About
Currently: Some new research on liquid factors! Working at Parametric! Recent past: a new book out; a new firm.
I was most recently at the University of Illinois at Urbana-Champaign.
I was an Assistant Professor of Finance at the University of Illinois at Chicago.
However, I miss working in industry so back I go.
I also co-organize the R in Finance conference in Chicago, (since 2009) which is great if you analyze financial data.
Industry
Director of Derivatives Research, Parametric Chicago, 2022-Present
Head Partner, Q36 Chicago, 2018-present. (holds copyright for my book)
Consultant, Self-employed, to financial firms and non-profit organization, 2008-2022.
Proprietary Researcher/Algorithmic Trader, Morgan Stanley, Equity Trading Lab, 2000-2003.
Strategist, Long-Term Capital Management, Equity Derivatives, 1995-2000.
Intern Programmer Analyst, Goldman Sachs, Listed Equities, 1993-1994.
Study: trading and financial distress/instability using financial econometrics and market microstructure.
Presentations (click for slides)
My research, discussions of others' research, and more practical topics.
From conferences, central banks, regulatory agencies, academic seminars, financial firms, and more.
Teaching (click for slides and more)
Taught at: U. Chicago, UIUC, UIC, Renmin, and Notre Dame.
Developed courses: Market Microstructure and Electronic Trading; Commodities, Energy, and Related Markets;
Microfinance (Financial/Economic Development).
Also taught: Investments, Intro to Investments, financial data analysis, and analysis of experiments.
Education
PhD, Statistics, University of Chicago, 2008.
Bachelors of Science, Electrical Engineering, Cornell University, 1995.