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barny
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How good at Maths do you need to be in order to be a successful quant?

April 9th, 2008, 1:25 pm

I gather a lot of physicists and engineers become quants, but from what I've read it seems one has to know rather a lot of pure maths and I can't logically see how engineers and physicists have the correct training to understand this maths. So how good at pure maths do you actually need to be? If you haven't done a course in Real/Complex Analysis do you still have a chance in understanding the Maths you'll need to be using in your day-to-day work as a quant? Also, how good in percentage terms relative to your peer group do you have to be in order to be a good quant? I have come to the realisation that I'm not in the top 5-10% of Mathematicians in this country so do I still stand a chance at having a succesful quant career?
 
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quantmeh
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How good at Maths do you need to be in order to be a successful quant?

April 9th, 2008, 3:17 pm

QuoteOriginally posted by: barnyI gather a lot of physicists and engineers become quants, but from what I've read it seems one has to know rather a lot of pure maths and I can't logically see how engineers and physicists have the correct training to understand this maths. So how good at pure maths do you actually need to be? If you haven't done a course in Real/Complex Analysis do you still have a chance in understanding the Maths you'll need to be using in your day-to-day work as a quant? so u think Real/Complex Analysis is pure math?! all physicists get training on this stuff. it's in basic math curriculum for physicists, it's not even in specialized courses for theor and math physicists.
 
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bostonquant
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How good at Maths do you need to be in order to be a successful quant?

April 9th, 2008, 8:08 pm

Depends on what you want to do. I'm a statistician and therefore a "second rate mathematician" but I would rather have my knowledge of time series analysis, regression (linear, robust, non-linear), neural networks (learning now), etc than be able to write a useless proof any day of the week...
 
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TraderJoe
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How good at Maths do you need to be in order to be a successful quant?

April 9th, 2008, 11:39 pm

QuoteOriginally posted by: barnyI gather a lot of physicists and engineers become quants, but from what I've read it seems one has to know rather a lot of pure maths and I can't logically see how engineers and physicists have the correct training to understand this maths.Physicists know maths OK.
 
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rmax
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 8:10 am

Reminds me of a joke I heard when I was an undergrad:What is complex maths a Physicist - second order differential equations.What is complex maths to a Chemist – Integration.What is complex maths to a Biologist an equals sign.
 
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Zedr0n
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 11:04 am

I also believe that physicists are ok with maths, as they really do need quite complex apparatus in their calculations sometimes. But I don't really see how one can have a solid understanding of stoch calc(which is a must for quant, no?) without real analysis. I'd also say one also needs measure theory(Lebesgue integrals, Girsanov theorem), probability theory, stochastica processes(at least BM, Poisson, markov processes(e.g. Ito diffusion)), Complex analysis is also nice(laplace transform), statistics, ode/pde(e.g. feynman-kac, general dirichlet problem, heat equation is obvious), numerical methods. Oh, well, and I think much more knowledge to actually be able to develop something new in a model. I'm not sure what you mean by peer group, it depends on what your peer group is. If you are an undergrad at top mathematical department you'd be hard pressed to be in top 10%(these mostly will pursue scientifical career, not quant).
Last edited by Zedr0n on April 9th, 2008, 10:00 pm, edited 1 time in total.
 
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Cuchulainn
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 12:05 pm

QuoteOriginally posted by: Zedr0nI also believe that physicists are ok with maths, as they really do need quite complex apparatus in their calculations sometimes. But I don't really see how one can have a solid understanding of stoch calc(which is a must for quant, no?) without real analysis. I'd also say one also needs measure theory(Lebesgue integrals, Girsanov theorem), probability theory, stochastica processes(at least BM, Poisson, markov processes(e.g. Ito diffusion)), Complex analysis is also nice(laplace transform), statistics, ode/pde(e.g. feynman-kac, general dirichlet problem, heat equation is obvious), numerical methods. Oh, well, and I think much more knowledge to actually be able to develop something new in a model. If you look at the threads here, you will see that very few deal with some of the above topics. There's a whole bunch of maths that is more relevant in my opinion. Lebesgue? who uses it?
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TraderJoe
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 12:14 pm

QuoteOriginally posted by: Zedr0nI also believe that physicists are ok with maths, as they really do need quite complex apparatus in their calculations sometimes. But I don't really see how one can have a solid understanding of stoch calc(which is a must for quant, no?) without real analysis. I'd also say one also needs measure theory(Lebesgue integrals, Girsanov theorem), probability theory, stochastica processes(at least BM, Poisson, markov processes(e.g. Ito diffusion)), Complex analysis is also nice(laplace transform), statistics, ode/pde(e.g. feynman-kac, general dirichlet problem, heat equation is obvious), numerical methods. Oh, well, and I think much more knowledge to actually be able to develop something new in a model. Spot on Zedron. And it is fairly straight forward for a good theoretical physicist to learn the necessary measure theory, Lebesgue calculus, stochastic analysis, Banach etc. required to become a proper quant. After all, we had to pick up string theory after Green, Schwarz and Witten published their book. Cheers,
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rmax
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 12:46 pm

If UBS had 1 USD for everytime TJ mentioned Banach Spaces........
 
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Zedr0n
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 12:46 pm

QuoteOriginally posted by: CuchulainnIf you look at the threads here, you will see that very few deal with some of the above topics. There's a whole bunch of maths that is more relevant in my opinion. Lebesgue? who uses it?yes, might be, though it's never bad to know more. What is more relevant maths in your opinion? - I still need to learn more And i thought the dt integral part in ito process was, formally speaking, Lebesgue integral.And the construction of Ito integral for that matter - it's all about L_2(P) space Well, another thing, that should a quant know the construction of Ito integral?
Last edited by Zedr0n on April 9th, 2008, 10:00 pm, edited 1 time in total.
 
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ppauper
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 12:54 pm

QuoteOriginally posted by: rmaxIf UBS had 1 USD for everytime TJ mentioned Banach Spaces........they'd have an awful lot of dollars !and yet, I don't think TJ would recognize a Banach Space if one walked up to him and hit him with a 2 x 4
 
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TraderJoe
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 1:12 pm

It amazes me how so many people blindly use the results of Weiner, Ito, Kolmogorov, Levy et al everyday and simply take for granted that the underlying theory is sound. It's like someone driving a car who is enjoying the ride but has NO IDEA what's under the hood! I guess a panel beater (coder) doesn't need to know about the theory of aerodynamics and wind tunnels. Boy oh boy.
 
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Cuchulainn
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 1:17 pm

QuoteOriginally posted by: rmaxIf ........You need this for all things that follow..Banach Space, 101
 
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quantmeh
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How good at Maths do you need to be in order to be a successful quant?

April 10th, 2008, 1:25 pm

QuoteOriginally posted by: Zedr0nBut I don't really see how one can have a solid understanding of stoch calc(which is a must for quant, no?) without real analysis. everybody studies real analysis. we had at least 3 semesters of it.measure - it helps to understand the thing, but did u read Levy's book on stochastic processes? it doesnt have measure theory in it. get that! ha-ha