Self-Study Outline

Hi All,

Very new to this website. I joined because I would like to develop a skillset over the course of the next 3-5 years that would allow me to add value to a global macro hedge fund in a trade structuring/execution/quant strategist type role. During this time I will be working full time ~60 hours a week at an AM firm in a role that doesn't require a lot of quant or coding, but it is a great shop to learn in, and there are opportunities to change groups internally.

Math:
I got by with not doing a whole lot of math in UG (I was three grades levels ahead in Math in high-school, did all the AP math classes, then got really bored with math). I worked for a few years at a small AM firm, did the CFA, and was accepted into a very well ranked fin-econ program. I obviously struggled a bit and learned math on a make due basis for my classes. Now that the program is done I would really like to go back and learn math from the bottom up. I would like to get to the point where I am very comfortable with: Time Series Analysis, Stochastic Calculus and Mathmatical Stats. Where I am at seems very far from that - I know I need to first work my way rapidly through Calc I & II and Linear Algebra (what are the best books/coursera courses for these?). And from there on what are the best books/online courses for Econometrics, Stats and Stochastic Calc?

Coding:
No experience. Would like to start with VBA/Matlab/SQL. Learn some real coding after (C, C# etc.)

I would like help coming up with a study program that would help me get to where I want to get to in 3-4 years time while working 60 hours a week.

Thanks in advance for any advice.
 
I don't understand what well ranked fin-econ program you went to where you are still very far from being comfortable with math/stoch calc/math stats/econometrics, and still have absolutely no programming background. You're probably never going to learn all this by working 60 hours a week. Why don't you just stay in your non-quant role. It seems like a good position. You are obviously qualified since they accepted you. I just don't understand the fact that you graduated from your well ranked fin-econ program an have almost nothing to show for it.

But if you're interested in killing yourself, everyone out there studies Shreve for Stoch Calc. Start there for academic things that don't necessarily work in the real world. Then you'll be up to par with everyone else.
 
It was a fin-econ program so I learned a lot of econ, econometrics (but we only briefly got into time series), some asset pricing theory, options pricing, risk management, fixed income theory and corp fin etc. Never needed to code for any of these classes. Obviously they expected you to know the math before you got there and not teach it to you there, I just learned what I had to learn to do the assignments and exams and focused more on the intuition/concepts the classes were trying to teach. It wasn't a mathamatical finance or financial engineering masters so I don't get your snark. Also I didn't ask for your life advice - my interests are my interests.

So anybody else out there that actually isn't on their high-horse and doesn't want to make judgements on where I went to school and what I did in my time there, or tell me that I should just stick to my current job that wants to give some direction on how to build out this program of study? Ideally I would like to get an idea of the structure of a mathmatical finance/financial engineering program and all the pre-reqs for admission and best books to follow those courses of study from your own experience. Thanks
 
I mean no offense. Your life is your life, but try to be practical here. You're working 60 hours a week, and you have no quant background. Those who enter MFE programs have a basis in hard math, and even they have problems sometimes. Like I said, you can start with Shreve, but you have to realize that quant math in school is not the same as quant in practice.

And when I say "why don't you stay in your non-quant role," I mean that seriously, not offensively. I have known people with a good finance career give it all up to chase quant only to realize that they are out classed by the math people. I wouldn't jeopardize your current job for this, and if it's 60 hours a week, it must be a decent position. I would analyze your reasons for wanting to go into quant. Be angry at me all you want. As long as you hear it once, and consider it.

I'm sorry for any offense I have caused.
 
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I know I need to first work my way rapidly through Calc I & II and Linear Algebra (what are the best books/coursera courses for these?). And from there on what are the best books/online courses for Econometrics, Stats and Stochastic Calc?

Coding:
No experience. Would like to start with VBA/Matlab/SQL. Learn some real coding after (C, C# etc.)

Less haste, more speed. Aim to go slowly. Go for the older books which are now out of print and which have been erased from collective consciousness.

For coding, start with C. Again, look for the older books that are now mostly out of print.
 

Daniel Duffy

C++ author, trainer
Less haste, more speed. Aim to go slowly. Go for the older books which are now out of print and which have been erased from collective consciousness.

