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macrocephalopod‏ @macrocephalopod 16 Jul 2021

macrocephalopod Retweeted Paul Graham

If you want to work in quant finance, don't do MFE/CQF. Get a degree in math, physics, CS or EE like ~90% of existing quants.https://twitter.com/paulg/status/1416002575862804482 …

macrocephalopod added,

Paul GrahamVerified account @paulg

Avoid getting degrees in subjects whose best practitioners rarely have such degrees. E.g. many mathematicians have degrees in math, but an MFA seems to be distinctly optional for writing.

36 replies 14 retweets 227 likes

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math destroy (Epsilon Greedy)‏ @SouadH9 16 Jul 2021

Replying to @macrocephalopod

Or do a MFE in France ;)

1 reply 0 retweets 0 likes

math destroy (Epsilon Greedy)‏ @SouadH9 16 Jul 2021

Replying to @SouadH9 @macrocephalopod

And most physicists, EE.. Etc aren't trained in stochastic analysis (well except those do who choose a theoretical physics path or those working in Fluid Mechanics/Turbulence theory)

1 reply 0 retweets 1 like

Veronica Humble‏ @veronica_humble 16 Jul 2021

Replying to @SouadH9 @macrocephalopod

Tbh most mathematicians aren't either. In neither stochastic analysis, nor statistics (properly). Hence the constant battle about model parameter sensitivity etc

3 replies 0 retweets 8 likes

macrocephalopod‏ @macrocephalopod 16 Jul 2021

Replying to @veronica_humble @SouadH9

A huuuuuuge part of quant finance nowadays (maybe > 50%) does not need stochastic calculus at all, or only needs the very basics.

1 reply 0 retweets 14 likes

math destroy (Epsilon Greedy)‏ @SouadH9 16 Jul 2021

Replying to @macrocephalopod @veronica_humble

Most of PDEs pricers are stochastic calculus based. If you're not doing the math somebody already has done it already and programmed the solver you're currently using. However if you work in quant risk you cannot escape the math at all.

1 reply 0 retweets 2 likes

macrocephalopod‏ @macrocephalopod 16 Jul 2021

Replying to @SouadH9 @veronica_humble

I'm talking about the part of quant finance that doesn't touch options at all. Electronic trading, market making, execution, stat arb, quant hedge funds, fixed income, risk (on delta one). That is probably > 50% of quant nowadays!

3 replies 0 retweets 14 likes

math destroy (Epsilon Greedy)‏ @SouadH9 16 Jul 2021

Replying to @macrocephalopod @veronica_humble

I can't speak for all of them but in market making you better know how to do stochastic control and in risk what Sobolev space are. It's true most of quantitative finance is automatized but imo automation is only working when you have a math guy who can see what's going on

2 replies 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 16 Jul 2021

Replying to @SouadH9 @veronica_humble

Completely disagree - academics love to write papers about stochastic control for MM but I have never heard of a market maker that used it (in two firms I worked at and many others where I know people). Use of Sobolev spaces in practical risk systems - even less common!

5:48 AM - 16 Jul 2021

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5 replies 0 retweets 8 likes

1. math destroy (Epsilon Greedy)‏ @SouadH9 16 Jul 2021
  Replying to @macrocephalopod @veronica_humble
  
  Well JS uses it :p and most monetary risk measures involve high order spaces like Banach (VaR for instance)
  
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