My friend told me this class contains a lot of overlap, which isn't exactly
an efficient use of time. However, it seems nice to have this course on my transcript when I apply to places.

Digital Sound Capstone
Just a software project class where we build some software related to digital sound. I've already taken 3 other classes with quarter long software projects, so it's not like I should take this class just to have experience working on a software project with a team. The professor is hooking us up with the oculus rift, leap motion controller, and other cool toys we need (would be great project on a resume, I think). Also the opportunity to implement algorithms like FFT.

Thank you very much.!

 

[Keith Tan]

ML and NLD, FTW

 

[Daniel Duffy]

Building a compiler is not useful.

 

[Kann]

@Daniel Duffy
What if you're working with HFT or UHFT.
Couldn't it be usefull to know some low-level stuff there?

I think it's closer to the machine and therefore less latency.

 

[Yike Lu]

Building a compiler is not useful.

The point of taking a compilers course is almost never so that you know how to build a compiler. Ditto for s/compiler/os

 

[Raphael Doyon]

Hi everybody. I have a similar situation and therefore, I would greatly appreciate your help on the following:

In just couple months, I will start the final year of my undergrad and I will have some credits left to choose among a couple of math/stats classes. Given that I would be interested by a master in quantitative finance/financial engineering, and the classes I have already completed, which classes would you advice taking to prepare me/increase my chance of getting into such program?

Here is more details on classes I have taken up to now / am currently enrolled in:
-2 linear algebra classes
-2 multivariable calculus classes
-2 analysis classes
-ODE class, PDE class
-Intro. to probability class, 1 statistics class, probability models class
- Simulation, Linear models, Time series and forecasting
-1 Object-Oriented programming class
-2 Mathematical and Computational finance classes
(I also did some economics and finance classes)

Now, I have to choose 3 classes among the following:
1 - Operations research I : Linear programming, simplex method, duality, Sensitivity, intro. to convex analysis.
2- Real analysis
3-Measure theory
4- Convex and non-linear analysis
5- Advanced Probability : generating functions and characteristic functions, random walks and branching processes, convergence of random variable, martingales.
6-Introduction to stochastic processes
7- Mathematical statistics

Which classes would you recommend among those?

Thank you for your help! It is greatly appreciated.

 

[alain]

whatever you do, don't take the compilers class unless you are forced to do it.

 

[alain]

@Daniel Duffy
What if you're working with HFT or UHFT.
Couldn't it be usefull to know some low-level stuff there?

I think it's closer to the machine and therefore less latency.

The low level stuff that you learn building a compiler has very little to do with HFT.

 

[alain]

Nonlinear dynamics / Chaos
The only reason I'm interested in this class is because of the book Black Swan. However, it doesn't seem to be very widely adopted in finance. Would an interviewer even care if I had this course on my resume? This particular class at my university is an applied math class focused on physics / biological systems, so I'm not sure how well this will translate.

The Black Swan is not the right book about NLD/Chaos. To read a "fluff" book about this topic in finance, check the following book:

http://amzn.com/0805057579

BTW, I love that book. If you want to know more, check these guys and their writings (the main characters in the book):

• Doyne Farmer
• Norman Packard

 

[yetanotherquant]

@All over and over again I see such questions.
There is only one more or less universal answer: it very depends on lecturer.
Do not take any course if a lecturer is bad (s/he may be a great scientist but still a bad lecturer).

@tuanvo
I would take (in order of preference) Machine Learning and Chaos.
There is a big hype in Big Data (in finance branch as well), so Machine Learning may be very helpful.
Compiler design is indeed not useful.

@Rafael.
Either {1,3,6} or {1,5,7}
Check my notes on measure theory: http://www.yetanotherquant.de/#MeasureTheoryBook
If you go thru with pencil in hand, neither 3 nor 6 will be a problem for you.