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PhD after MS in quant?

Hi,
I'm wondering how hard is it to get into PhD programs in Finance/Financial Econ/OR after doing a master degree in quant finance? Have anyone done this, and could you share a bit about your experience? If anyone know any information please feel free to share!
 
Before I give my thoughts, I'm going to assume that you're talking about getting into a top PhD program in Finance/Financial Econ/OR. For low rank PhD programs, pretty easy if you came from 1) a reputable school or 2) a shitty no-name school if you have some research experience/paper publication.

Now, for the top PhD programs, it's definitely hard.

At Columbia Engineering, there's been a few MSOR and MSFE students who have gone to Columbia IEOR, Princeton ORFE and Oxford MCFG programs over the years--might be missing some other top PhD programs here. Having research experience is definitely important, actual paper publication(s) is even better--yes, I've seen PhDs at Columbia IEOR who had like 3 publications, some of which they were the first author, before they came to Columbia.

School/program ranking also matters. If you're coming from a low tier MFE program, you really have to aim for perfection. On the other hand, if you're coming from a program like UC Berkeley IEOR, then you definitely have more room for error.

In addition, showing proof that you can handle PhD level courses at a top PhD program. PhD courses actually have varied difficulty depending on which school you take them at. The PhD courses at top PhD programs are much, much harder than those at some low-ranking PhD program--I say this from experience. At Columbia IEOR, for example, you can take PhD level courses in optimization and stochastic modeling but you need to get permission from your advisor. If you do well, it'll be a very positive sign that you can handle the level of rigor/difficulty at any top PhD program in Finance/Financial Econ/OR (Columbia Business School PhDs also have to take similar PhD courses).

Lastly, yes, having awards like an IMO (Bronze, Silver, Gold) does help especially since getting into the top PhD programs are hella competitive, but it's not a necessity by any means. I've only seen like one former IEOR PhD student at Columbia who got bronze and silver IMO. She's an assistant prof at Stanford MS&E now.

NOTE: For master's programs like UCB MFE, I'm actually not sure. I only know they waive GRE for applicants with PhDs.
 
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Before I give my thoughts, I'm going to assume that you're talking about getting into a top PhD program in Finance/Financial Econ/OR. For low rank PhD programs, pretty easy if you came from 1) a reputable school or 2) a shitty no-name school if you have some research experience/paper publication.

Now, for the top PhD programs, it's definitely hard.

At Columbia Engineering, there's been a few MSOR and MSFE students who have gone to Columbia IEOR, Princeton ORFE and Oxford MCFG programs over the years--might be missing some other top PhD programs here. Having research experience is definitely important, actual paper publication(s) is even better--yes, I've seen PhDs at Columbia IEOR who had like 3 publications, some of which they were the first author, before they came to Columbia.

School/program ranking also matters. If you're coming from a low tier MFE program, you really have to aim for perfection. On the other hand, if you're coming from a program like UC Berkeley IEOR, then you definitely have more room for error.

In addition, showing proof that you can handle PhD level courses at a top PhD program. PhD courses actually have varied difficulty depending on which school you take them at. The PhD courses at top PhD programs are much, much harder than those at some low-ranking PhD program--I say this from experience. At Columbia IEOR, for example, you can take PhD level courses in optimization and stochastic modeling but you need to get permission from your advisor. If you do well, it'll be a very positive sign that you can handle the level of rigor/difficulty at any top PhD program in Finance/Financial Econ/OR (Columbia Business School PhDs also have to take similar PhD courses).

Lastly, yes, having awards like an IMO (Bronze, Silver, Gold) does help especially since getting into the top PhD programs are hella competitive, but it's not a necessity by any means. I've only seen like one former IEOR PhD student at Columbia who got bronze and silver IMO. She's an assistant prof at Stanford MS&E now.

NOTE: For master's programs like UCB MFE, I'm actually not sure. I only know they waive GRE for applicants with PhDs.
I was wondering the same things and found this really helpful, so thanks. Just wanted to ask what your view is on which MFin programs are the best for transitioning to a PhD after. Of course high ranking is better than low ranking, but is there a sense in which the more mathematical/less applied programs might be preferable even if they're ranked a little bit lower (but still, say, top ten)? Some of the top programs are ranked top precisely because they are very job/industry geared and courses are as a result quite applied to optimize for that outcome.
 
I was wondering the same things and found this really helpful, so thanks. Just wanted to ask what your view is on which MFin programs are the best for transitioning to a PhD after.
That's a good question. Tbh, I'm actually not sure. Off the top of my head, I want to say Princeton MFin and MIT MFin. However, if I recall, Princeton ORFE does say to do the MSE degree if you want to go for PhD. I think ultimately the best MFin programs to choose are the ones that allow you flexibility to do research--maybe some Princeton/MIT MFin students on here can better answer this?
Of course high ranking is better than low ranking, but is there a sense in which the more mathematical/less applied programs might be preferable even if they're ranked a little bit lower (but still, say, top ten)? Some of the top programs are ranked top precisely because they are very job/industry geared and courses are as a result quite applied to optimize for that outcome.
Personally, I'd say top 10 should be fine but I'm no expert in this area. I'd honestly look at the QS/THE subject rankings for this since they're research focused. It also helps to check out how many citations the faculty have.
 
