As of Fall 2008, I will be an assistant professor of
Finance
at the University of Illinois at
Chicago.
Ph.D., Statistics, The University of Chicago, June 2008 (expected)
B.S., Electrical Engineering, Cornell University, May 1995
Committee:
Per A. Mykland (advisor),
Stephen M. Stigler,
David M. Modest.
Research areas:
- Market microstructure and dynamic models of trading
- Financial econometrics
- Incentives induced by finance industry pay and fee structures
- Issues affecting hedge funds, CTAs, and quant mutual funds
- Multivariate time series analysis, including with random effects
Curriculum Vitae (PDF)
(HTML)
Resume (PDF)
Prior Industry Experience
Morgan Stanley, Equity Trading Lab, Proprietary Trader/Researcher, 2000-2003
Long-Term Capital Management, Equity Derivatives, Strategist, 1995-2000
Publications
All work may be found on my
SSRN author page.
Modeling Trade Direction. Data analysis in progress.
Unites the Lee and Ready; Ellis, Michaely, and O'Hara;
and, tick methods for classifying trades as buys or sells.
The model developed also uses the strength of these tests
and allows for cross-correlations; autocorrelations; and,
short-sale effects. The model is then estimated for a
panel of 3000 stocks (approximately 10GB of trades).
Data Delays, Index Deletions, Prepayments, and
Defaults. Submitted.
Develops models of composite delays using higher-order
asymptotic approximations — including an elegant new
approximation with appropriate tail behavior for risk
management. Creates portfolio risk metrics for index
rebalance risk (a previously unaddressed topic),
prepayment risk, and default risk. A metric for bond
portfolio diversity is also found. The theory is then
applied to (1) data delays over a path, (2) deletions from
a small index, and (3) defaults in a 200-bond CDO with an
economic shock and correlated defaults.
Prior Links from Presentations and TA
Duties
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