bayesian statistics

[vkaul]

Next semester I was planning to take a course. Due to schedule clashes I can take only one of Advanced Probability theory-2( in part 1 they already covered LLN and CLT) and Bayesian Statistics. Which one will be more useful for me going into finance? Advanced Probability theory-2 covers Martingale and Markov processes rigorously.

Statistics is used a lot in arbitrage kind of positions, so I am confused about the course I should take. Any suggestions?

 

[IlyaKEightSix]

I hear Bayesian stats is used in finance, though I haven't seen much of it myself yet.

 

[Alex.K]

Generally, take statistics if you are interested in trading, and probability if you are interested in pricing derivatives.

 

[const451]

Please, bear with me, I am just starting a program in spring. Is not derivatives pricing used for trading?

 

[const451]

Bayesian Adaptive Trading with a Daily Cycle by Robert Almgren and Julian Lorenz

http://corp.bankofamerica.com/publicpdf/equities/Bayesian_Adaptive_Trading.pdf

 

[vkaul]

What about Bayesian statistics specifically? Are they very useful?

 

[alain]

they are useful. We have seen application of that in dynamic linear models.