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@Andy Zhang Hello Andy, thank you for your helpful information. I'm now MFE student at Tandon and I'm interested in PhD OR, too. Do you know any other great OR PhD programs that are not from Ivy (MIT, Princeton, ...) ? I thought Columbia was in my reach but after your comment, I do have to reconsider my targets.
 
@Andy Zhang Hello Andy, thank you for your helpful information. I'm now MFE student at Tandon and I'm interested in PhD OR, too. Do you know any other great OR PhD programs that are not from Ivy (MIT, Princeton, ...) ? I thought Columbia was in my reach but after your comment, I do have to reconsider my targets.
Cornell and Berkeley comes to mind. @Andy Zhang should be able to provide a much more thorough list though.
 
@Andy Zhang Hello Andy, thank you for your helpful information. I'm now MFE student at Tandon and I'm interested in PhD OR, too. Do you know any other great OR PhD programs that are not from Ivy (MIT, Princeton, ...) ? I thought Columbia was in my reach but after your comment, I do have to reconsider my targets.
I think coming from Tandon you still have a chance. Do you have research experience (or working towards publication(s))? From what I've seen, publications can offset school ranking. For example, I got into UCSB for their PStat PhD program whereas a fellow classmate at Columbia (yes, I declined UCSB but it was a super hard choice to make) who came from UC Berkeley didn't. Main reason was because I had one publication and he had none.
Cornell and Berkeley comes to mind. @Andy Zhang should be able to provide a much more thorough list though.
I'd put Cornell ORIE in the same tier as those OR PhD programs @dangtransontung mentioned above. Berkeley IEOR maybe a tiny, tiny bit lower--this is actually coming from a Columbia IEOR prof who did his PhD at Berkeley and Postdoc at Cornell, but I never asked why. Frankly, I don't think the difference is significant enough to fuss over. I'd be damn happy to get into either...

I think UMich, GaTech and UW-Madison have pretty damn good OR programs (one Columbia IEOR prof got his PhD from GaTech). I'm also adding Rutgers here mainly because of Andrzej Ruszczynski; however, a big drawback with this PhD program is they don't offer funding to everyone, so I'm not sure if it's worth it.

Obviously there's other OR programs out there in the US, but I'm less familiar with those ones and you can expect that the lower ranked the PhD OR program, the lower the quality of your peers, i.e., fellow PhD students--not saying all the PhD students you'd encounter would be crappy, but expect a nontrivial number.

In general, I would say obviously everyone wants to go to the top OR PhD programs, but slightly lower ranked PhD programs where there's a superstar supervisor, e.g., Andrzej Ruszczynski, (assuming you get funding ofc) are still worth it.

And again, this is just my opinion based on talking to profs and going through the application processes. I would also check LinkedIn to see where the PhD graduates are (either in academia/industry).
 
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I think coming from Tandon you still have a chance. Do you have research experience (or working towards publication(s))? From what I've seen, publications can offset school ranking. For example, I got into UCSB for their PStat PhD program whereas a fellow classmate at Columbia (yes, I declined UCSB but it was a super hard choice to make) who came from UC Berkeley didn't. Main reason was because I had one publication and he had none.

I'd put Cornell ORIE in the same tier as those OR PhD programs @dangtransontung mentioned above. Berkeley IEOR maybe a tiny, tiny bit lower--this is actually coming from a Columbia IEOR prof who did his PhD at Berkeley and Postdoc at Cornell, but I never asked why. Frankly, I don't think the difference is significant enough to fuss over. I'd be damn happy to get into either...

I think UMich, GaTech and UW-Madison have pretty damn good OR programs (one Columbia IEOR prof got his PhD from GaTech). I'm also adding Rutgers here mainly because of Andrzej Ruszczynski; however, a big drawback with this PhD program is they don't offer funding to everyone, so I'm not sure if it's worth it.

Obviously there's other OR programs out there in the US, but I'm less familiar with those ones and you can expect that the lower ranked the PhD OR program, the lower the quality of your peers, i.e., fellow PhD students--not saying all the PhD students you'd encounter would be crappy, but expect a nontrivial number.

In general, I would say obviously everyone wants to go to the top OR PhD programs, but slightly lower ranked PhD programs where there's a superstar supervisor, e.g., Andrzej Ruszczynski, (assuming you get funding ofc) are still worth it.

And again, this is just my opinion based on talking to profs and going through the application processes. I would also check LinkedIn to see where the PhD graduates are (either in academia/industry).
Oh btw Andy, I hear UNC-Chapel Hill's OR department is really good, what do you think?
 
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Oh btw Andy, I hear UNC-Chapel Hill's OR department is really good, what do you think?
I've heard about it, but I don't know much about it to give a reasonable take. A few things to generally look at are 1) where the students get placed and 2) the number of citations by supervisor of interest. Maybe do a LinkedIn search?

