MFE Programs for Asset Management/market microstructure???

[echostate]

Somebody divides quants as two broad categories: one in derivatives pricing/risk management and the other in quantitative equity/Asset Management/market microstructure. These two kinds of quants use different skills: the first needs more Stochastic Calculus and the second relies more on Statistics.

I find most MFE programs, e.g., CMU, NYU, etc. are designed to the first kind of quants: they emphasize PDE, Stochastic Calculus, etc.

Is there any top Finance program that is suitable for the second class? I know the Master in finance @ Princeton is an option, which provides a separate track on asset management and microstructure forcasting.

 

[John]

A good MS Statistics program might be something you would consider if you decide to go for the second career track.

 

[Andy Nguyen]

First off, we mostly focus on quantitative finance program so Master of Finance program is not in our scope.
Secondly, it's not correct what you said about some program is designed for the first group or second group (which I find overly generalized). A good MFE program provides you with sound training to be able to adapt to wide range of quantitative roles. If you want to do corp finance, microeconomic, etc..then may be an MBA or Finance would be better.
Read this research in Asset Management - QuantNetwork - Financial Engineering Forum to find what kind of skills you need for asset management role. This was sent to MFE students so they must think it's a fit.

 

[echostate]

A good MS Statistics program might be something you would consider if you decide to go for the second career track.

thanks. statistical machine learning and data analysis is my interest and my current research in the phd program. This is why I consider the second career track rather than the first one.

 

[echostate]

First off, we mostly focus on quantitative finance program so Master of Finance program is not in our scope.
Secondly, it's not correct what you said about some program is designed for the first group or second group (which I find overly generalized). A good MFE program provides you with sound training to be able to adapt to wide range of quantitative roles. If you want to do corp finance, microeconomic, etc..then may be an MBA or Finance would be better.
Read this research in Asset Management - QuantNetwork - Financial Engineering Forum to find what kind of skills you need for asset management role. This was sent to MFE students so they must think it's a fit.

btw,

the master in finance @ Princeton is essentially a quantitative finance program (i.e., MFE program). The only difference is that their courses are more extensive to provide a separate asset management/microstructure forcasting track in addtion to the traditional derivatives pricing/risk management track.

This is also why I considier this program rather than other typical MFE programs --- my background is mainly statistical data analysis and machine learning, which is useful for asset management/microstructure forcasting, but not that relevant to derivatives pricing.

 

[Yuriy]

I am not sure about the two categories specified above. Risk Management also goes with Asset Management, so it must be in both In addition, derivative pricing uses PDEs, not just Stochastic Calculus. There is definitely less statistics in derivative pricing than in asset management.

Also, I disagree that there is not much statistics at NYU and CMU. CMU has a track within its program covering statistics, NYU has courses on portfolio management, statistical arbitrage. Both programs a Columbia have strong statistical component.

Addressing John's comment about statistics. Most stats programs will not train you in any kind of finance. Many programs train students to be biostatisticians, and care must be taken in selecting a stats program with a goal of going into finance. Plus, job placement assistance into financial sector is not strong in statistics programs as it is in MFE programs.

 

[echostate]

Thanks! I agree. This is why I want to find some MFE program with a separate track for asset management, rather than a statistics program.

 

[Yuriy]

If you just want asset management and don't want any derivative pricing, stochastic calculus or C++, you might indeed be interested in regular finance programs. And as you said, Princeton sounds like a good option. Check other schools and see what they have in finance department.

 

[echostate]

Thanks.

For applying regular finance programs, perhaps my background is too weak in that I'm completely a quantitative guy ... major in computer software in undergraduate and statistical machine learning in graduate school.

 

[Yuriy]

Both FE and Finance programs require you to take finance courses. Finance programs just want you to go deeper into finance and learn corporate finance, exchange operations, global finance and others. As I see from another thread on this forum, you are debating between PhD and 2 MS degrees. If you think MFE has too many things that you don't need and finance requires background that you don't have, you can do PhD plus just take several courses relevant to asset management at your local school. If I were you, I would do PhD and go to Princeton but that is my biased opinion of a PhD student.

 

[echostate]

Thanks

In fact, most people suggest me to continue my CS PhD program. Yes, I can also take some classes from the MFE program in my university (CMU). It's a pity that only Princeton's program has a separate track (and thus enough courses) for Quantitative Asset Management and Macroeconomic Forecasting, which fits my statistical/machine learning background very well.

 

[Yuriy]

If you are from CMU, you can use the opportunity to take a couple of courses from the Computational Finance program. They have a number of finance courses that will teach you necessary skills to enter the area of asset management.