A new beginning...

[BenLQ]

Good evening everyone,

I'm a undergrad student in mechanical engineering in Germany. I'm gonna finish my Bachelor summer 2013. Since I'm interested in quant trading, my goal is to join a MFE/MSCF program in the US. I have taken some quantitative courses during my undergrad coursework, such as:
- calculus I for engineers
- calculus II for engineers
- linear algebra for engineers
- differential equations for engineers
- Java
- C++

the problem is, I believe that my current university (Berlin Institute of Technology) is not "top-tier" enough for the admission into a top MFE program (e.g. CMU / NYU); and, I think that the level of my maths courses are to low, since these were "only" for engineers (one maths professor at my university has rejected me from his probability course by saying that engineer maths is to low to understand prob theory).

I really regret having chosen mechanical engineering, 80% of my coursework was about engine/gear construction. I had a technical internship in an construction department of a big company, and it was painfull to the death. I recognized that dealing with "real material things" such as machine parts is certainly the wrong thing for me. At the same time, I began to read about financial markets and find it increasingly fascinating. As I feel quite comfortable with maths and programming, I think that quant finance might be the right thing for me.

The main question is, what could the next steps be,
a) I could finish another undergrad program in Maths or CS in Germany or even in the US, and then apply for a MFE program. It would take me another 3 years before applying for Masters, but I think it would be worth it. OR
b) I could somehow manage it into a good MFE program based upon my Bachelor degree in mech engineering, by teaching all the maths stuff myself in my freetime. But I guess it's less likely to happen.

What would you recommend me? What do you think about undergrad education in Germany?

Thanks a lot and best regards!

 

[Ken Abbott]

I've worked with many people educated in Germany and have been uniformly impressed. The question is why would you want to waste a fine engineering degree on something as pointless as finance?

 

[BenLQ]

Hi Ken,

thank you for your reply.
I don't think that finance is actually pointless, since it's to me a science itself, just like dynamic simulations of mechanical systems, it's just for a completely different use. As I mentioned above, dealing with material things is something I found out beeing not suitable to me (and as an engineer you have to deal with material things even if you only simulate, because the result is a tangible product). Indeed, quant trading is also in some way a real use, but it's much more abstract since you don't have to worry about which kind of material you have to take or which manufacturing process should be considered etc. You're just developing algorithms and writing codes and that seems to be more of my nature, because I'm more of an abstract type.
That's why I'm thinking about doing MFE and quant finance rather than mech engineering.
Having said that, any educational recommendations?
May I ask what the German people you worked with did?

Best regards.

 

[Ken Abbott]

I've worked with several students from Karlsruhe and they were all excellent, including one who is now a senior risk manager at a major firm.

I think quant trading is a fad and is likely to be severely restricted by regulation in the coming years. That said, I think that valuable insights may be gained by some of the research being done in that area. (I note that GARCH and cointegration were both widely touted as key trading tools many years ago. I don't think anyone got rich using them for trading, but but both concepts have proven very useful.)

Take statistics. Take linear algebra. Take at least 2 years of calculus. Learn how to write basic code and how to query a big database.

 

[BenLQ]

Hello Ken,

thanks a lot again. Karlsruhe university is also a renowed tech school, friends of mine are there too, and many of the graduates start in major firms.

Although I'm not fully into quant trading yet, I believe that even slight regulatory changes could have large impacts on the HFT business (e.g. raising fees per transaction). Rather than wanting to be focused on one specific area, I just want to acquire a solid and robust quantitative skill set which could well equipe me on my way into the finance world. I think with my current education, I don't have that robust skill set, because 80% of what I learned is simply no use for finance.
That is why I consider to start another undergrad program with maths major and finance minor. You could call it an intentional brain wash.
An undergrad maths/finance program at our current university could look like this:

semester 1: calculusI, linear algebraI, computational mathematicsI
semester 2: calculusII, linear algebraII, computational mathematicsII
semester 3: probability theoryI, financing & investmentsI, statistics, stochastic models
semester 4: probability theoryII, financing & investmentsII, mathematical financeI
semester 5: mathematical financeII + electives
semester 6: bachelor thesis + electives

I have to say, the more I look at this course plan, the more convinced I am, because in my eyes this is simply what I need. The trade-off here is that I would need 3 years more (frankly, that hurts a bit), but if I know what I'm doing, this might not be an issue... What would you say?

I wish you and everybody here a happy and successful new year,
Cheers!

 

[Andy Nguyen]

Over-specializing may make you unemployable. Get a well rounded education with solid practical knowledge of programming/database/stats. Follow Ken's advice.
What will help you get a job in finance is not how many "math finance" courses you have taken but the practical skills that you bring to your employer in day one. The finance can be learned on the job.
Did you read this? https://www.quantnet.com/threads/learn-sql.7554/
Did you read about MFE graduates with no practical skills (no programming skill, no database skill) and no job lined up?

 

[BenLQ]

Hi Andy,

thanks very much for your reply. I will consider your advice (and of course Ken's) and try to come up with a rough time plan for post-bachelor the next days. You're absolutely right that overspecializing can make one's scope to narrow, thus I will try to build solid knowledges in the fields Ken mentioned above, before applying for a MFE program.

Best regards.

 

[Jose T]

I don't know how things are in Germany. In the US, my experience has been that it's more efficient to take courses as a non-matriculated student (prereqs like Calculus, basic probability, etc.) and then just get the masters. Doing a second bachelor's may involve taking courses that aren't useful to you.