Btw, just realized I forgot Northwestern's IEMS program above lol.
 
Could I ask why you all want to get a PhD in quant finance?
Maybe bcz a PhD is more likely to break into more prestigious quant roles than a MFE?
From observing LinkedIn profiles of several grads, it looks like MFEs (even from top 5-6 ranked) largely end up in sell side firms and mostly all quants in top tier HF/Prop firms have a PhD and only a very few are seen with a Masters (that also ranging from stats to applied math to MFE).
Ofc this is just reverse inference from largely an anecdotal observation and I don't know where majority of these doctorates end up if not academia, but with time it looks like PhD is now the new Ms and something to help differentiate oneself from the crowd for the sought after jobs.
I know people who're pursuing/have pursued their Ms in computer science with the (not sole) purpose of cracking roles like MSR or Facebook/Adobe/Oracle/IBM research.
 
Maybe bcz a PhD is more likely to break into more prestigious quant roles than a MFE?
From observing LinkedIn profiles of several grads, it looks like MFEs (even from top 5-6 ranked) largely end up in sell side firms and mostly all quants in top tier HF/Prop firms have a PhD and only a very few are seen with a Masters (that also ranging from stats to applied math to MFE).
Ofc this is just reverse inference from largely an anecdotal observation and I don't know where majority of these doctorates end up if not academia, but with time it looks like PhD is now the new Ms and something to help differentiate oneself from the crowd for the sought after jobs.
I know people who're pursuing/have pursued their Ms in computer science with the (not sole) purpose of cracking roles like MSR or Facebook/Adobe/Oracle/IBM research.

First, regarding "I know people who're pursuing/have pursued their Ms in computer science with the (not sole) purpose of cracking roles like MSR or Facebook/Adobe/Oracle/IBM research.": MS degrees in math finance and CS are generally so-called professional masters programs and are specifically for getting a job in industry or getting promoted. They're not design to prepare you for a PhD program.

As for a PhD, it is true that the most top quants in the business have PhDs. In the old days, *all* real quants had PhDs. On the other hand, getting a PhD, even one in math finance or operations research, is a long and painful process. What you learn and do for your thesis is unlikely to be useful or relevant to whatever you do afterward. The value of someone with a PhD is not so much what they learned in school or did for thir thesis. You can see this by noting how many top quants specialized in pure math topics such as number theory. Many if not most PhDs working in finance did not plan it that way. They actually wanted a lower paying academic career but had to settle for a higher paying quant job.

The value of someone with a PhD is that they have developed exceptional skills in dissecting and analyzing novel complex challenges and overcoming them effectively, when existing tools and ideas are not enough. However, in my experience, not all PhDs are capable of this, so even if you get a PhD, it's far from a guarantee that you'll get one of these good quant jobs.

So it's fine to devote 4-6 years to getting a PhD, if you honestly like the process of getting one. This means an intense effort, where you spend almost all of your waking hours to learning and working with a narrowly focused topic. If you go into a PhD program mostly because you're hoping for a better job, then this might be more painful than it's worth.

That all said, someone who has been in a PhD program for a few years but doesn't graduate with a PhD is already in a stronger position to get a good job than others with only a professional masters degree.
 
I know people who're pursuing/have pursued their Ms in computer science with the (not sole) purpose of cracking roles like MSR or Facebook/Adobe/Oracle/IBM research.
Correction: I meant PhD here not MS.
The value of someone with a PhD is that they have developed exceptional skills in dissecting and analyzing novel complex challenges and overcoming them effectively, when existing tools and ideas are not enough. However, in my experience, not all PhDs are capable of this, so even if you get a PhD, it's far from a guarantee that you'll get one of these good quant jobs.
That's a fair point but I believe the reason someone with a PhD might be incapable of it is because they rushed themselves into doing a PhD. I do agree that its arduous and should only be pursued when all the complexities have been evaluated. But if someone is really aiming for the sky (provided they are grounded about their passion and are not just wannabes inspired by watching billions) then PhD is of course the path which will help them achieve that.
That all said, someone who has been in a PhD program for a few years but doesn't graduate with a PhD is already in a stronger position to get a good job than others with only a professional masters degree.
Yes this makes sense. And I guess I'm reiterating here but PhD just makes more sense if one needs to come up with novel strategies. That's literally research and one needs a research degree to be capable of that. But with that being said, I think the combination that works best is to get a professional masters, work a few years, identify what it takes and what is valued as a quant researcher by observing fellow researchers and then go for a PhD to make the case for yourself in these top jobs. What this also helps with is the opportunity to really find out whether you're cut for it or not. And this self evaluation period can last for as long as one may like unless the person finds other priorities in life worth pursuing.

I really like this thread btw: PhD Dilemma: Which program to choose?
Some great points by @mathromancer
 

Daniel Duffy

C++ author, trainer
You can see this by noting how many top quants specialized in pure math topics such as number theory.

It this the reason why many quants don't know PDE/FDM?
Computational finance and 'pure' maths are miles apart.
 
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