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I would say it's easier to get a job in risk management (likely in investment banking) than quant trading coming out of an MFE degree. This is primarily a conse

I would say it's easier to get a job in risk management (likely in investment banking) than quant trading coming out of an MFE degree. This is primarily a consequence of how the MFE programs are set up, what they teach and the network of the professors etc.

ruang 13y ago
So quant funds don't use that much calculus? Primarily statistical techniques? I would guess that might be the case since pure arbitrage no longer works and thus quant funds have to delve into more probabilistic strategies like stat arb.
- shogunmike 13y ago
  Yeah, this is pretty much the case. The quant derivatives pricing teams at banks are where the stochastic calculus folk tend to head to. Their teams are generally highly respected in this area. Also, banks are doing a different job to funds. Banks are generally interested in assessing the risk or trading risk of these products, either on prop (i.e. with their own funds) or to clients. Funds tend to concentrate more on statistical/machine learning/econometrics research approaches. The culture is generally more like a research institute thank a bank. They tend to hire more PhDs from Comp Sci, whereas banks will hire directly after MFE or straight out of undergrad.
  - deleted 13y ago
    [deleted]
  - ruang 13y ago
    Is that why physicists (vs computer scientists) are no longer recruited as actively for quant trading roles? It seems like all the low hanging fruit has been arbitraged away. I've worked with a Math PhD from Princeton before in prop trading and he always lost money.
    - shogunmike 13y ago
      Machine learning techniques are becoming more common. Hence a shifting trend towards CompSci away from Physicists. The latter were often hired due to their modelling/probability capabilities in PDEs for derivatives pricing. Also CompSci comes with a (perceived) "built in" ability to carry out good software development practices.

ruang 13y ago

So quant funds don't use that much calculus? Primarily statistical techniques? I would guess that might be the case since pure arbitrage no longer works and thus quant funds have to delve into more probabilistic strategies like stat arb.

shogunmike 13y ago
Yeah, this is pretty much the case. The quant derivatives pricing teams at banks are where the stochastic calculus folk tend to head to. Their teams are generally highly respected in this area. Also, banks are doing a different job to funds. Banks are generally interested in assessing the risk or trading risk of these products, either on prop (i.e. with their own funds) or to clients. Funds tend to concentrate more on statistical/machine learning/econometrics research approaches. The culture is generally more like a research institute thank a bank. They tend to hire more PhDs from Comp Sci, whereas banks will hire directly after MFE or straight out of undergrad.
- deleted 13y ago
  [deleted]
- ruang 13y ago
  Is that why physicists (vs computer scientists) are no longer recruited as actively for quant trading roles? It seems like all the low hanging fruit has been arbitraged away. I've worked with a Math PhD from Princeton before in prop trading and he always lost money.
  - shogunmike 13y ago
    Machine learning techniques are becoming more common. Hence a shifting trend towards CompSci away from Physicists. The latter were often hired due to their modelling/probability capabilities in PDEs for derivatives pricing. Also CompSci comes with a (perceived) "built in" ability to carry out good software development practices.