Ask HN: Switching from finance to tech?

I work in finance in a nontechnical role. Since I graduated from college six years ago, I have felt like I am on the wrong career path. I really feel like I need to switch industries. My job is very demanding. My heart isn't in my work and I feel like I'm underperforming as a result. I've also had a difficult time dealing with the stress of the job and the work culture.

One of my big regrets is that I never took much math in college. But I am a very independent person--a self-learner with a hacker's mindset, and I try to fill in the gaps where I need to. I self-taught Python and enjoy working on personal coding projects. My idea of a good time is reading Gilbert Strang's Introduction to Linear Algebra, Concrete Mathematics, etc.

In my spare time I've been taking the Coursera and EdX courses on machine learning. I've found this to be fascinating and it's got me pondering data science as a potential career.

General Assembly in NYC offers an 11-week Data Science program. Students pick a research project and then present their projects at GA-hosted employer meet and greets after the course ends. The vast majority of students already have a technical background, although there also are some people in fields such as finance looking to make a career change. Admission is selective though, and there's no guarantee that I'd even be accepted, let alone have traction with the job hunt that follows.

I feel very lost. I've been referred to a career psychologist (seriously.) by someone I trust and respect, so we'll see how that goes.

Going back to school is always an option, but I don't know what I would study. I suppose I could do an MS in Comp Sci or an MBA but I'm not sure either would be a good fit. The former, perhaps not being career oriented enough; the latter, I'm not interested in the types of doors it might open and I feel burnt out from business in general.

And so I turn to you, HN.