h*s
发帖数: 574 | 1 macro-type
asymmetric info-type
These two types are widely recognized by serious economists.
Econometrics type asset pricing is seldom accepted by these guys. The
exceptions are those classical papers. |
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k*****s
发帖数: 231 | 2 please send me your email |
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z*******r
发帖数: 12 | 6 应该有financial economics（asset pricing）和 financial econometrics
吧，两门基础课 |
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d********l
发帖数: 282 | 7 come on, they are not that stupid...
In terms of quantitative requirements, basically are the coursework
previously taken. say, maths, econ, stats.... even management area requires
a lot of econometrics and statistics. |
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a****a
发帖数: 2 | 8 还有几个刊物的地位能否介绍一下：American Economic Review、Journal of
Econometrics, Econometrica? |
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x********4
发帖数: 405 | 9 my understanding: msf is a one year program and you need to take 8-10
finance courses like investments, corporate finance, financial econometrics,
financial institutions.... while mba in finance is a two year program. you
need to take some other courses in your first year like accouting, marketing
, leadership etc...and in your second year, more finance electives... |
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b*******a
发帖数: 1 | 10 现在我有两个PHD的OFFER, 痛苦抉择中，希望大家提些建议和重要信息。先谢谢了。
Offer 1: University of Waterloo的Economics Department里的Financial
Econometrics和Mathematical Finance（导师在这个领域）。这学校的经济系在学术界
没有reputation, 所以毕业生只可能在业界或政府部门工作。但是mathematical
finance（Master学生和统计、CS及数学PhD在Finance研究方向的学生在业界较受欢迎
。此Program 需要平均五年完成，四年的coursework和Research, 然后是一年政府或业
界实习。
Offer 2: University of Alberta 的Business School里的Finance。这个学校的商学
院MBA不出名，但是其Research 还是不错，毕业生多在商学院教书。此Program需要平
均五年的Coursework, Research 和Teaching才能毕业。
两个学校的Funding都不错，所以不是考虑因素之一。 |
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e*******e
发帖数: 1144 | 11 有哪些职位会喜欢 统计+计算机 背景的人？比如说保险公司里的某些职位？
不太想走quant，个人兴趣可能不在那里, 而且quant已经不是几年前的香饽饽了.
背景：a top CS program，主要是做一些statistical data analysis/machine
learning/data mining. 现在正在看econometrics，觉得自己的背景看这个方向的东西
很轻松也有兴趣. |
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d********l
发帖数: 282 | 12 ... business phd normally requires quantitative background... even for
strategy and policy, at least you've gotta be good at econometrics stuff...
wait till you get an offer b4 come and ask the probability of getting a
bschool faculty position... |
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m********5
发帖数: 619 | 13 a good econ background will get one through the first two years in the
program
and the rest of his career
big four experience will make one look like an accountant
both are important for an applicant to stand out
there is no point to compare the two
but let's face it
one cannot learn enough econometrics stuff from a econ master program
just as one cannot get enough business sense just by working a few years in
a
CPA firm
in my opinion, go read the top accounting/finance journals, and show
one's |
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w**********y
发帖数: 1691 | 14 Math／Stat背景申请Finance/Econ PhD求指教
小弟国内top５非清北本科数学毕业，美国３０～５０的统计系读phd２年，１年前拿了master学位。
源由：
想要转学的原因很简单，自己的兴趣，想用数学和统计知识结合实际去研究quantitative Finance；以后想做faculty，或者不行的话去上街做research quant挣钱.
其实现在药厂做实习，毕业后可以很轻松过来工作，薪水也有９～１０w。但是就是不喜欢这种无聊的工作和生活.既然坚定了自己的兴趣，现在不努力尝试一次怕以后遗憾一生。
申请方向:
Financial Econometrics里面偏数理的领域，asset pricing，high frequency finiancial data相关的volatility的研究和option的定价
弱点：
1.英语狂差，２周前刚重考过GRE：４１０＋８００
2.GPA也soso，本科３。６８，master ３。８６。不太会考试，而且修的课太多，我master每个学期至少４门课
优点：
1.不知道数学和统计的背景会不会加分很多，统计就不说了，数学方面SDE |
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n******t
发帖数: 4406 | 15 不太会考试，还要去名校读Ph.D，不是和自己过不去吗。。。
Math／Stat背景申请Finance/Econ PhD求指教
小弟国内top５非清北本科数学毕业，美国３０～５０的统计系读phd２年，１年前拿了
master学位。
源由：
想要转学的原因很简单，自己的兴趣，想用数学和统计知识结合实际去研究
quantitative Finance；以后想做faculty，或者不行的话去上街做research quant挣
钱.
