Intro to the MScFE Program
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Welcome to the WorldQuant University Masters
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in Financial Engineering Program.
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You're about to embark on a journey that many
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Financial Engineers would be envious of.
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As you begin your coursework, you may wonder, what does
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an FE actually engineer? Mechanical Engineers
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make bridges and tunnels, Electrical Engineers
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design motherboards and circuits.
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So what is it that an FE makes? The
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answer is models or solutions
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for finance. These can take the form
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of pricing and hedging formulas and software
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using real-time data feeds that allow
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a decision maker such as a Risk Manager
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or Portfolio Manager to operate applying best practices.
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Financial Engineers can also work for non-financial corporations,
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applying quantitative principles to
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make decisions in complex situations.
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For companies large and small that are
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faced with decisions under uncertain conditions, the tools
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used by Financial Engineers are highly
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applicable.
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In building these models, you'll combine a wide variety
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of disciplines including mathematics, econometrics,
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statistics, data science,
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programming and behavioral finance.
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To help you learn how best to use and apply these
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tools, the Program is very intentionally structured.
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All the courses have been developed in an
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integrated way.
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Think of the entire Program like a
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streaming series. The show is called "Financial
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Engineering" and it's got nine
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seasons for you to enjoy.
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Each season represents a course and the
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main ideas will be like characters that
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grow and evolve.
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The Program has been conceived as
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a series of four Tracks.
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The first two courses, Financial Markets and
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Financial Data,
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form the Foundations Track.
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Financial Markets gives you exposure to all
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the main ideas in the Master's Program and speaks
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to both newcomers and practitioners.
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The Financial Data Course builds upon those ideas by using
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empirical data and python code
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to illustrate the concepts and motivate the need
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for building tools.
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The second Track, Machine Learning, consists of
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Financial Econometrics, Machine Learning and Finance
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and Deep Learning for Finance. These courses
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focus on how to find patterns in financial
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data using statistical and Machine Learning
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methods for time series analysis in order
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to understand interpretation and
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prediction problems. In this
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Track there's never just one way to tackle these problems. There
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are often a variety of models competing. So
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you'll learn how to build and interpret these models
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and ultimately compare them with one another. Indeed, through
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your understanding of Machine Learning, you may combine approaches
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integrating many models at once.
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The third Track is Stochastic Methods. This
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Track begins after Financial Econometrics and
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will introduce derivatives into your toolkit.
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It contains two courses, Derivative Pricing
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and Stochastic Modeling.
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Think of this as the more mathematical part of
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the Program with more right or wrong answers. You'll
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be working with linear algebra, stochastic calculus
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and differential equations, where
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many of the problems are based on finding derivative
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prices or modeling volatility.
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While foundational to achieving more advanced work,
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this portion of the Program may be a little more difficult as
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some of the concepts are significantly more
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abstract.
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After completing Stochastic Modeling, the focus
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will shift back to Machine Learning where you'll use
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your new math skills to dive deeper into feature
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extraction, pattern recognition and optimization.
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The Track ends with Deep Learning
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for Finance, which bridges statistical and
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mathematical knowledge to find optimal solutions
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to a variety of problems such as
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minimizing risk or maximizing
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return or finding an
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optimal back testing strategy.
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Finally, you'll proceed to the Practitioner Track, where
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both course titles contain the word "Management."
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In Portfolio Management, you'll look for
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optimal portfolios among pools of assets and
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measures of their volatility. In Risk
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Management, you will measure and manage the risks associated
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with securities, portfolios, business,
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industries, institutions
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and even macroeconomics. Think
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of applying the statistical, mathematical and
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computational tools in your toolkit to ensure that
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you not only find the pattern or optimize
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a model, but also provide a coherent,
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proven and practical solution.
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Some final notes. 1. The Program is
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designed to be iterative. As you
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go through the Program, you will see material that is
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not fully explained in each instance, but is
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reintroduced from module to module or
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from course to course. As you see it
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repeated, you build mastery and particularly
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as you apply information, your understanding
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of the material's complexity will grow.
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You may get distracted by becoming too focused
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on one particular aspect of the toolkit
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such as program.
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While it's wise to master these tools, make sure
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you set your sites on the big picture. You are
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always solving a problem in finance. Your solution
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will likely be a comprehensive portfolio, price
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or hedge rather than
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just a p-value or regression model.
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Lastly, finance is more of a social
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science than a physical science.
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Publishing how a physical system works doesn't
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change the laws of the physical system.
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However, if you were to publish findings in
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finance and make those widely known, people might
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change their market behavior to the point that
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the published models no longer apply.
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The goal is to make you think critically about
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these models.
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We encourage you to work creatively with them.
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To ensure that you get the most out of your educational
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experience
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you'll need to actively engage with the material
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and to continually work collaboratively with your
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groupmates and classmates.
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Stay connected with one another,
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collaborate productively
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and you'll make lifelong friends and colleagues.
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Let's get started!
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