CIFT Directors
David Leinweber, Founding Director
John O'Brien, Faculty Director
Terry Hendershott, Faculty Director
Staff
Jike Chong is the Research Program Manager for CIFT focusing in parallel computation, and also manages the CIFT seminar series. He is a Ph.D. candidate in the department of Electrical Engineering and Computer Science working on application frameworks in computational finance to help domain experts efficiently utilize highly parallel computation platforms. His current interest is in frameworks for potential future exposure computation and parametric VaR analysis for large portfolios.
Max Dama is a Mathematics and Computer Science Major at the University of California-Berkeley. His interests are in machine learning and algorithmic finance.
Mahesh Krishnan holds a Ph.D. from the University of Maryland-College Park, and a Master's in Financial Engineering from the University of California-Berkeley. His interests include market microstructure, derivatives modeling and systematic trading.
MayC Huang is a Statistics, Applied Math, and Business Administration major at the University of California, Berkeley. Her interests include quantitative finance, investment strategies, and financial intermediation.
Berkeley Affiliates
Jonathan Berk, Professor, Haas School of Business, Sylvan C. Coleman Chair in Finance & Accounting, Dr. Berk’s research interests in finance include corporate valuation, capital structure, mutual funds, asset pricing, experimental economics, and labor economics. Co-author (with Peter DeMarzo) of Corporate Finance, a comprehensive introductory finance graduate level textbook.
Sebastien Betermier, Haas Ph.D Candidate 2010. Research on asset pricing, portfolio choice, and real estate. Previous experience at Barclays Global Investors. Undergraduate in economics and international relations, with highest honors, UC Davis '04. Sebastien is avaliable to interested graduate students, contact information availiable on his webpage.
Patty Dechow, Professor, Haas School of Business, Donald H. and Ruth F. Seiler Professor of Public Accounting. She spent nine years at the University of Michigan's Ross School of Business and five years at the University of Pennsylvania's Wharton School of Business. Her research has spanned financial statement analysis, earnings management, understanding how investors interpret financial information, and the use of financial statement information to detect mispriced stock.
Hayne Leland, Professor, Haas School of Business, Arno Rayner Professor of Finance and Management. Past president of the American Finance Association and Director of Berkeley Program in Finance. Current research interests in modeling credit risk, optimal investment strategies with leverage and transaction costs, performance measurement beyond mean-variance analysis.
Sam Olesky, Lecturer in Finance, Haas School of Business. He teaches Portfolio Management and Financial Institutions and Markets in the MBA program. Research interests include statistical trading systems, volatility based trading, synthetic index investing, and dynamic global asset allocation. Sam is the Managing Member of Olesky Capital Management, LLC, an independent investment advisory firm that conducts principal investing and trading, manages a hedge fund, and separately managed accounts for trusts, partnerships, individuals, endowments, and foundations.
Richard Sloan, Professor, Haas School of Business, L. H. Penney Professor of Accounting. He was previously a managing director of equity research at BGI and a professor at University of Michigan's Ross School of Business and University of Pennsylvania's Wharton School of Business. His research has been on many topics including company valuation, market inefficiency, and earnings accounting.
Hal Varian, Professor, School of Information, Haas School of Business: Chief Economist, Google Dr. Varian is one of the leading economists of the internet era. He hold joint appointments as Professor (and founder) in the School of Information at the Haas School of Business, and the Department of Economics at the University of California at Berkeley. Currently on leave from Berkeley and am serving as Chief Economist at Google.
He is the author of six books, including classic texts on microeconomics, and (with Carl Shapiro) the seminal work Information Rules.
John Ryu, is an MBA candidate at the Haas School of Business. Experienced in digital media, online advertising, and internet ventures. Most recently was an Associate at Prism VentureWorks. Previously was the Director of Product Management at AdECN, a digital advertising startup where he led the design and development of the company's advertising exchange product (acquired by Microsoft). Holds a BA in economics from Yale University.
Full list of Haas Finance Faculty
Computer and Information Science
Brian Barsky, Professor of Computer Science. Dr. Barsky's research interests include computer aided geometric design and modeling, interactive three-dimensional computer graphics, visualization in scientific computing, computer aided cornea modeling and visualization, medical imaging, and virtual environments for surgical simulation.
Armando Fox, Department of Electrical Engineering and Computer Science Research Associate in the UC Berkeley RAD Lab. Dr Fox works on applying statistical machine learning (SML) techniques to the challenges of developing, deploying and operating datacenter-scale Internet systems.
Marti Hearst, Associate Professor, School of Information, UC Berkeley, and affiliate in the Deptartment of Electrical Engineering and Computer Science. Dr. Hearst's research activities center around making information accessible to lay people and to specialists, exploring new ways to improve search user interfaces for the general public, and creating innovative methods of visualizing abstract information effectively.
Kurt Keutzer, Professor, EECS Par Lab. Dr. Keutzer joined Berkeley's EECS faculty in January 1998 after fifteen years in industry. His last industry position was CTO and Senior Vice-President at Synopsys.
His approach to research has been driven by two adages: "Necessity is the mother of invention" and "Research has to be good for something before it is good for everything." This is particularly applicable to collaboration on CIFT’s interest in high speed market technology.
Kurt's research currently focuses on building software frameworks to parallelize applications. Current application areas include: content-based image retrieval, speech recognition, computer-aided design of integrated circuits and options pricing.