其实现在药厂做实习，毕业后可以很轻松过来工作，薪水也有９～１０w。但是就是不
喜欢这种无聊的工作和生活.既然坚定了自己的兴趣，现在不努力尝试一次怕以后遗憾
一生。
申请方向:
Financial Econometrics里面偏数理的领域，asset pricing，high frequency
finiancial data相关的volatility的研究和option的定价
弱点：
1.英语狂差，２周前刚重考过GRE：４１０＋８００
2.GPA也soso，本科３。６８，master ３。８６。不太会考试，而且修的课太多，我
master每个学期至少４门课
优点 |
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K******r
发帖数: 152 | 16 Don't apply to more than one program in the same university, especially in
the same b-school. It reflects that you yourself do not know what you want.
If you want to find a job on street, you can try top school's econometrics
and statistics program, finance phd is too competitive to get in, especially
this year. |
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e*****m
发帖数: 320 | 17 小弟复旦金融本科，GPA 3.6/4.0, 现在一个一般州立大学读Econ PhD, GPA 3.86
转申finance是出于兴趣，看JF上面的paper蛮感兴趣的，还有就是目前的小学校名气太
差，经济系里finance方向的老头已多年不写paper，商学院连finance PhD program都没有
，以后想找这方面导师很困难
GRE 690 790 4.5 GMAT还没考，目标750吧
两封推荐信来自经济系教授，一封来自正在做RA的finance professor
本科数学课修的一般，phd-level的mathematical economics和econometrics是A，没有
另外上数学系的课，我知道这个背景相对于很多数学、工程背景的申请者是比较弱的
我感觉像我这样条件的申请者很多，难以stand out，可是又不愿在现在的学校憋死过去
希望大家给我点建议
下面是我根据utdallas列的选校名单，请狠拍，其实前十甚至前二十我还真不抱希望
7 UMichigan
8 UTAustin
11 UMaryland
14 UIUC
15 USC
16 OSU
18 WUST |
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G*****1
发帖数: 137 | 18 There are a lot of economics areas that may fit your background, e.g.,
Econometrics, Information & Industrial Organizations, General Equilibrium &
Financial Theory, etc. Talk to the professors of the schools in which you
are interested （套词） to see if they have people working on these areas.
You may need a GMAT for finance phd programs and a GRE for econ programs. |
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u****d
发帖数: 52 | 19 一直都对marketing有兴趣，但阴差阳错，本科和master读的都是理科，越来越想进入
商学院读PhD了，主要是喜欢静下来做点研究，目前对modeling很感兴趣，但是了解的
又不多，也没有任何这方面的背景和经验。
有人说econometrics和statistics方面的知识对以后做marketing方面的研究有用，而
我自己又没有这方面的知识，在考虑要不要先读一个economics或者statistics的
master或者选些这方面的课，再申请marketing。实在是觉得喜欢，不知道对marketing
的方向了解很多的人能不能给点什么意见呢？
多谢！ |
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s***r
发帖数: 1121 | 20 Look at economics area. One econometrics/AER = 3 JF. do not even mention
accounting. |
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s*******e
发帖数: 226 | 21 有几个econometrics 的问题不知到哪里去问。 |
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t**i
发帖数: 7 | 22 Notice the closing date is 6th Jan
Senior Postdoctoral Research Fellowships at the Oxford-Man Institute, Univer
sity of Oxford
Three year post, starting 1st September 2010
Grade 09S 2,351 - 9,096
(with a discretionary range to 3,650 p.a.)
The fellowships are likely to be accompanied by non-stipendiary College rese
arch fellowships, the details of which will be available at the interview st
age.
