Statistics and Finance profile

[hedgequant]

Any thoughts would be greatly appreciated. I am applying to both stats and finance programs because my research interests are in areas that span both disciplines, such as Bayesian applications to asset pricing, game theoretic topics in statistics and others.

I am also starting a Masters in stats program this fall at Texas A&M University, which I believe is a top-15 stats program. So at a minimum I will have the following classes added by the time I enter a Phd Program: mathematical statistics, multivariate statistics, programming in R, SAS, etc., and Statistical Inference.

Please let me know if there are any stats programs that might find this type of profile favorable. I know the finance world pretty well, but I am still trying to uncover statistics programs and faculty that might be a great fit.

You can also email me at myopiamovie (at) gmail (dot) com

Age: 29

Undergraduate Education: BBA, Finance with Economics minor from top 10 public university/top 10 business school. 4.0 GPA, graduated #1 in my class.

Relevant Undergrad Coursework: Statistics, 9 hours upper division Economics (mostly theory-based courses), 8 hours Calculus (don't get me started...this was literally all that I was allowed to take).

Graduate Education: partial completion of MSc Financial Economics from the University of London. Graded on a 50/60/70 scale (with 70+ being highest marks/Distinction). Distinction marks in all courses taken.

Relevant Graduate Coursework: International Finance (theory), Banking Theory, Microeconomic Theory

Additional coursework being completed: Differential Equations (expected A), Linear Algebra (A)

Statistical Familiarity: MatLab user for 3+ years, and designed my firm's proprietary statistical software package; currently training the basics of SAS and R

Relevant Work Experience: 5 years as Director of Research for a multi-billion dollar asset management firm. Responsibilities included conducting and internally publishing original research in both theoretical and applied finance, from designing models for trading illiquid securities to testing industry-standard pricing models for derivatives pricing, etc. We were not allowed to publish our proprietary research externally, but I did present at a conference in London in 2007, and also lead a portfolio construction seminar at age 24.

Letters of Recommendation: The letters themselves are glowing, but from no one of notoriety. I am currently looking to upgrade one of the letters from an Assistant Professor to a grad professor who I will be taking classes from this year. One of my 3 referees is a former colleague (not a supervisor, but someone with whom I collaborated on various research initiatives while working in "industry").

GRE: 570 V, 800 Q, 5.0 W

Statement of Purpose/Research Interests: I believe my SOP is strong, and I am custom-tailoring about 50% of it to each individual school. My research interests include:

game theory applications to pricing derivatives, volatility, etc.;

Bayesian equilibrium responses;

status quo bias and volatility;

equilibria in asymmetric payoff games with incomplete information;

correlation/covariance modeling;

union of liquidity, behavior and cross-asset equilibrium pricing (no arbitrage)

My SOP focuses on my past industry experience as a proving ground for practical applications and how I have purposefully transitioned to a desire for pure research and publishing. I have augmented my formal mathematical training this year, and have not been in industry since 2008. I have actually worked with people such as Andrew Lo, Paul Wilmott, Aaron Brown and others while pursuing more application-focused research. I know there is a stigma regarding "industry" and that need not be rehashed here, but I have taken 2 years to dedicate myself to this new path, and I believe my dedication will show through in my application.