M.EE courses that are relevant to M.FE?

[Ohad]

Hi all,

This is my first post here.
I want to switch to the MFR field and now while closing my M.EE thesis I take some courses that seem relevant to M.FE.
I wanted more experienced peoples opinion to seem that I'm not wasting time and effort on courses that I won't use later on.

1.Detection Theory:
1.1.Least Squares & Weighted Least Squares.
1.2.Maximum Likelihood - Single variable , multivarible and bounds.
1.3.Bayesian Estimation.

2.Introduction To Statistical Signal Processing:
2.1. Characterization Of Random Processes.
2.2.Linear Random Processes ( AR,MA and ARMA ).
2.3.Non Parametric Spectral Analysis.
2.4.Parametric Spectral Analysis.
2.5. Filtration ( Estimation ) Of A Random Processes.
2.6.Adaptive Filtration Methods.

3.Random Processes:
3.1.Expansion Of "Regular" Probability Into The Complex Plane.
3.2.Convergance Of Random Sequences And Martingales.
3.3.Stationary Processes And Periodic Processes.
3.4.Random Processes In Linear Systems And Spectral Analysis.
3.5.Representation Of Random Processes.
3.6.Causal , Non Causal Wiener Filtering And Kalman Filter.

Thanks in advance,
Ohad.

 

[Tsotne]

Those titles are good but I'd add some programming courses for MFE

 

[Ohad]

Those titles are good but I'd add some programming courses for MFE

Thanks for the reply.

Programming isn't the problem, I know my way around Matlab

I'm mainly looking for courses that will help me in the theoretical aspects, the implementation shouldn't be the main problem.

 

[Tsotne]

Well if the admission is not your concern then you are certainly not waisting time studying
those subjects. But for the admission some universities prefer candidates to have a proved knowledge of programming languages. In this case not only knowing Matlab/C++/etc. is the issue but the certificate (or the transcript including the PL) to send to the admission committee.
If this is not the case with you, then it's ok. Good Luck

 

[Ohad]

Well if the admission is not your concern then you are certainly not waisting time studying
those subjects. But for the admission some universities prefer candidates to have a proved knowledge of programming languages. In this case not only knowing Matlab/C++/etc. is the issue but the certificate (or the transcript including the PL) to send to the admission committee.
If this is not the case with you, then it's ok. Good Luck

I have taken course in Matlab and C in my undergrad.I extended my Matlab capabilities while working on my Master's thesis.
I thought myself Perl,TCL and Shell for my current job.

I know what is the numerical world and EE are known for using numerical tools, I don't think that this will be the problem if and when I'll try to admit.

That said, what type of programming courses would you recommend?
I assume you're not talking about learning to use the languages, but more like algorithms etc?

 

[Tsotne]

No I'm exactly talking about knowing the language itself not algorithms. Algorithms are not required for admission purposes. Ok it's obvious you don't lack programming background. As for advice C++ is most widely required(wherever is) when applying.

 

[DominiConnor]

"I'm not wasting time and effort on courses that I won't use later on."

I'm really worried by that statement, I often offer advise on optimising educational choices, but a problem that applies to any optimisation scheme is that you can end up with a maximum that is close to a cliff face of suboptimality to fall off.

Recall that you are trying to beat others, and being just like them is not optimal, and of course being totally unlike them is not optimal either.

On top of all that signal processing has some very lucrative applications in this line of work, but only if you're very good, and in some ways that is one of the best examples of my peak/cliff analogy.

Good SP quants might well be the highest paid in your cohort if they get into high frequency/alog trading, but in mainstream QF it's not very useful at all.

 

[Ohad]

"I'm not wasting time and effort on courses that I won't use later on."

I'm really worried by that statement, I often offer advise on optimising educational choices, but a problem that applies to any optimisation scheme is that you can end up with a maximum that is close to a cliff face of suboptimality to fall off.

Recall that you are trying to beat others, and being just like them is not optimal, and of course being totally unlike them is not optimal either.

On top of all that signal processing has some very lucrative applications in this line of work, but only if you're very good, and in some ways that is one of the best examples of my peak/cliff analogy.

Good SP quants might well be the highest paid in your cohort if they get into high frequency/alog trading, but in mainstream QF it's not very useful at all.

Don't get me wrong, I guess I should have rephrased it "Are these courses related/helpful/not a complete waste of time/etc for someone who want to get into FE?".
I ask this since they are very demanding courses and I'm very low on spare time (full time job & teaching an undergrad course & finishing my M.EE thesis).

It's good to hear that SP processing courses are looked upon positively.

How would you rank the courses?

1.Statistical Signal Processing.
2.Signal Processing.
3.Statistical.

Thanks,
Ohad.

 

[DominiConnor]

You have first to be subjected to my standard disclaimer which is that I don't tell you what to want, but simply try to help you get it.

Fact is that "introduction to..." isn't enough to get you into HFT all by itself.
Thus there is a risk/return issue here, you need to do SP well to get into that line of work by that route.

I do like the look of the 1..3 as a curriculum for the nascent algotrader, and the point at which it stops being useful for mainstream quant work is after you've done ARIMA.

 

[Ohad]

You have first to be subjected to my standard disclaimer which is that I don't tell you what to want, but simply try to help you get it.

Fact is that "introduction to..." isn't enough to get you into HFT all by itself.
Thus there is a risk/return issue here, you need to do SP well to get into that line of work by that route.

I do like the look of the 1..3 as a curriculum for the nascent algotrader, and the point at which it stops being useful for mainstream quant work is after you've done ARIMA.

Thanks for the reply Connor.

I think that there is a small misunderstanding, I didn't say that these courses will replace M.FE for me .
I take them now to help me prepare a background for when I will start doing the shift to FE officially.

The only risk vs return factor I have for them now is on my personal time, I get the courses for free and I already completed the credits I need for my Master so I have no risk or cost.Pure win { They are also very interesting which is a nice bonus }