Seeking advice on preparation for quant summer internship

[seanchen]

Hey guys,

I'm planning to work for an AM as a quant intern this summer, so I will greatly appreciate your advice on how to prepare myself for this position.

The position is with the quant research team, which uses matlab extensively to build models for interest rate movements prediction, corporate credit, etc. As a undergrad math&econ major, my exposure to programming is limited to using matlab in my math class and building econometrics model for a project (in finance class).

So I guess my question would be what knowledge/skills I should start working on now to better position myself during the internship. And what books would you guys recommend? Thanks!

P.S.: I have taken courses like statistics, linear algebra&differential equation, optimization, and numerical analysis.

 

[Ken Abbott]

Make sure you understand QP. Read sector research reports.

 

[seanchen]

Make sure you understand QP. Read sector research reports.

Thanks for your reply! Could you please elaborate a little bit on how QP(I assume you meant quadratic programming) is used in work? I used financial toolbox before for portfolio optimization, but I assume the optimization toolbox will be used in this case, right?