I did this, and played up my ability to analyze real world situations when applying for a quant modeling job. A lot of my lab work was empirical modeling, so transitioning from student to my current job wasn't difficult. It also helps to have some background in coding. I did c++/matlab/java in college for lab work and classes. Everyone that is under 35 in my group has a scientific background, ranging from me (MSE in Mechanical Engineering) to PhDs in Chemistry and Physics. Most of my day is spent doing c++ or java development and the rest is R.