Advice for Ph.D student in Finance

[senoz]

Hi I will start my Ph.D in finance this fall and I want to work as a quant when I finish.

What would be your suggestions for me?

I am going to work on improving my C++, MATLAB knowledge. Besides this what would you recommend?

 

[Vu Nguyen]

Uhmm... Math? :D

 

[senoz]

Could you elaborate what do you think I will be missing and I need to focus on? I will be studying stochastic calculus, econometrics, derivative pricing, finance theory, financial economics, time series analysis and market microstructure.

I would appreciate if someone could give me some topic names such as optimization, partial differentials etc.

And do you have any advices for my dissertation. Also what are the chances for someone with a Ph.d in finance but not financial engineering to become a quant. What can I possibly do to increase my chances?

Thnks

 

[doug reich]

Please read the myriad other posts on "what should I do". Look at the recommended reading. Be more specific. Those three things will get you a real response to your question.

 

[Andy Nguyen]

What kind of quant are you talking about? The answer would provide a better path for you. I would say read the Joshi's guide from our Master reading list for Quants, MFE - QuantNetwork - Financial Engineering Forum

I don't think C++, Matlab will cut it anymore. People are just expected to be very hand on these days. You need to work with data, write scripts, build UI and more. Unless you want to be a blue-sky research quant whose existence is a mystery.

 

[alain]

where are you going to do your PhD?

 

[senoz]

where are you going to do your PhD?

It is non-ivy and besides I will be taking courses about corporate finance etc also which won't help much for my purposes actually.

I checked the book lists and compared their subjects with my curriculum and I don't think I will lack knowledge on any of those stuff.

I know that many employers choose people with Ph.d in math, computer science and physics. I just hope that I won't get refused because I don't know much about fuzzy logic or some other subjects. You don't see those stuff usually in a quant book.

If you say that the subjects in the books are enough and I need to focus on gaining programming experience, I think I will be fine.

Also how important is it to have publications in a financial journal?

 

[senoz]

I found this ad and it looks like what I want to focus on.

The candidate will be responsible for helping to develop methods and tools to discover new trading models in a highly automated way.

Must be able to work well in a team and write clear, efficient code.

Any of the following experience will be considered but not required: Experience writing code in C++ as well as scripting languages. Experience in any of: data mining, machine learning, optimization, statistics, econometrics, finance.

or this

A financial researcher with experience of looking for alphas in the asset classes of equities, futures, and currencies, medium or high frequency

The researcher will work to build and implement statistical models for different financial products. The right applicant will work on a team of researchers, developing and maintaining mathematical and statistical models to act as an expert in this newly formed risk data analysis area.

So which area is this actually

I am planning to focus on microstructure and derivative in my studies. Am I on the right path?

I ask too many questions, but I am grateful for your answers and for this site. Thanks

 

[alain]

let me try this again, where are you going to school? It doesn't matter if it is an Ivy or not. We really don't care.

Also, if you plan to taylor your PhD according to what the job market demand is, you are setting yourself for failure and missery.

 

[senoz]

Also, if you plan to taylor your PhD according to what the job market demand is, you are setting yourself for failure and missery.

No I will take every course that is required and I will do my best but I want to focus on subjects that I will work on later.

It is University of Oregon btw.

 

[alain]

how much financial econometrics are you going to cover?

 

[senoz]

This is from their website:

In addition to courses offered in the finance department, students also take courses and seminars in economics, statistics, econometrics and accounting. Individual programs of study are tailored to the student's interests and prior coursework.

Finance Ph.D. seminars cover the core topics of: fundamentals of valuation, utility and portfolio theory, asset pricing, options and futures, capital structure, and empirical methods. The seminars also cover such topics as corporate governance, dividends and repurchases, term structure of interest rates, fixed income securities, and financial institutions.
-------------------------

What I am worried about is the program will not give me enough opportunity to apply C++ programming. The profs that I talked to use either Matlab or SAS.

First year I am required to take two courses for econometrics, two courses for financial theory and two courses for financial economics.

Another thing is I am not sure if they will teach enough stochastic calculus that is used on a quant job.

 

[Andy Nguyen]

You may want to follow the footstep of Peter Carr who has a PhD in Finance and now one of the well known quants.
His bio is on the How do I become a Quant book in Master reading list for Quants, MFE - QuantNetwork - Financial Engineering Forum

 

[senoz]

You may want to follow the footstep of Peter Carr who has a PhD in Finance and now one of the well known quants.
His bio is on the How do I become a Quant book in Master reading list for Quants, MFE - QuantNetwork - Financial Engineering Forum

Thanks for that advice but I think what I need to read now is Paul&Dominic's guide. I don't know if they send a copy to me, after reading my useless CV at this point though

 

[Andy Nguyen]

Why wait for the guide when you can google for it. Google "dominic guide" and you will find a few pdf laying around.

 

[senoz]

Why wait for the guide when you can google for it. Google "dominic guide" and you will find a few pdf laying around.

Wouw this site rocks, I am so glad that I found this.

And yes I am reading their document right now. Thank you all for your advises today

 

[Andy Nguyen]

Wouw this site rocks, I am so glad that I found this.

Maybe you can email your friends and tell all of them about Quantnet. Spread the word around.

 

[senoz]

Maybe you can email your friends and tell all of them about Quantnet. Spread the word around.

Sure, I have several friends who want learn more about financial engineering master programs.