Thesis Topic

[mortal_man]

I'm a Computer Science grad and current studying Masters in Software Engineering. I want to work as a quant developer, so I'm want my thesis to be something related to quant finance.

My supervisor is into Econo-physics, but I think its best I get into the Maths of finance rather than the Physics - I also have very little knowledge of Physics - he was the only lecturer that has done research in finance.

To make up for the knowledge, I've signed up and started "Mathematical Methods for Quantitative Finance" and "Introduction to Computational Finance and Financial Econometrics" on Coursera. Is there an order in which I should take these courses? Are there better courses that are more suited for me?

I had to pick a topic last semester (for admin reasons) but I can always change it. My topic was "Predicting Market Crashes", I realised that this doesnt really fitting into what I want to do - working with Black-Scholes, Monte Carlo, modelling, etc and most importantly, implementing something in C++/Python. Or maybe it does, I'd love to know how.

I want to combined Maths, CompSci & Finance. What research topics will best prepare me for the job market? And how should I start?

Thanks.

 

[qdogg]

I'm a Computer Science grad and current studying Masters in Software Engineering. I want to work as a quant developer, so I'm want my thesis to be something related to quant finance.

My supervisor is into Econo-physics, but I think its best I get into the Maths of finance rather than the Physics - I also have very little knowledge of Physics - he was the only lecturer that has done research in finance.

To make up for the knowledge, I've signed up and started "Mathematical Methods for Quantitative Finance" and "Introduction to Computational Finance and Financial Econometrics" on Coursera. Is there an order in which I should take these courses? Are there better courses that are more suited for me?

I had to pick a topic last semester (for admin reasons) but I can always change it. My topic was "Predicting Market Crashes", I realised that this doesnt really fitting into what I want to do - working with Black-Scholes, Monte Carlo, modelling, etc and most importantly, implementing something in C++/Python. Or maybe it does, I'd love to know how.

I want to combined Maths, CompSci & Finance. What research topics will best prepare me for the job market? And how should I start?

Thanks.

What would be the point of "working with Black-Scholes, Monte Carlo, modelling, etc" if you have no interest in trying to figure out how to predict market crashes?

 

[mortal_man]

What would be the point of "working with Black-Scholes, Monte Carlo, modelling, etc" if you have no interest in trying to figure out how to predict market crashes?

Its not that I'm not interested in predicting crashes, it's just that I've done something similar before in my undergraduate, using sentiment analysis and statistical analysis. I just wanted something more mathematical - and I have this notion that crashes tend to be long term while I'm more interested in short term prediction.

Is that clearer?

I'm a complete novice at this so maybe my viewpoint is wrong. Either way, I'm willing to learn.

 

[qdogg]

At the end of the day it doesn't matter what you're trying to predict-- what matters is the skills that you can credibly claim to be getting from it... just pick something that seems to be a current focus of whatever you're intending to do for a living, figure out how to get access to an absolute ton of relevant data, and play with it in C++/Python until something interesting comes out... If you're passionate about it you'll end up enjoying it and eventually stumbling on something notable

 

[pingu]

who is your supervisor? which school?

 

[mortal_man]

who is your supervisor? which school?

May I ask why you're asking? I don't have a issue telling you what college I go to, I just can't see how it will make a difference to the information I already provided.

 

[pingu]

Econophysics might be your ticket in if your supervisor is well known. It has very little to do with Physics.

 

[mortal_man]

Econophysics might be your ticket in if your supervisor is well known. It has very little to do with Physics.

Oh OK. His name is Dr. Martin Crane at Dublin City University.

How can I use Econophysics to get into QF?

I started looking at some introduction to Econophysics pdfs I found online but they seem to assume a knowledge of physics so I had a hard time understanding the material. I was trying to figure out how wavelets are used in studying time series - I was hoping to use it to detect patterns in the market before a crash. I also came across random matrix theory, I enjoyed working with matrices in undergrad but the introductory material seem to be aimed at physics or engineering students.

So I decided to change my perspective by coming at QF from the computing/mathematics side.

I hope that doesn't sound too crazy or stupid.

 

[pingu]

find papers from these two dudes:

J. Doyne Farmer - Wikipedia, the free encyclopedia
Jean-Philippe Bouchaud - Wikipedia, the free encyclopedia

RMT is used in Finance. Try to learn more about what they write, about the application in finance. You will be better off than what you think you will like.

 

[Daniel Duffy]

So, you are in Whitehall, the 16 and 16a buses?

 

[mortal_man]

So, you are in Whitehall, the 16 and 16a buses?

Hi Daniel, I don't live near DCU so I take the 17a.

I've actually borrowed one of your C++ books before from the library when I was looking into quantitative development. My main is to build some type of modelling applications in C++ but I need to understand the Maths/Finance first and also do some type of research.

 

[Daniel Duffy]

I lived for 2 years in behind Whitehall church a while back when DCU was just a lecture room and a football pitch

enjoy Dublin!