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Dear Xiruo,1, It will be a plus if you take PDE and time series, but it is not really a must. Depends on your time, you may or may not take it. But time series is quite useful in algo trading and when I worked in a Chinese private equity before joining Baruch, one colleague applied time series to designing a very successful trading algorithm. PDE theories seem to be useful in asset pricing and understanding Blackscholes model.2, Based on your background, it is more important to improve your programming background. C++ is very important in high-frequency trading and also Professor Dan is a big fun of C++. In addition to taking online C++ of pre-MFE, it will be better if you also take the advanced C++ online course. Data structure and some common algorithms (quick sort, heap sort stuff) are must to take. Numerical Analysis is also recommended to take. If you still have time, machine learning is good to learn.3, For finance background, read John Hull (option futures and other derivatives). Actually, macro and micro economics do not seem to be quite important in this program. But option theories and models, especially Black-Scholes, are quite important and are common topic in interview.
Dear Xiruo,
1, It will be a plus if you take PDE and time series, but it is not really a must. Depends on your time, you may or may not take it. But time series is quite useful in algo trading and when I worked in a Chinese private equity before joining Baruch, one colleague applied time series to designing a very successful trading algorithm. PDE theories seem to be useful in asset pricing and understanding Blackscholes model.
2, Based on your background, it is more important to improve your programming background. C++ is very important in high-frequency trading and also Professor Dan is a big fun of C++. In addition to taking online C++ of pre-MFE, it will be better if you also take the advanced C++ online course. Data structure and some common algorithms (quick sort, heap sort stuff) are must to take. Numerical Analysis is also recommended to take. If you still have time, machine learning is good to learn.
3, For finance background, read John Hull (option futures and other derivatives). Actually, macro and micro economics do not seem to be quite important in this program. But option theories and models, especially Black-Scholes, are quite important and are common topic in interview.