If no suitable applicants are identified on the grade 09S then the post may
be offered as a Research F... 阅读全帖 |
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t******g
发帖数: 2253 | 23 请问大家关于Financial Econometrics方面都有哪些比较好的期刊，还有这些期刊的大
致排名是怎么样的？谢谢大家了 |
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l*k
发帖数: 624 | 24 Under: China, Engineering, Top 4 U, GPA3.1, did not study hard
Master: Econ, USA, Tier 2 school, RA, no publication, some working paper,
GPA3.9
Master: Acct, USA, not famous school but acct rank is good, RA, still no
publication, GPA:3.8
Math: Multivariate Statistics (SAS), Regression Analysis, Econometrics...
GMAT:720, 5.5
TOEFL: waived(?)
RLs: 1) Econ Professor (3 courses & 1 project); 2) Director of current MAS
program; 3) Current RA professor in the MAS program.
Goal: Ph.D. in Acct, USA, Top... 阅读全帖 |
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t******n
发帖数: 91 | 25 我是本科（大家眼中的top2）过来的，现在在big 10 land grant university里面的一
所经济系读博士。这个学校工科很强（估计已经猜到了），但社科一般。我们系主要是微观
理论不错，其他的都慢慢不行了，特别是宏观已经没人了。而且没有quals，核心课程要上3个学
期，所以毕业的时间相当长。而且靠分数来screen，所以老师给分都蛮紧的，学习就跟本科一样，
fully care grades。无论是就业还是兴趣出发，我觉得商学院都更适合我。当年也是申请了几所
商学院的管理方向，无一例外地都把我拒了。当然，admission committee还是火眼金睛的。在
Phd一年之后，发现一年之前实在是太幼稚了，我觉得当年审我材料的人应该会窃笑。
个人原因加上兴趣，我一直有转学的打算。但与Finance的人上了不少课之后，我实在
是不明白Bschool是怎么录人的。因为合上了三四门课，确实没发现金融系的博士学术上很强，
从数理还是直觉上来说。实在是不明白商学院是怎么选人的。当然他们阅历确实比较丰富，不少有两
个master(MA+M. Eng)，也许是diversity?
从... 阅读全帖 |
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l*****6
发帖数: 162 | 26 finance的PhD不好读，比起其他专业(非商学院）辛苦很多。
finance的PhD不好申请，即使是100名的。除非你有名校的经济硕士。
另外，如果拿到了EE PhD在申请也许会有帮助。
如果有很多Paper,恭喜你，你可以展示一下你的research能力，或许会帮助你。
一些重要的课:microeconomics (at least Master level), econometrics/ advanced
regression/ stochastic processes/ differential equation/ real analysis 会帮
助你脱颖而出！ |
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f*********y
发帖数: 376 | 27 why not finance phd?
if finance, econometrics, micro, macro, all from Econ department, and some
finance phd courses from finance department
MBA course is ....you know |
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k**********a
发帖数: 255 | 28 【 以下文字转载自 Economics 讨论区 】
发信人: kimulatakuya (勤奋点啦), 信区: Economics
标 题: 统计博士找商学院教职
发信站: BBS 未名空间站 (Wed Sep 26 12:27:30 2012, 美东)
我代朋友问问 他是ｕRochester 统计学博士在读 想毕业后直接找商学院教授工作日有
这么几个方向 quant marketing Econometrics Finance. 不知这个想法可行否 |
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M*****6
发帖数: 14 | 29 【国内】顶尖战略咨询公司招聘Research Analyst
共有5个职位：
1. 顶尖战略咨询公司找Research Analyst – Healthcare，(pharmaceuticals,
biology, public health, etc.)，学校一定要国内外顶尖，已经毕业。
2.顶尖战略咨询公司找Research Analyst - Steel/Metals，Doctoral/Master’s/
Bachelor’s degree and an outstanding academic record, preferably in
metallurgical science or engineering industries，学校一定要国内外顶尖，已经
毕业。
3.一线战略咨询公司找Research Analyst in Consumer Goods & Retail Industry，&#
8226; Excellent communication skills in English and Mandarin (both oral and
written) Excell... 阅读全帖 |
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s******u
发帖数: 757 | 30 求推荐一个教材版本，
再请问哪里可以下载到相应的ppt？
谢谢 |
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e****d
发帖数: 333 | 31 招人的就是我直接老板，所以如果合适的话会很快。
Tier 1 Wall Street company is looking for a seasoned financial engineer PhD.
to join our model development team within the global Model group.
