Statistics programs

xfd · Post by **xfd** » Mon Mar 10, 2008 3:09 am

Does anyone have opinions (firsthand or otherwise) regarding the top MA or MS programs in Statistics? Afterwards, I'd be looking to work with a group that does model-driven trading. I am certainly aware that programming is an important skill and am studying that as well as the math prereqs. The specific degree doesn't really matter- if there are Econometrics/Applied Math/etc. programs that would give me the same knowledge and are sufficiently appealing to hiring firms that's great too. Currently I'm looking at Columbia & Chicago's stats programs.

To be clear, I don't think I'm interested in an MFE or similar quant finance degree. My undergrad is in finance, and I'd much rather spend time learning the statistics/math/comp sci and make the appropriate links to finance on my own. If anyone thinks this is a bad idea that would be valuable to hear too, I guess.

Thanks in advance for any advice you can give.

doobs · Post by **doobs** » Mon Mar 10, 2008 4:23 am

For model-driven trading, I think ML/AI oriented computational Stat programs at Stanford, and Cal might be better picks. CS programs also can potentially be a good fit for your needs as well.

jungle · Post by **jungle** » Mon Mar 10, 2008 12:18 pm

Stanford. AFAIK, you should have some electives to play with, which you might be able to do in ML.

nuno · Post by **nuno** » Mon Mar 10, 2008 2:59 pm

could you elaborate more on what you're looking for? it's not clear why CU stats is a better fit than anything else. if you're interested in model-driven training, you might consider going somewhere that at least has courses in that. (e.g., this google search turns up this nyu class.)

Maggette · Post by **Maggette** » Mon Mar 10, 2008 5:20 pm

Little bit of thread jack...but nuno's link has a nice further link to reading material, where you have free access to this

I only had a short look at it, but they state:"Its authors, Frank J. Fabozzi, CFA,

Sergio M. Focardi, and Petter N. Kolm, have translated the often highly technical

jargon and mathematical language used by “quants” into plain English."

I have much respect for these guys, but I am a little bit sceptic about this "verbal" approach....anyway, just waanted to show the link, if anybody is interested...Sorry for the noise

edit:corrected some errors..have a some trouble with my keyboard, sorry

xfd · Post by **xfd** » Mon Mar 10, 2008 6:55 pm

First, thanks to everyone who's responded thus far.

To elaborate a bit: I'm interested in testing and developing quantitatively oriented strategies. From what I gather, there are various ways to go about this, from ML/AI to systems that are perhaps grounded more in theoretical statistics. My goal is to be very competent in both- I love solving problems, and when one presents itself it seems ideal to have a rich set of tools in one's arsenal. As such, it is very important to me that whatever program I enter gives me the flexibility to take a multi-disciplined approach. I mentioned Columbia because (a) I live in NY (b) they seem to fit the bill flexibility-wise. Chicago because of (b).

Regarding NYU, nuno, I'm aware of the class you've linked to. There's also one that deals with Econometrics & stat "arb". Certainly those look like lots of fun, but when I look at the rest of the classes in that program, it seems that there's significant focus on no-arbitrage pricing, portfolio theory, etc. Since I was through that stuff in undergrad (admittedly with less mathematical rigor) and I'm mostly interested in analyzing data, those courses are less attractive. In short, I'm hesitant to pick a program where in 70%+ of my classes, I'd feel like I was just in the class to be able to take something else. Put differently, at this point I think I'm happy to trade courses with direct application for increased analytical skills. If anyone thinks this is a bad trade, please tell me why. In any event, that's why I'm curious about people's opinions on Stats or possibly CS/Applied Math programs.

Hope this makes things clearer. Thanks again.

nuno · Post by **nuno** » Mon Mar 10, 2008 7:00 pm

hmm. if you're looking for a bit of ML in NY it's sounds like you're looking for a machine learning master's track. i don't know if NYU has one but some googling reveals this at CU which might be what you're after (of course they have applied math and finance stuff too if you want to sit in on those courses)

xfd · Post by **xfd** » Mon Mar 10, 2008 7:07 pm

thank you, I will take a look. I am not set on being in NY, I'll go wherever the best place is really.