Role of a Statistician in Quant World

debkumar · March 21st, 2013, 10:49 pm

I am curious about the roles a statistician can play in the finance world. What are the jobs where knowledge of stats is more useful? Most of the job ads I see are more suitable for CS/EE people. So what are the specific roles for which stats degree is more advantageous than a CS/EE/Math degree?

Gamal · March 22nd, 2013, 6:57 am

DevonFangs · March 22nd, 2013, 8:48 am

Market risk too, I believe.

debkumar · March 22nd, 2013, 12:17 pm

What are the areas in Stat that are used more often?

flashCrash · March 22nd, 2013, 12:58 pm

QuoteOriginally posted by: debkumarWhat are the areas in Stat that are used more often?Quants on the Buy-Side perhaps are the guys using stats, I don?t think so much the sell side (seems to me everyone on this forum is from the sell side working in modal-val / risk / back office).What stats, well they will definitely be using regression

debkumar · March 23rd, 2013, 1:23 am

QuoteWhat stats, well they will definitely be using regressionSo can someone from the buy side give a rough picture about the things they do? Tools they use?

debkumar · March 23rd, 2013, 1:24 am

QuoteOriginally posted by: GamalHFTCan you please elaborate a little more?

bearish · March 23rd, 2013, 12:20 pm

QuoteOriginally posted by: debkumarQuoteWhat stats, well they will definitely be using regressionSo can someone from the buy side give a rough picture about the things they do? Tools they use?In the inimitable words of Hubertus Bigend: "We have no future because our present is too volatile. ... We have only risk management. The spinning of the given moment's scenarios. Pattern recognition."

neuroguy · March 23rd, 2013, 1:55 pm

In practice:RegressionPCAFactor AnalysisNumerical OptimisationPortfolio theory:Optimisation (i.e. Langrange multipliers etc)Linear algebrabut these things dont work in unmodified form because asset prices are not smooth, so one might be also interested in methods to estimate covariance matricies

Alan · March 23rd, 2013, 2:26 pm

QuoteOriginally posted by: debkumarQuoteWhat stats, well they will definitely be using regressionSo can someone from the buy side give a rough picture about the things they do? Tools they use?I worked for a money manager specializing in equity derivatives. We spent a lot of time refining volatilityprediction models. Although we used various econometrician's on a consulting basis, it would have helpedto have that kind of knowledge full-time on the staff.

debkumar · March 23rd, 2013, 3:01 pm

QuoteI worked for a money manager specializing in equity derivatives. We spent a lot of time refining volatilityprediction models. Although we used various econometrician's on a consulting basis, it would have helpedto have that kind of knowledge full-time on the staff.Good to know. So there is still hope for me On a side note how prevalent are the use of Bayesian techniques?

Alan · March 23rd, 2013, 7:12 pm

Hard for me to say. Inference is often too sloppy to even be called inference, much less Bayesian inference.But, there are big areas, like machine learning, which I don't know much about.A general answer for `is technique X used?' is: wall street (and your career) is what you make of it; ifyou have some methods that some potential employer might benefit from, be sure to let them know.

Gamal · March 23rd, 2013, 7:59 pm

QuoteOriginally posted by: debkumarQuoteOriginally posted by: GamalHFTCan you please elaborate a little more?High frequency trading. You use ARMAs, GARCHes, mean reversions, momentums (Markov and conditional Markov properties), moving averages, positional statistics... And a lot of magic too.

debkumar · March 24th, 2013, 1:28 am

QuoteOriginally posted by: GamalQuoteOriginally posted by: debkumarQuoteOriginally posted by: GamalHFTCan you please elaborate a little more?High frequency trading. You use ARMAs, GARCHes, mean reversions, momentums (Markov and conditional Markov properties), moving averages, positional statistics... And a lot of magic too.Magic tricks are always nice. And stat is all about magic Any article that you can refer me to describing the problems they deal with/

Gamal · March 25th, 2013, 3:27 pm

Use google, I don't have any special in mind. You know, it's not science, people publish less and worse.