Linear Algebra Pre-Req Question

[jmlute]

Hi,

I am an undergrad economics student, taking calculus I and linear algebra concurrently. I've never taken a calculus course, but I'm naturally pretty strong in math. Can anyone tell me any specific calculus concepts that linear algebra may draw on, so that I can try to learn them before I run into problems in class?

Thanks

 

[Daniel Duffy]

Linear algebra and calculus do not have all that much overlap

 

[AdamSass]

Everybody takes Calc and Lin alg concurrently. You will be fine.

 

[jmlute]

Okay thanks for the responses. I'm staying in both of them.

 

[Nabih]

Are linear algebra is helpful in Finance?
Can you give examples a financial topic that using linear algebra?

 

[Dataminer]

Are linear algebra is helpful in Finance?
Can you give examples a financial topic that using linear algebra?

Linear programming and NP/SP. Also alot of statistical modelling uses linear algebra. ie regression.

 

[Daniel Duffy]

Are linear algebra is helpful in Finance?
Can you give examples a financial topic that using linear algebra?

Numerical linear algebra is used *everywhere*.

"Linear algebra" is more pure maths and basis for NLA.

 

[Ken Abbott]

Numerical linear algebra is used *everywhere*.

Agree.
Even though we don't necessarily phrase problems in terms of linear algebra, the techniques and overall mindset are omnipresent. Consider that OLS, LP, and QP techniques are linear algebra-based. After basic calculus, it's probably the second most valuable skill to have.

 

[tfors]

Agree.
Even though we don't necessarily phrase problems in terms of linear algebra, the techniques and overall mindset are omnipresent. Consider that OLS, LP, and QP techniques are linear algebra-based. After basic calculus, it's probably the second most valuable skill to have.

Out of curiosity: What would be the 3rd and 4th most valuable math skill to have according to you?

On topic, linear algebra is also used in "big data", basically everywhere you have to work with datasets, since they are usually presented in matrices. and linear algebra is calculating with matrices.

 

[Dataminer]

Out of curiosity: What would be the 3rd and 4th most valuable math skill to have according to you?

On topic, linear algebra is also used in "big data", basically everywhere you have to work with datasets, since they are usually presented in matrices. and linear algebra is calculating with matrices.

also, data compression like svd. all linear algebra. If you are interested in Stat. You might need linear algebra as much or more than calc.

Edit: I think you might need linear algebra more than calc in stat, since higher level data mining/machine learning is really all about linear algebra.

 

[Ken Abbott]

For

Out of curiosity: What would be the 3rd and 4th most valuable math skill to have according to you?

On topic, linear algebra is also used in "big data", basically everywhere you have to work with datasets, since they are usually presented in matrices. and linear algebra is calculating with matrices.

For me, they would be probability, inference, and time series, but that reflects what I do for a living.

Essentially, I believe quants in the finance business fall into two basic groups, the PDE people, who work on pricing models, and the econometricians, who do a lot do the risk work.

I'd be interested in hearing others' opinions on that simple taxonomy.

 

[WilliamM]

Both classes are very important, however learning calculus is a fundamental building block for any quantitative coursework. One thing I would advise is to take linear algebra seriously if you are an economics student planning on taking econometrics or time series analysis. It may seem relatively useless now, but when you start dealing with data sets everything is done in terms of vectors and matrices. For some motivation, a stock price over time will be displayed in a column vector, correlation and covariance matrices are used for calculating relationships between different factors or stocks in your models. I wish I knew this while I was taking the course as I would have certainly studied a little harder.

 

[Polter]

@Ken Abbott Pretty much, http://www.garp.org/media/585808/feb 41-44_quantclassroom.pdf
// There's http://quantivity.wordpress.com/2011/09/21/p-q-convergence/, too.

 

[Jonathan B]

I think Linear Algebra would be best to take only after you haven't taken Single- Multivariable Calculus, Differential Equations and Statistics. I just finished taking Linear Algebra as an undergrad after taking all the classes I just mentioned and can say I appreciated Linear Algebra much more knowing how it connects with those topics (vectors, statistics,ect.). Not to say you won't appreciate it even without those courses, it's just I found the class and topics much more enjoyable being able to relate it to concepts I learned prior to the class. After talking with other students in my class, they all seemed to feel the same as I did.

 

[jmlute]

@Jonathan B

I won't be able to fit it into my schedule if it isn't this semester. I have taken statistics in the past, and my professor is giving me some materials related to vectorial calculus to look over.

 

[jmlute]

I know this is unrelated but I'd rather not start a new thread:

Can someone help me choose a programming language? I am looking for something to build basic economic models, backtest quantitative strategies (related to fundamentals), and to be more productive throughout my career. I plan on working at a HF / AM firm, but may start in banking. I am not planning on HFT / Algorithmic trading.

Thanks

 

[Jonathan B]

@Jonathan B

I won't be able to fit it into my schedule if it isn't this semester. I have taken statistics in the past, and my professor is giving me some materials related to vectorial calculus to look over.

Yeah, that will be nice for you to look over while you're waiting to take the course. Another piece of advice, determine if the Linear Algebra course will be more proof based or application based. At my school though the topics are pretty much the same, some professors will be more demanding of proofs in Linear Algebra, while some will be more understanding that lots of the students in the class might be an engineering major and teach it with more applications. My professor, despite his best efforts to make it an application based course, ended up making it a more proof based due to his background. I'm not saying it was a bad thing per say, but I definitely think students (including myself) would of valued more applicable problems to be done.

 

[jmlute]

Yeah, that will be nice for you to look over while you're waiting to take the course. Another piece of advice, determine if the Linear Algebra course will be more proof based or application based. At my school though the topics are pretty much the same, some professors will be more demanding of proofs in Linear Algebra, while some will be more understanding that lots of the students in the class might be an engineering major and teach it with more applications. My professor, despite his best efforts to make it an application based course, ended up making it a more proof based due to his background. I'm not saying it was a bad thing per say, but I definitely think students (including myself) would of valued more applicable problems to be done.

The course is definitely more application focused. He proves rules by working them out, but made it clear that we will not need to know the formal proofs.

 

[Daniel Duffy]

Yeah, that will be nice for you to look over while you're waiting to take the course. Another piece of advice, determine if the Linear Algebra course will be more proof based or application based. At my school though the topics are pretty much the same, some professors will be more demanding of proofs in Linear Algebra, while some will be more understanding that lots of the students in the class might be an engineering major and teach it with more applications. My professor, despite his best efforts to make it an application based course, ended up making it a more proof based due to his background. I'm not saying it was a bad thing per say, but I definitely think students (including myself) would of valued more applicable problems to be done.

Have you seen these refreshing lectures from Prof. Gil Strang of MIT?

http://ocw.mit.edu/courses/mathematics/18-06-linear-algebra-spring-2010/video-lectures/

 

[Jonathan B]

Have you seen these refreshing lectures from Prof. Gil Strang of MIT?

http://ocw.mit.edu/courses/mathematics/18-06-linear-algebra-spring-2010/video-lectures/

I have glanced at a few of those videos. I think I'm going to look it over on Spring break or this summer. Though thank you for posting the link, its a great resource for those looking into Linear Algebra.