Best comment ever on QN in my opinion.
 
Less haste, more speed. Aim to go slowly. Go for the older books which are now out of print and which have been erased from collective consciousness.

Best comment ever on QN in my opinion.

The process should be enjoyed, not just getting to the destination post-haste, breathlessly, and with only superficial mastery. I'd recommend a careful reading of Herrigel's Zen in the Art of Archery for starters, a book I read eons ago when the world was young. A synoposis can be found here:

Boiling it down, Herrigel transmits the idea—rather elegantly—that to succeed, you must not want to succeed. Desire is what obstructs and impedes. Wanting to hit the bull’s eye with your arrow will actually make you fail, because wanting something—desire—makes you self-conscious, tense, nervous, and thus prone to failure. Therefore, you must remove desire. You must train yourself to have complete indifference to the outcome of what you are doing, and instead focus your entire attention on the process rather than the outcome.

This flies in the face of everything that the Western mindset focuses on. After all, the end result is precisely what matters most in the West: The outcome, the report card, the corporate bottom-line, the SAT score, the year-end earnings report, the zeros on you bank account, etc., etc.

In trying to alleviate human suffering, which it identifies as a failure to achieve your desires, Zen Buddhism teaches you not to have desire—or more precisely, teaches you to sublimate your desire. This is not the same as not caring about something, or not wanting something. Rather, it is a trick of the mind whereby the desire for the thing you are pursuing is ignored during the period of its pursuit. You actively and deliberately ignore your desire, so that that desire does not impede triumph.
 

Daniel Duffy

C++ author, trainer
Desire is what obstructs and impedes. Wanting to hit the bull’s eye with your arrow will actually make you fail, because wanting something

Indeed, same as judo; Ruska (two! gold medals in Munich '72) was my teacher in Amsterdam in the 80's and he used me always as the 'throw guy' in demos. (btw not me in video).
If you try too hard you lose indeed. BTW I hardly ever buy or read maths books written after 1970.

Notice they do each throw 3 times. I wonder why.

 
Wayoung - no worries. I get your point, I am not trying to compete with people who have done hard math since UG, ie: I am not looking to build out new pricing models etc on my own. The type of role that I want is heavier in math/coding than I currently poses but not so math heavy that it can't be learned in 3-5 years (I say this from experience of having interned on a buyside equity derivatives desk: I found I generally had better economic knowledge/intuition than the mathmatical finance/financial engineering folks but the PMs were using MatLab to run back tests etc. which I fely I lacked). I am also not saying that I don't know any math - I survived grad school. But I feel like I really need to rework my fundamentals to make the next push.

SystemTrader: Thanks for the links!

BigBadWolf & Daniel: Your advice is spot on, my whole problem is that I was so overloaded in my program that I only had time to learn the math on a make due basis. This current job that I got is ideal in that it is not quant/code heavy so I won't face the same thing again. I can really take my time and work through everything slowly and that is exactly what I am planning to do.

Cheers
 
I was curious about quant strategist role. Is that the role that you make suggestions of how the fund should allocate its capital? For example: Let say you work for an international equities fund and your models suggest that Japanese economy will outperform Canadian economy. Hence your fund should overweight Japanese equities and underweight Canadian equities. And when you analyze the Japanese economy, there are indications that some sectors will outperform other sectors. Hence, you will overweight some sectors such as financial vs health care.

If this is an example of the quant strategist role, then is that true that one does not need a high level of maths (ie: stochastic calculus, real analysis) to do the work? (when I took a couple econometric classes and a time series class, it were just some some mathematical statistics (calculus based probability stuff but it was fairly easy though) and the level of math was not beyond calculus 3.)
 
I am not looking to build out new pricing models etc on my own. The type of role that I want is heavier in math/coding than I currently poses but not so math heavy that it can't be learned in 3-5 years (I say this from experience of having interned on a buyside equity derivatives desk: I found I generally had better economic knowledge/intuition than the mathmatical finance/financial engineering folks but the PMs were using MatLab to run back tests etc. which I fely I lacked). I am also not saying that I don't know any math - I survived grad school. But I feel like I really need to rework my fundamentals to make the next push.

