Quant Trading: Who does it and What is it?
- February 28, 3:00 - 4:30, Hill Center 552
I begin by giving an overview of hedge funds and what they do. I then discuss the idea of “quant trading” and discuss several problems that require statistical thinking to address. I will finish by discussing some things that you should consider if you want to work in this area.
** Refreshments will be served at @ 2:30pm in Room 503 Hill Center **
Dr. Anthony Brockwell, Two Sigma Investments and Carnegie Mellon University
Dr. Brockwell's research interests include stochastic differential equations, Markov chains, time series, and control theory. He is particularly interested in the study of stochastic control problems in which system descriptions are incomplete and/or inaccurate, and in the development of new models explaining market price behavior. Dr. Brockwell has published articles in such journals as the Annals of Statistics, Journal of Time Series Analysis, SIAM Journal on Control and Optimization, and Journal of Computational and Graphical Statistics. In 2007 he left academia to join a small startup hedge fund as a quant in New York city, where he developed and managed a portfolio of quantitative trading algorithms. In 2010 he joined Two Sigma Investments LLC, where he currently works. He plans to continue teaching time series in the MSCF program concurrently with his employment at Two Sigma.