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Quant - Statistics/Econometrics vs Stochastics Calculus

Joined
11/15/11
Messages
7
Points
11
Hi,

Long time reader first time writer. I currently work in physical commodities risk. My career interest lies in jobs like quant research, quant strategist, etc working on asset allocation/optimization and trading strategies. I believe for this kind of role its more important to have econometrics/statistics knowledge with strong expertise in MATLAB, R, Stats plus, VBA (maybe)etc. So courses in linear algebra, econometrics, statistics are more suited.

Please correct if I am wrong that one doesn't require really strong understanding of stochastic calculus. I think its more suited towards derivative pricing kind of roles.

My current background in BS Engineering and MBA finance. I plan on writing CFA soon. I would say I have decent Math skills including some stochastic calculus. However, I have been learning advanced topics and trying to follow course work of finengg/QF programs at NYU/Columbia/Baruch (if I can find any reference to textbooks). Ideally, I don't want to go back to school for Math finance program.

Please advise as to what plan of action should I follow to move closer to my career goals.

Thanks in advance.
 
Yes you got it.
Derivative pricing techniques work only well in financial derivatives.
Any other field, econometric.
 
Some of the topics that you might want to study are:
1. Optimization
2. Econometrics
3. Time Series
4. Risk Management

If you don't want to go back to school, try to get good books. I can give you a few names if needed.
 
thanks for your replies. I am currently reading Econometrics by Hayashi. How is Analysis of Financial Time Series by ruey tsay. Any other suggestion would be helpful especially on Optimization.

PS: I do have FRM certification. Although I am looking to learn advanced topics and apply at my current job.
 
I've never used stochastic calculus at work so far - neither have my colleagues. What we use heavily is econometrics (parameter estimation (e.g. regression), time series analysis etc) and optimization
 
thanks dexterrr for the link... does anyone know a good book on econometrics (besides hayashi) and time series analysis
 
gbruno - do you mind me asking what kind of work you do? just to get an idea of what specific areas use these skill sets. PQ document uploaded by dexterrr gives a nice overview but more specific will be helpful.. thanks!
 
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