Mathematical and programming skills

[coxs]

Hello everyone,
I am an undergraduate student attending Finance & Accounting classes but my program does not offer strong math and programming skills that are needed in the field of quantitative analysis. What sectors are essentials for a quant? Calculus/Linear algebra/Probability theory/Stochastics/C++/Matlab and what else?

It would be nice if a professional could suggest me some sections that are must or some books that I could read to enhance my background in math and programming.

Thanks in advance!

 

[KillingField]

"Quant" is a meaningless term, as people working as quants do wildly different things. Perhaps the big distinction is buy side (i.e. hedge funds and the like) vs sell side (i.e. investment banks and the like). To a very rough approximation, buy side is more stats oriented whereas sell side is more like traditional derivatives pricing and all that follows. Of course there are hedge funds with traditional quants and banks have e.g. algorithmic trading operations, too, so the line is blurry.

To make matters more complicated, not all quants are associated with trading. Banks in particular (much due to regulations, but also because of sheer size), have quant roles in control functions, e.g. there is usually a team "opposing" the quant team, going through all the math and so on, validating and approving or disapproving the models the front office quants come up with. There are also teams associated with XVA, market risk, high performance compute and so on.

So you see, there are so many different things quants do, I cannot really give you a suggestion as to what book to read unless you narrow it down a bit. The one thing that a lot of quants (but not all; there are exceptions) do seem to have in common regardless of where they work, for better or for worse, is that they have a degree in a highly numerate field (think mathematics, physics, and so on), most often a PhD. For sell side, MFEs (or equivalents) are also common, and indeed those programmes were, initially at least, targetting quant jobs in banks.

 

[coxs]

Thanks a lot for your reply! Surely the term "quant" is quite general. I study in a non-quant field so I need to enhance alone my skills.Aren't there some basic stuff necessary for every analyst?

 

[Daniel Duffy]

Computational skills are not bad to have I suppose.

 

[rajat gupta]

"Quant" is a meaningless term, as people working as quants do wildly different things. Perhaps the big distinction is buy side (i.e. hedge funds and the like) vs sell side (i.e. investment banks and the like). To a very rough approximation, buy side is more stats oriented whereas sell side is more like traditional derivatives pricing and all that follows. Of course there are hedge funds with traditional quants and banks have e.g. algorithmic trading operations, too, so the line is blurry.

To make matters more complicated, not all quants are associated with trading. Banks in particular (much due to regulations, but also because of sheer size), have quant roles in control functions, e.g. there is usually a team "opposing" the quant team, going through all the math and so on, validating and approving or disapproving the models the front office quants come up with. There are also teams associated with XVA, market risk, high performance compute and so on.

So you see, there are so many different things quants do, I cannot really give you a suggestion as to what book to read unless you narrow it down a bit. The one thing that a lot of quants (but not all; there are exceptions) do seem to have in common regardless of where they work, for better or for worse, is that they have a degree in a highly numerate field (think mathematics, physics, and so on), most often a PhD. For sell side, MFEs (or equivalents) are also common, and indeed those programmes were, initially at least, targetting quant jobs in banks.

What all skill would be important if someone is interested in buy side?

 

[Drew L]

Man, that is at least a couple years' worth of material to learn.
My suggestion is to change your major to Math. I did a Finance minor and found it useful in reading financial statements but at the undergraduate level you should be focusing hard on quantitative skills...for grad school you can study Econ or CS but this ain't the time for that friend.

 

[Philip_Mitterrand]

Math & Computational skills. All else is fluff.

What all skill would be important if someone is interested in buy side?

 

[iPray]

As someone who worked as a software developer, I can tell you that they (adcom or potential employers) really only care that you know how to code i.e. the logic of coding. If you need to learn a new language, that's just syntax, and a proficient coder should be able to figure it out in a few weeks.

As for the math courses you mentioned - basically every single one of them. And many applications will ask you explicitly if you've taken those courses.

 

[Anupriya]

Hello everyone,
I am an undergraduate student attending Finance & Accounting classes but my program does not offer strong math and programming skills that are needed in the field of quantitative analysis. What sectors are essentials for a quant? Calculus/Linear algebra/Probability theory/Stochastics/C++/Matlab and what else?

It would be nice if a professional could suggest me some sections that are must or some books that I could read to enhance my background in math and programming.

Thanks in advance!

The best learning experience would be to get hands-on experience as an intern. Some of the links that you should check to get started:


Top 5 Essential Beginner Books for Algorithmic Trading - QuantStart


QI - NSE MDP on Algorithmic Trading: Literature Review

(Check slide 3)

Essential Books on Algorithmic Trading (If along with quant you also want trading knowledge)

Talking about programming languages now, besides C++, Python is gaining a lot of popularity these days. It is easy to pick up and get running with, some good books to get started with python are listed below:

• Python Cookbook by David Beazley & Brian K. Jones
• Python for Data Analysis by Wes Mckinney
• Python for Finance: Analyze Big Financial Data by Dr. Yves Hilpisch
• Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging by Dr. Yves Hilpisch

Hope this helps.