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Interview experts on quantitative finance area.
Mar 5
Patrick BurnsDr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written many papers on quantitative finance and statistics, he is also the author of the book The R Inferno and the R package BurStFin.  

Tell us a little background info about yourself. Where are you from? What’s your education background?

I was born on the edge of a wheat field in the Empty Quarter.  I made my way to Seattle for university where I received a PhD in statistics (with an emphasis on computing and a smattering of economics).  Much later I moved to London.

In graduate school one of my office mates was Robert Gentleman, who would a few years later be half of the team that originated R.

How long have you been using the R language and to what extent? What are the main reasons you choose to run analysis in R rather than other languages?

I first touched R in the early 90's when Robert came around with it on his laptop.  However I didn't seriously make the switch from S-PLUS to R until I started Burns Statistics in 2002.

A big reason I use R is because I used to be a developer of S-PLUS (R's sibling) and so I'm naturally fluent in R.
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Feb 28
Dr. Donald R. van Deventer is the Chairman and Chief Executive Officer of Kamakura Corporation, the world's leading provider of risk management solutions. His primary financial consulting and research interests involve the practical application of leading Kamakura Corporationedge financial theory to solve critical financial risk management problems. He was elected to the 50 member RISK Magazine Hall of Fame in 2002. Dr. Donald R. van Deventer has served on the editorial board of the Journal of Credit Risk since 2005, and has written numerous papers and several books covering a wide range of risk management.  

Tell us a little background info about yourself. Where are you from? What’s your education background?

I grew up in Los Angeles and was a double major at Occidental College in mathematics and economics.  I went to Harvard University and earned my Ph.D. in business economics in 1977.  The business economics program is a joint program of the Department of Economics and the Harvard Business School.

You had worked for a few financial institutions before founding your own company, what are the advantage and disadvantage of working in a risk solution provider over in the risk management group of a big financial firm, especially for a junior?

If one has the chance to work for a very innovative firm like Kamakura, there’s the challenge and the pleasure of making the state of the art better every day.  Within large financial institutions, a junior risk analyst is often trapped using an old fashioned legacy risk system purchased years before from a mediocre vendor.  That’s bad for one’s career for two reasons.  First, you don’t learn state of the art risk management and you run the risk of turning into a risk dinosaur at a young age. Second, if the firm is not using best practice risk management, the odds of failure are high even at a large bank as we’ve seen in the last five years.

A lot of people blame Copula or Black-Scholes formula for the current financial crisis, what’s your opinion on this debate?

My partner Prof. Robert Jarrow has a nice paper on the misuse of financial models and a video on the front page of the Kamakura web site www.kamakuraco.com on exactly this topic.  Black and Scholes certainly shouldn’t be blamed if an analyst uses the Black model (which assumes interest rates are constant) to price interest rate options.  The incorrect usage of financial models is astonishingly widespread.
Feb 13
Dr. Ernest P. Chan is an expert in the development and application of statistical models and software for trading currencies, futures, and stocks. He is the principal of QTS Capital Management, LLC., which manages a hedge fund as well as individual clients’ accounts. He also offers training to clients via workshops or individualized consulting to trade for themselves using Matlab. Dr. Ernest P. Chan is the author of the famous book "Quantitative Trading: How to Build Your Own Algorithmic Trading Business".

Ernest Chan quantitative trading

Tell us a little background info about yourself. Where are you from? What’s your education background?

I was born in Hong Kong, and I moved with my family to Toronto, Canada, when I was 17. I studied physics as an undergrad at U of Toronto, and received a Ph.D. in theoretical condensed matter physics from Cornell University. But after graduation, I never did any work in physics. I first worked as a researcher at IBM T. J. Watson Research Center’s Human Language Technologies group, where I designed statistical pattern recognition algorithms. Quite a few of my colleagues in that group moved on to become hugely successful algorithmic traders. (The current heads of Renaissance Technologies, Robert Mercer and Peter Brown, were both managers of that group.) After a few years, I too moved on to a career in finance, beginning at Morgan Stanley.

How long have you been as a quantitative trader? We know you had worked for a few big investment banks and hedge funds, what are the pros and cons of working as an independent traders and a manager of your own fund, instead of in a big firm?

Feb 7
Standing on the shoulders of giants allows us to see further, from now on we will invite experts to share with us their valuable experience and lessons.

It is our great pleasure to have Thijs van den Berg joining this week's interview session, Thijs is the manager of Sitmo B.V founded in 1998, which was initially a derivative market-making firm operating on the European Options Exchange (now Euronext), but soon building customized derivative models and risk management software development became an important activity. In 2003 Sitmo started consultancy services in Energy trading and quantitative modeling.

Tell us a little background info about yourself. Where are you from? What’s your education background?

I’m from The Netherlands. As long as I can remember I’ve been curious: math, physics. I got my first computer when I was 10 and things became magical: I had my personal desktop lab to experiment with! About that time my family decided to move to a sunny island. I had a great time windsurfing, surfing and skating, but education was a bit 2nd place. I went a year to a local Spanish school but didn’t speak much Spanish and so the only thing I could follow was the math classes. The second year I went to a British International school and that was very intense and good. Every morning sausages and beans etc. After that we moved back to The Netherlands, I skipped a school year, and eventually went to the Delft Technical University when I was 17 to study Computer Science. The first year was perfect -I was in the top 5-, but then I started to doubt my choices... I ended up working in a popular bar and was really enjoying that, ..until a professor knocked on my door and said he wanted to talk to me. He’s now a very good friend. After that I quickly finished university, did a thesis at a bank on forecasting with Wavelets.

Do you have any experience with quantitative finance? If yes, how long have you been in the quantitative finance industry and to what extent?

I ran into QF when I started trading (equity) derivates on the floor in the 90s. I’d build our own option pricing models and risk management tools, those were great times, we always had different prices than other traders, but we got it right... After that I got a job running a quant department at an energy Company. Energy trading was in its infancy: there was extremely much to do from a modeling perspective. The commodities have very complex dynamics, exotic assets, optimization, load forecasting, credit, data warehouses. We managed to get a couple of good PhD on board who delivered good models on fundamental activities. It was a true startup: when I joined the company the trade floor was just 6 people, when I left 250 with full blows specialized departments.
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