Job Duties:
-Conduct research to enhance and improve rating models (quantitative models
and scorecards).
-Publish research, attend external research conferences and participate in
professional training for the analytical staff.
-Supervise research and model development projects.
-Develop and maintain models and scorecards used in t... 阅读全帖 |
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mn
发帖数: 46 | 32 If you're interested in working for SAS, #1 best place to work. PM me.
Thanks.
===
Job Description
Software Developer-11003071
Description
Join the world's leading statistical software company and make a difference
in the way that analytical software is developed and deployed. SAS is
expanding its software for high-performance analytics.
In this position you will develop and support SAS software components for
high-performance computing. You will work closely with Ph.D. specialists in
statistics... 阅读全帖 |
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J**Y
发帖数: 34 | 33 In Bayesian econometrics, we need estimate the moments of functions of
interests, for example, the expecttation of f(a): E[f(a)|D], where
a is a random number and D is observed data.
E[f(a)|D]=Integrate[(f(a)*p(a|d)),{a}]. Where p(a|D) is posterior
density of a. Generally, we can not find
the closed form of the integration, so some numeriacl methods is neccessary.
The first method is Laplace's method. This method changes the problem
to a numerical derivative, which is much easier. However, this |
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g*****r
发帖数: 4 | 34 Just finished my econometric comp. FIML is asymptotically
equivalent to 3SLS without constraint on the variance matrix.
We know that if there exists heteroskedasticity or in the case
of simultaneous equation model, 3SLS is preferred, and thus FIML. |
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e******e
发帖数: 274 | 35 (1)What's heteroskedastic linear regression? if define
ln(sigma)=x'b, what does b represent? How does the result
compare to OLS?
(2)in estimating a conditional choice model,how can we check
the convergence of the maximization algorithm? How can we
derive analytically the elasticity corresponding to any one
of the independence variable?
Insights are very much appreciated. Please also recommend
some textbooks where these problems are explained in length.
Thanks a lot. |
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J**Y
发帖数: 34 | 36 1. Heteroskedastic linear regression means that the random terms for each
observation are not iid. They are still indepenpendent but with different
variance. Does sigma here mean variance of random term? If it is true,
we just use ln(sigma)=x'b to estimate the var-cov matrix first, then use
it to do GLS. b is just parameter to decide variance. Taking log for sigma
here is just to transfrom dependent variable to normal distribution, or we can
say we assum sigma is log-normal distributed here. The |
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J**Y
发帖数: 34 | 37 My experience is that the values of latent variable from truncated normal
are easily to explode. You may want to add some truncations into your code.
Additionally, since you normalize the 1st diagnol element of covariance matrix
as 1, you can not still assume this matrix is wishart distributed. You can
check a recent paper (2000) in J. of Econometrics to see how to estimate
this kind of identified MNP model by Bayesian.
An easy way is to work on unidentified model, in which you specify priors
on |
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c******e
发帖数: 746 | 38 http://ias.whu.edu.cn/prof/center_p.htm
Heng-fu Zou 邹恒甫
哈佛大学经济学博士，世界银行研究部高级经济学家，武汉大学高级研究中心主任，
北京大学光华管理学院应用经济系主任，北京大学董辅礽经济学讲座教授，中山大学岭南
学院经济学首席讲座教授，国家自然科学基金委杰出青年基金获得者，国家教育部社会科
学跨世纪人才。主要研究领域：财政政策、经济增长、宏观经济学、国际金融等。
Hongyi Li 李宏毅
俄亥俄州立大学经济学博士，香港中文大学商学院副教授，武汉大学高级研究中心教
授。曾任职于世界银行政策研究部，参与编写世界经济论坛《国家竞争力报告》。曾在Ec
onomic Journal, Journal of Econometrics, Biometrica, Journal of Time Series
analysis 、Review of Economics and Statistics 等国际主要期刊发表二十多篇论文。
主要研究和教学领域：商业统计与预测、计量经济学、管理经济学和经济增长与收入分配
。
Danyan |
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f****a
发帖数: 31 | 39 第一年快结束了，面临选advisor的问题，感觉很麻烦，
自己也没有特别的兴趣，就是本科毕业时做过一个关于家电业经验计量的PAPER，当时学
了一些IO和计量方法。现在也不知道是不是该搞这个：（
我所在的系比较小，所以选择并不多，从我的目标来说，并不是特别明确是当老师还是到
industry，毕竟才来一年。从选advisor考虑，这个教授现在得很发文章积极才行。
教授A，全系最牛的，搞micoecon，特别是game theory。
不过他的方向很小，就是social welfare和mechanism dsign。而且特别理论化，也比较
难学（他是数学博士出身）
副教授B，非常努力的女老师，韩国人，刚拿到tenure，还是工作狂。搞理论计量，主要
是时间序列，估计跟她比较tough，但对我这种惰性强的人未必不好。
教授C, 搞Experimental Econometrics， 也是唯一一个搞finance和bangking的，也很多
产，他的学生一般毕业前会有paper。但一个很大的问题是他搞得都和伊斯兰经济有关，
好像土耳其学生比较喜欢他。
副教授D，搞IO，据说是钠十的学生，人 |
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s********h
发帖数: 63 | 40 You should read Journal of Health Economics & Health Affairs to find out.
