<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0303</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2009-06-18</periodOfReport>

    <issuer>
        <issuerCik>0000350894</issuerCik>
        <issuerName>SEI INVESTMENTS CO</issuerName>
        <issuerTradingSymbol>SEIC</issuerTradingSymbol>
    </issuer>

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        <reportingOwnerId>
            <rptOwnerCik>0001059374</rptOwnerCik>
            <rptOwnerName>WEST ALFRED P JR</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>ONE FREEDOM VALLEY DRIVE</rptOwnerStreet1>
            <rptOwnerStreet2></rptOwnerStreet2>
            <rptOwnerCity>OAKS</rptOwnerCity>
            <rptOwnerState>PA</rptOwnerState>
            <rptOwnerZipCode>19456</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
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            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
        </reportingOwnerRelationship>
    </reportingOwner>

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                <value>Common Stock</value>
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                <transactionAcquiredDisposedCode>
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            </postTransactionAmounts>
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                </natureOfOwnership>
            </ownershipNature>
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        <nonDerivativeTransaction>
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                <equitySwapInvolved>0</equitySwapInvolved>
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                <transactionPricePerShare>
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                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
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                <transactionPricePerShare>
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                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
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                <sharesOwnedFollowingTransaction>
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                </natureOfOwnership>
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        </nonDerivativeTransaction>
        <nonDerivativeTransaction>
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                </transactionShares>
                <transactionPricePerShare>
                    <value>17.61</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
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                <sharesOwnedFollowingTransaction>
                    <value>16401725</value>
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        </nonDerivativeTransaction>
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                <value>Common Stock</value>
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        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <footnotes></footnotes>

    <remarks></remarks>

    <ownerSignature>
        <signatureName>Ruth Montgomery (Attorney in fact)</signatureName>
        <signatureDate>2009-06-22</signatureDate>
    </ownerSignature>
</ownershipDocument>
