This question is somewhat related to my previous question here but has not been addressed in any other thread. The answer in that thread hit the nail right on the head with that one line "Textbooks will go into far too much material if you plan to read them cover to cover, and hence you have little idea of when to stop reading a textbook." I want to get validation on my current approach and if there are loopholes, I'd greatly appreciate any suggestions to cover them up.
I wish to gear up towards a career in hedge funds as an arbitrage quant. I have a PhD in EE majoring in Analog IC design with 12+ years of experience in the industry. I am well versed in linear algebra from my education in engineering. The following is what I think I need to study.
Currently, I have covered the first seven chapters from Stephen Abbott's "Understanding Analysis" including all the exercises. I will be covering the eighth chapter as well.
Having read through Abbott's book, I really do not see much point in going through Rudin's PMA before moving on to measure theory. Is Rudin really required before I move on?
Next, I plan to study Rene Schilling's book on measure theory. As with #1 above, I really doubt if I have to go deeper into books like Billingsley's. Is it really necessary to study Billingsley's book before moving on to the next stage?
Finally, I will either study Shreve's two volume books or Oksendal's book on stochastic differential equations which I learn is necessary for the type of career I am looking for.
In parallel, I will pick up Python which is geared towards finance, specifically towards statistical arbitrage.
The way I see it, I can cross the three main tiers (excluding Python which is a low hanging fruit) assuming they are just
- Analysis from Abbott which I am mostly done with
- Measure theory from Rene Schilling
- Stochastic differential equations from either Oksendal's or Shreve's material.
The more books that get added to this list, the longer it will take for me to get to the end of it which is perfectly in line with the answer given in the thread I have pointed out in the beginning of this question. So if I am looking at the infima of all the material needed to make an entry into a hedge fund as an arbitrage quant, would that be #1, #2, and #3 mentioned above or is it more than that?
Specifically, do I have to grind through Rudin's "Principles of Mathematical Analysis" and Billingsley's "Probability and Measure" as well before I get started with stochastic differential equations?