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Thread: Real Analysis for PhD in Finance

  1. #1
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    Real Analysis for PhD in Finance

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    Hi everyone,

    I'm currently a Masters student in Applied Statistics at a good Mid-western school known for its engineering and Math/Stats program .

    I would like to know your opinion (especially people in a PhD program) regarding a choice that I have to make. I have to decide between taking graduate Real Analysis and Time Series for next semester. Although, I'm aware that both these courses are important in a PhD program, I was wondering if taking Real Analysis prepares you really well for the first year coursework especially for the Microeconomics Theory sequence or can one do without it? I am also aware that my grades won't be available to the adcom when they make a decision on my application.

    Also, I took Financial Econometrics at UNC Charlotte where I recently finished an MS in Mathematical Finance.

    I want to know in a general sense as to how important Real Analysis is for doing well in a PhD Finance program. I have a decent quantitative background having done my undergrad in electrical engineering although I have never really done rigorous proofs based Analysis.

    Thanks,

  2. #2
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    Microeconomics is pure calculus, except for the section on Game Theory. You can take Mascollel, Winston from your library and read it. If you can read it, you will be fine. Time series is more useful for Econometrics 1,2,3 and also for research.

  3. #3
    now it's Dr. TaxPhD
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    I would take the time series course, like TraderJoe said, I think it will be more useful in your econometrics courses and in practice.

    If you want to do analytical research though, I would consider the real analysis class instead.

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    Thanks a lot guys for your valuable advice. Based on what you suggest, I guess I should take Time Series and if possible audit the Real Analysis course. On the other hand an Econ Prof suggested to me that I take Real Analysis above all if I wanted to do PhD in Econ.

    Tough choice to make although I'm tilting heavily towards what you guys suggested. Anyways thanks again.

  5. #5
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    it depends on which schools you are aiming for. the better the school the more theoretical and math-heavy their core micro is. so if you are aiming high up there you should take Real Analysis.

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    take real analysis now, you'll take it anyway (i.e. math econ) and the second time through will make much more sense

    edit:
    If you can do the proofs in baby Rudin, you should be fine. That's the textbook we're using for our math econ class (+ some supplemental stuff on optimization/linear algebra). I really wish I had done an analysis course before entering the program (quant marketing).
    Last edited by yangyang2000; 11-04-2010 at 06:05 PM. Reason: additional info

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    I'm in econ, and analysis is by far the most useful (in terms of completing coursework) subject I learned in undergrad. I have some classes with the finance students in my school, and for them as well, the students with the strongest analysis background are doing the best. I'm not saying don't take time series; I'm just saying be aware that real analysis will help you complete graduate coursework.

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    If you can read Mas-Collel you'll surely be fine. If you can read Varian, you'll be almost fine.
    If you can only read Nicholson, then you'll probably be fine for a while... but you better work harder!

    Mas-Collel is a dry read. And a heavy book.

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    I think you should do real analysis. Your stats background appears to be more than sufficient. But if you go into a top program without real you will have real problems.

    (I'm a fin phd at a good school)

  10. #10
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    I've one final question for you guys before I sit down, think and make a decision. I've never audited any class before and so I was wondering if any of you guys can help me out here.

    Does auditing a class like Real Analysis (assuming that one takes it seriously and supplements it with self-study) help in having a good understanding of the subject? I know it can never be the same as registering and taking the course, but I just wanted to know if any of you guys were satisfied with the course you audited and thought that it did make a difference?

    Thanks a lot.

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