Health economics is not an independent program but as economics research on
information asymmetry, adverse selection and econometrics in the context of
health financing. I will say Harvard, Stanford, MIT and Chicago have top
programs since many good health economists I know graduate from these schools.
Newhouse is in Harvard's School of Public Health. |
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b********r
发帖数: 12 | 41 if you're interested in Maths, you can choose Info. Econ./ I.O., Auction,
Policy, Econometrics, ETC.
头 |
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f*****x
发帖数: 545 | 42 econometric guys here must be happy to know that. |
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h*s
发帖数: 574 | 43 two guys are important in closing some gaps in literature
but do not change other economists' thought on economics
However, they changed some softwares
just two techniques or tricks
Anyway, I do not know econometrics so just copy prof's comment
Prof said that the following two econometricians deserve Nobel more!
Lars Hansen
Chris Sims
He also mentioned a guy Rao but I do not know him. |
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s********l
发帖数: 439 | 44 what are the basic difference between 3SLS and FIML?
Thanks |
|
c*****i
发帖数: 51 | 45 FIML use idea of MLE s.t. zero blocks restrictions
3SLS use the idea of GLS, weighted LS
or you can think of 3SLS as GMM, with moment E[X'*(Y-Z*delta)] |
|
c**p
发帖数: 2 | 46 FIML is asymp effiecient if there is the normality assumption--reach CR bound.
3SLS is an extention of IV--2SLS. ---It should definitely consistent.---The
idea of using 3SLS is the stacked simultaneous equations.
Compared with the OLS equation-by-equation, when stacking for the equations,
more information are used now-- that is why we call it Full Information.
FIML & 3SLS are asymp equivaleint if there is no error covariance
resitriction. |
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d***q
发帖数: 1119 | 47 我后来发现之至是 对econometrics (time series)有兴趣。。
显然。。这个并非经济学之真谛。。
所以quit了。。改读应数。。。
计量。。有机会议后业余的时候再研究研究 |
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k***g
发帖数: 7244 | 48 search.eb.com, the best choice, but it is not very comprehensive.
www.wikipedia.org, very comprehensive, but be careful, there may be some
typos.
For mathematical economics, econometrics or game theory , try
http://mathworld.wolfram.com/
in |
|
q**c
发帖数: 179 | 49 generally for building financial models, what kind of classical
books to check? basically based on some data, to build models
to calculate the risks and find a best strategy to reduce
the risk. value at risk? econometrics?
are there any books giving detailed examples of building financial
models?
Many thanks! |
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h*s
发帖数: 574 | 50 看最后一段，所以我说瑞典人有可能不喜欢他的东西
Who is Edward C. Prescott?: Prescott is the Regents Professor and McKnight
Professor in Economics at the University of Minnesota. His webpage states:
"Edward Prescott received his Ph.D. from Carnegie-Mellon University in 1967.
He teaches in the areas of macroeconomics and econometrics. Professor
Prescott's current research focuses on organizations in general equilibrium,
theory and applications, theory of international income differences, data
representation, and depressi |
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