It seems like the CQF might be a good fit for you. I was told you can preregister and start self-studying before the term starts. I think its unreasonable to learn all that material in just six months and if I were to pursue the CQF I would plan on spending a whole year on it. They also have a lifelong learning program that you can pursue which also includes enough math to cover most of the stuff on a undergrad math curriculum (as they put it).
 
Kamikade - so say you think Japanese equities are going to rally hard, but rather than buying a simple call, you find that the NKY/Topix rainbow option quote that you are getting is implying a correlation of less than .85, which you think is too low, so you get into the trade cheaper than you would otherwise. That's the type of role I aim aiming for (also do I know you?). I would like to be super comfortable with the math to price that (which I don't think is out of this world) and testing out the strategy with back tests etc.
 
Kamikade - so say you think Japanese equities are going to rally hard, but rather than buying a simple call, you find that the NKY/Topix rainbow option quote that you are getting is implying a correlation of less than .85, which you think is too low, so you get into the trade cheaper than you would otherwise. That's the type of role I aim aiming for (also do I know you?). I would like to be super comfortable with the math to price that (which I don't think is out of this world) and testing out the strategy with back tests etc.
Thanks. That type of work would definitely require some high level of math. I am not sure if I know you but I work in real estate and real estate structured products (cmbs, and direct real estate debt)
 
from experience of having interned on a buyside equity derivatives desk: I found I generally had better economic knowledge/intuition than the mathmatical finance/financial engineering folks but the PMs were using MatLab to run back tests etc. which I fely I lacked). I am also not saying that I don't know any math - I survived grad school.

You survived "a" grad school. I know people that studied literature in grad school too and are extremely, extremely intelligent people. But they can't solve a quadratic equation if their life depended on it. If you are wowed by the MATLAB, I'm afraid you don't really have what it takes to be a real quant. Everybody I've known with an ounce of mathematical talent, can learn to do some pretty complicated shit in MATLAB in just a month.

Mathematical talent is not the only or most important thing. You should know this, having worked for in finance. It's quite common for people to glamourize some other job though. I'm always surprised by how many quants secretly want to be professors, as if that's really a great job. As a former professor, I can tell you it's a crap job. Being a quant in finance is soooo much better. It helps to be brainwashed and think the opinion of the 4 other people in the universe that can actually understand your result is more important than thousands of people using your work.

It takes a certain level of competence to realize what competence is. There are a lot of people that look at quant math and think "It's only calculus and linear algebra. I got A's in those courses!" and miss the point. The reason PhDs are desired in quant roles doesn't have to do with their advanced knowledge. In fact, their basic math skills actually deteriorate (if you spend all your time thinking about what a Grothendieck category is, that's not gonna help you compute eigenvalues!). It's because they know how to think properly. I demonstrated this recently to a friend. He asked me what kind of math skills are required to be a quant. I asked him to show that e^pi > pi^e. He took one day to show it. I remember taking 10 minutes, when the problem was posed to me. This might be 5 minutes longer than would be expected at a BB interview. It takes only college freshman level math skills but somehow most people that took calculus can't manage it.
 
C S

You survived "a" grad school. I know people that studied literature in grad school too and are extremely, extremely intelligent people. But they can't solve a quadratic equation if their life depended on it. If you are wowed by the MATLAB, I'm afraid you don't really have what it takes to be a real quant. Everybody I've known with an ounce of mathematical talent, can learn to do some pretty complicated shit in MATLAB in just a month.

That's interesting: A guy in my program worked construction and couldn't add fractions four years ago. He started from the very basics by redoing undergrad and now works in a more quant heavy role than I am even looking to get into. I'm pretty sure the math I need is very learnable and no one on the desk that I interned on had PhDs - some of the older folks didn't even have a masters. I didn't say I was wowed by MatLab, I said I didn't have any experience and would like to learn it (maybe I'll learn what I need in 1/2 a month).

It takes a certain level of competence to realize what competence is

(y)

For all that you know - looks like you forgot your can do attitude somewhere.
 
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