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cmrocks · 05-19-2014 11:26 AM

Hi,

Not sure if this is the right place to post about this or not. I figure that there must be a couple guys on the board involved in quantitative finance.

I'm currently in grad school doing an MSc in geo/spatial statistics. It's pretty heavy on statistical math and programming. Right now, I'm about half way done my MSc and already I'm fairly good at programming in Matlab and Fortran.

When I'm finished this MSc, I want to go back to work as a geostatisician (I would be making resource models) for a couple years. Eventually, I would like to work at a bank in the investment banking arm doing research and analysis on the mining sector.

What I'm looking for is a good book or resource to start learning how to code in Matlab for financial purposes. I have all the expensive toolboxes on my student license and I think it would be a good time to start learning that skill in my free time.

I would like to get to the point where I can make a trading model that downloads information from a free source like Yahoo then fits the data with a model and makes buy/sell recommendations based on that. I think this is within my current programming ability in Matlab. I do; however, need some good resources.

There are so many books out there and I'm not sure which to buy.

frenchcorporation · 05-19-2014 02:32 PM

The below is a good link on becoming a quant developer

http://www.quantstart.com/articles/Self-...-Developer

As for the part of your post that I've bolded below:

(05-19-2014 11:26 AM)cmrocks Wrote: I would like to get to the point where I can make a trading model that downloads information from a free source like Yahoo then fits the data with a model and makes buy/sell recommendations based on that. I think this is within my current programming ability in Matlab. I do; however, need some good resources.

There are so many books out there and I'm not sure which to buy.

The Pandas library in python can help you do exactly that.

In fact, I'll paste working code below, type it into a python shell (without the initial '>>>' obviously )
You'll also need to install the Pandas and matplotlib libraries

Code:

>>> import datetime

>>> import pandas as pd

>>> import pandas.io.data

>>> from pandas import Series, DataFrame

>>> import matplotlib.pyplot as plt

>>> import matplotlib as mpl

>>> start = datetime.datetime(2006,10,1)

>>> end = datetime.datetime(2012,1,1)

>>> aapl = pd.io.data.get_data_yahoo('AAPL', start=start, end=end)

>>> aapl.head()

>>> aapl_close = aapl['Close']

>>> aapl_close.plot(label='AAPL')

>>> plt.legend()

>>> plt.show()

for a further example check out this little tutorial

http://nbviewer.ipython.org/github/twiec...sics.ipynb

And scroll down to the 'Creating/loading time series data' section

TopPanda · 05-19-2014 02:51 PM

C#/SQL guy checking in.

I'd sure like to work in IT finance. But I've never got anywhere in job interviews in the City of London.

Knowing code is only half the battle - if you want to earn $$$$$ then you need the right look, and the right accent. Plus where there's money, there's competition. Last month I aced the developer test for an insurance co, but they never hired me.

As to learning coding, the best way I know is to have a project, then if you don't know how to do something, look it up. That's how I'm learning HTML 5/jQuery right now.

cmrocks · 05-19-2014 02:55 PM

Thanks for the input guys.

French,

Would you say that Python is better than Matlab? I know that it's free and open source. I've used both in my time at grad school but I prefer Matlab because it's so much more polished than Python is.

As for getting a job. I'm hoping to get in through a bit of a side door because I have a somewhat unique skill set. I was a geologist for four years before going to grad school. I have a good understanding of the mining industry. Now, I'm training in building resource models. If a bank invests in a mining company, they are basically investing in a resource model.

frenchcorporation · 05-19-2014 03:03 PM

I barely used Matlab whilst I was at university, so I cant really comment on that

Python is gaining popularity in the finance sector, so it would be a good investment

cmrocks · 05-19-2014 03:49 PM

Thanks.

I copied that Python code into Sublime Text and it built with no problems.

I think that maybe I will use this as an opportunity to learn Python. I have Python all set up on my laptop so I can work on it from home.

cmrocks · 05-19-2014 03:50 PM

Not to mention, a quick Google search shows that a ton of free tutorials for financial analysis in Python. All the Matlab tutorials, you have to pay for.

mikado · 05-19-2014 04:57 PM

http://www.mathworks.fr/videos/search.ht...onnelle%22

Some tutos are in french, but you can overall search for english ones.

You just have to register ( easy, you don't pay anything)

And you get all the tutorials and webinars.

monster · 05-19-2014 05:05 PM

hmmm, is all that quant stuff generally coded in matlab?

cmrocks · 05-19-2014 05:15 PM

(05-19-2014 05:05 PM)monster Wrote: hmmm, is all that quant stuff generally coded in matlab?

Not sure. Matlab and Python are generally used as prototyping languages before something is hard coded in C. That's my experience anyways.

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