About

These are my musings about strategies, statistics, computer science, numerical techniques, etc.    I am a quant / developer, now trader, living in the New York area, just back from the UK, where I headed an algo pricing & strategies team.   I have now set up shop on my own to trade a mixture of medium high-freq and low frequency strategies.

I arrived here via a twisted road.   To be honest, I never had any intention to join Wall Street.   My area of study was parallel computing and physics.   I got involved with Lehman Brothers in 1992 as they had a joint research group with American Express researching Neural Nets, VR, Parallel Processing, and Voice Recognition.   I joined the Parallel Processing group as a consultant.

We developed approaches for the parallel evaluation of financial models such as:  a prepayment model for CMOs and later HJM for exotic path dependent interest rate models.   Gradually was pulled into the business.   I went to Tokyo in 1994 with Lehman and was thrown in the deep end of the pool to learn the IR derivatives business.

So I was sucked into it.   The problems were interesting and the software on wall street was still nascent / bleading-edge.   Things changed gradually, I tired of it, and left the street to pursue other interests — for a while.

The idea of systematic trading always appealed to me.   I had the opportunity to do this with a firm in 2004.   I love the fact that it pulls the best of mathematics, computer science, market knowledge, and creativity into one package.   Thus it has been my focus for the last 5 years — now a career.