Quantitative finance jobs for a pure mathematician

November 29, 2010 8:54 AM

I'm a pure mathematician with a Ph.D. and I'm currently a visiting professor at a large state university. However, I'm looking to switch gears and get into the quantitative finance field. The problem is that I don't know anything at all about finance. I know that there are companies such as D. E. Shaw that hire mathematicians that don't have financial experience; what other companies should I look at? Is there any general advice you'd give someone in my position? Also, I have my Ph.D. from a well-regarded state school, but I'm not an Ivy-leaguer; does that put me at a disadvantage?
posted by Frobenius Twist to work & money (6 answers total)

I'd forget looking at specific companies until you're in a position to set yourself apart from others seeking to enter the field.

And the single best thing you can do to differentiate yourself is develop what I call market awareness. You don't have to know everything that is going on (which would be rather impossible, to say the least, but you should know the basics.

If I was interviewing you, I'd consider you market aware if you could tell me what is the US base rate now? Where was it six months, a year, three and five years ago? That yield curve, what was it doing during this time period? And how about US equities, same question. What were the drivers of change? What happened geopolitically during that period that drove change? How could you have made money from it (assuming you've got perfect hindsight)? What is your market view going forward? You buying or selling and why? Where would you push cash to work now and what markets would you avoid and why? What's your view on the BRIC economies compared the Developed Nations - up and coming or media driven hype that will flame out in less than a decade? Why (remember, back in the 80s everyone thought Japan would own the planet by now)? China, same question but bigger opps and risks. QE 2, what is it and, most importantly, how do you propose to profit from it? Who is gonna get screwed by it and can you suggest ways to profit from said screwing (i.e., selling them protection)? And the Euro, you'd better know the current situation and have a cogent outlook for the next year / three years / five years. Gonna split up or boom? And what about America or The BRIC nations during the same time period, same question.

Lots of these questions don't have right or wrong answers; rather you're taking a view and defending it. Try to develop a feeling for what's happening in the markets now and, on the basis of your look back, what you think might happen going forward.

Develop key knowledge in at least one product area (e.g., US equities). Become an expert and be able to discuss significant events over the past two decades or so. Tell me where your market will be in five, maybe ten years. Convince me.

All of this will tell those interviewing you that you're interested in the subject matter (and of course you are / will be) and can contribute a unique view. Only then should you start to approach companies.

You should be able to accomplish this self-education in less than a year, simply because of the research skills you've acquired while pursuing your Phd.

Enjoy your research. Don't be surprised if you get obsessed. It happens to all of us. Best of luck!
posted by Mutant at 9:19 AM on November 29, 2010 [7 favorites]

MeMail me and I'll put you in touch with a friend who is a math Ph.D., and who used to work at Shaw. I think Shaw riffed a bunch of quants a while back, so I don't know how vigorously they're hiring at the moment, and it might not be the scene you want at all.
posted by Sidhedevil at 10:23 AM on November 29, 2010

I can't directly answer your question, but may have some useful pointers.

You might like Emanuel Derman's book My Life as a Quant. The author describes his transition from a theoretical physicist into a analytic finance person. He includes some of the math formulas and models he and his team built, the underlying intuitions behind those models, as well as a flavor of what the culture was like working in the field.

There's also a biography of Fischer Black that I really liked, which describes some of the models he helped develop for pricing options as well as the general culture of being at the crossroads of academia and finance.

Lastly, one thing my brother mentioned to me (he used to run a hedge fund) is don't be an F9. Basically, in Excel, you can re-run all the calculations in a spreadsheet if you hit F9, but the term was a derogatory one for people who hit F9 over and over, relying solely on calculations while not having a deep intuition of what was actually going on in the model or the market.
posted by jasonhong at 11:51 AM on November 29, 2010

There's also How I Became a Quant, which contains 25 stories of how people became quants. I haven't read it yet but it's on the ridiculously large shelf of library books that I have checked out right now because I am faculty and they let me keep books out for a year.

Also, I know someone who worked at Shaw between college and grad school (2003-04, IIRC) that I can get you in touch with. He got his PhD in '09 (in algebraic geometry!) and is now a visiting assistant professor in mathematics at a Big Fancy School.

jasonhong: Lastly, one thing my brother mentioned to me (he used to run a hedge fund) is don't be an F9

Oh man, there are some of my current students that I'd totally describe this way. (Who knows, some of them might end up working for hedge funds.)
posted by madcaptenor at 2:15 PM on November 29, 2010

If DE Shaw's desire for mathematicians is proportional to the number of branded rubik's cubes they hand out at every single conference in the Bay area, then I can say with confidence that they are, indeed, interested in hiring people like you. If I were you, I would give them a call and see how things go. If they don't go well, I would follow Mutant's advice and call back once you're studied up.
posted by kaibutsu at 1:04 PM on December 19, 2010

kaibutsu: you were at that conference? I wish I'd known!
posted by madcaptenor at 6:47 PM on December 19, 2010