Saying that engineers lack the 'math' to do probability theory is an oversimplification. The measure theoretical framework of probability is abstract and lots of people find it difficult, engineers or not. However, the probability that is most often used on a practical basis is not that hard to digest, i.e. random variables, pdfs, cdfs, mgfs, theorems like CLT, LLN.

It may be that your professor's class was very theoretical in nature but that does not mean that you don't already have the background to understand the probability mathematics that are commonly used on a practical basis in the social sciences.

 

[BenLQ]

Hi Jose,

thanks for your reply!
What you said sounds like an option and you're absolutely right, another bachelor's will inevitably include unneeded coursework.
In Germany, one has to be matriculated in order to take courses at an university. But one can take maths courses without beeing a maths student. The reason why I couldn't take probability is that the calculus courses I've taken were "only" for engineers (= less comprehensive), but not for mathematicians. But if I take the mathematicians' calculus as an additional course, then I would probably get admitted in prob theory.
So what you mean is to join the prereq classes without writing the final exam (= non-matriculated)? I wonder if the admission office of an MFE program would accept when I say: "I just sit in the classroom and learned the stuff, but I haven't written the final." Could you explain me a bit further how would you do it in the US?

Thanks a lot!

 

[Jose T]

That's not exactly what I meant. What I did in the US is like this: I graduated from undergrad with not much math. Later, when I decided I wanted to study in that direction, I contacted my state university. Based on my undergrad, I am unqualified at that point for quantitative graduate work, so I say, hey, will you let me just take courses (including sitting for the final) that are prereqs for the MS I would like to eventually join. I do well in those courses (just taking prereqs, not a full second bachelors) and the MS people give me admission based on that.

The fact that for the initial period I was taking courses but not officially enrolled in any degree is what I mean by 'non-matriculated' (or it could be the term was 'non-matriculating'; I don't recall). It sounds like this may not be possible in Germany from what you write.

 

[Ian Kaplan]

I followed the same path outlined by Jose. I took a difficult non-matriculated course and, on the basis of my performance in this course, my resume and professional accomplishments, I was admitted to the master's program.

 

[BenLQ]

Ah OK, I understand.

Well, this could also work in Germany, I could simply take the maths courses as "additional courses" although I'm a engineer. The grades of those maths courses will not affect my final engineering GPA, but they will be listed on my degree certificate. That way I could also prove having taken the prereqs. And you're right, this is way better than taking another undergrad program.

What I'm also considering to do is Paul Wilmotts CQF program, as primer prior to applying for MFE. But I'm not sure wheather it is a effective use of time and effort. Would you think that the CQF will give me a competitive advantage in the application process and therefore a reasonable investment of time and money?

Thank you guys so far!

 

[Andy Nguyen]

Would you think that the CQF will give me a competitive advantage in the application process and therefore a reasonable investment of time and money?

https://www.quantnet.com/threads/cqf-as-a-prep-mfe.6466/

 

[Ian Kaplan]

Perhaps one needs to define what is meant by "preparation for a an MFE". It seems to me that this might include two things: the skills you need to survive and prosper in an MFE program and the ability to gain admission.

When it comes to gaining admission, you really need to take non-matriculated courses for a grade.

The issue of improving your background (if necessary) depends on the program and your background, so I think that this is harder to generalize. I suspect that virtually all programs require basic engineering calculus and linear algebra. I certainly have had to brush up on my linear algebra and relearn the application of the Taylor series.

I took Prof. Eric Zivot's AMATH 540 Introduction to Quantitative Finance and Statistics at the University of Washington as a distance student. I thought that the course was an excellent survey of a number of topics in fiance, plus an introduction to statistics (sorry to say, but when I took the course I had never encountered the term "expected value").

Prof. Zivot's course is also offered on Coursera. I don't know how much the course has changed. There were homework assignments every week, in addition to the mid-term and final. The homework is critical to learning the material. I don't understand how this works in the Coursera environment, since I don't know if you get graded homework. Also, with the University of Washington course there was the opportunity to interact with the professor, the TA and the other students. I suspect that in the end you get what you pay for. A free Coursera course will never be the same as a course where you pay tuition (to support the time of the Professor and TA).

Programming is also very important. The University of Washington program makes intensive use of R. People without a programming background can find this a struggle. As others have noted, a background in C++ and Java is professionally useful.

The University of Washington Computational Finance program is also offering a series of introductory courses, I believe in the summer.

Although it is starting to change, very few computational finance programs offer support for working distance students. I think that CMU is one and the only other that I know of is the University of Washington. There are students from Europe and Asia in the program. The nice thing about recorded courses is that you're not bound to a time zone (also, you can watch the lecture more than once).

 

[BenLQ]

Thanks Ian for your tip about Coursera, never heard about it before. I also wonder how they would ensure that all homeworks got done properly.

When it comes to gaining admission, you really need to take non-matriculated courses for a grade.

That's why I think my first goal should be taking alle prereq courses with a decent grade. And I think nothing is speaking against doing it in Germany, since the mathematical basics are the same, no matter where on the globe the course is taught. When I've completed the prereq courses in calculus, linear algebra, probablilty and statistics, I will start to prepare for MFE application.

Regarding the CQF, I think I should think it over again, because there is (seemingly, from what I read) much overlap between CQF and MFE program. It certainly provides a solid primer for the MFE, but 16K EUR should really be spent advisedly... I could buy Paul Wilmotts books on quant finance and study the core lectures, it will cost me a couple hundred EUR max.

Best regards!