Jason Morton is a Postdoctoral Fellow in the TMSCSS group at Stanford working with Gunnar Carlsson. He completed his Ph.D. in mathematics in 2007 at UC Berkeley with Bernd Sturmfels. He is a sought-after lecturer at academic and practitioner-oriented conferences. He managed the $50M endowment of an educational nonprofit for five years and served as the director of research for a fund of hedge funds for two. Prior to that, he worked in tech M&A at Credit Suisse. He received an M.A. in economics from University of Michigan and an A.B. in psychology at Harvard.
Christos Papadimitriou is the Hogan Professor of EECS in the Computer Science Division at the University of California, Berkeley. He has also taught at Harvard, MIT, the National Technical University of Athens, Stanford, and UCSD.
Papadimitriou is the author of the textbook Computational Complexity, one of the most widely used textbooks in the field of computational complexity theory.
In 2001 he was inducted as a Fellow of the Association for Computing Machinery and in 2002 he was awarded the Knuth Prize.
Chris ranks among the top 100 most cited computer science authors. His name, as of this writing, is listed on the 19th position on Citeseer.
Andreas Weigend, Berkeley and Stanford Departments of Computer Science. Former Chief Scientist at Amazon and NYU Stern School professor. Currently Lecturer at Stanford and Berkeley.
Advisory Board
Bill Aronin, Thomson Reuters
Bill started Quantitative Analytics Inc. (QAI) in 1997. QAI was acquired by Thomson Financial in 2006. Currently Aronin is a senior manager with Thomson Reuters and is responsible for integrating financial tools and content within the university MBA and financial engineering programs. The goal of the program is to better educate the graduate student by providing the necessary tools as dictated by the financial industry.
Peter Dickson, Dow Jones
Pete is currently a specialist with Dow Jones and their business group focused on Solutions for Algorithmic and Quantitative Trading. A Cal alum, his prior experience includes work as a Market Specialist on the Pacific Exchange and Director of Sales & Trading for EGS, a global alternative investment trading and services firm focused on trading technology, equity and derivatives trading, and quantitative strategies
Lisa Goldberg, Executive Director of Analytic Initiatives at MSCI Barra and Adjunct Professor of Statistics at UC Berkeley.
Prior to joining MSCI Barra in 1993, Dr. Goldberg was Professor of Mathematics at the City University of New York and she has held positions at The Institute for Advanced Study, l'Institut des Hautes Études Scientifiques and The Mathematical Sciences Research Institute. Dr Goldberg is a member of the editorial boards of two Springer book series. Her current research interests include extreme financial risk, green investing and statistical tests of financial models. She is co-author of the book "Portfolio Risk Management," which will be published by Princeton University Press in 2009.
William R. Harts, Chariman, Harts & Co.
William R. Harts is a pioneer in electronic markets, as well as an authority on algorithmic trading and market structure. After founding a successful data communications software company, Bill offered his services to Fischer Black’s Quantitative Strategies group at Goldman Sachs to further his education in finance. He soon became a valuable member of their team, participating in the development of algorithmic trading infrastructure and strategies.
After almost four years at Goldman, he joined Shearson Lehman Brothers and then Salomon Smith Barney as Managing Director of Strategic Business Development for the Global Equity Division, responsible for modernizing global trading operations for traders on three continents.
Mr. Harts has held senior strategic and management positions including Executive Vice President at NASDAQ and Head of Equity Strategy for Banc of America Securities, leading the development of innovative market systems at a major market center, and a leading institutional brokerage.
He has served on several exchange and SEC committees dealing with market information and structure, spoken widely at industry forums around the world, and is highly regarded as a technologically sophisticated leader with broad practical market experience.
Mr. Harts has served on the boards of various stock exchanges, ECNs and ATSs and is currently a member of the board of Streambase Systems, Inc.
Paul Kedrosky, Kauffman Foundation/Ten Asset Management
Dr. Kedrosky is an investor, and entrepreneur. He is a sought-after speaker; an analyst for CNBC television; a columnist for TheStreet/RealMoney; the editor of Infectious Greed, one of the best known business blogs on the Internet; and he is frequently quoted in major publications around the world.
He is currently a Senior Fellow at the Kauffman Foundation, where he is focused on entrepreneurship, innovation, and the future of risk capital. He is also strategist with Ten Asset Management, a southern California institutional money management firm, as well as a venture partner with Ventures West, a venture capital firm. He is currently on the board of Marqui Corporation, a marketing automation software firm, as well as Dabbledb, a hosted data management company.
Dr. Kedrosky has also been the Executive Director of the William J. von Liebig Center in San Diego, California. Using an innovative seed capital program, the Center catalyzes the commercialization of technologies from the internationally-ranked University of California, San Diego.
Earlier in his career, Dr. Kedrosky founded the technology equity research practice at HSBC James Capel. As a highly-ranked technology equity analyst, transactions with which he was involved created in excess of a billion dollars in public market value. Dr. Kedrosky was one of the first analysts to cover Internet companies, as well as making early and timely calls in networking and communications.
Dr. Kedrosky has also been a successful entrepreneur. In 1999 he financed and launched one of the first hosted blogging services, GrokSoup. The service grew to more than a thousand subscribers. Relatedly, he wrote for Harvard Business Review what is widely regarded as the seminal article on dark matter and syndication technologies.
Dr. Kedrosky is a sought after commentator. He has written influential columns for the Wall Street Journal, the Economist, Harvard Business Review, and others. He has also appeared on many media outlets, including CNN, PBS Newshour, ABC Nightline, and the New York Times, and he can be seen frequently on CNBC's "On the Money". He maintains one of the best known technology, venture capital, & finance blogs at http://paul.kedrosky.com.
Dr. Kedrosky currently lives in La Jolla, California.
Henry Lichstein, Palisades Ventures, Mr. Lichstein spent thirty years shaping Citibank’s technology vision and practice, where he held management positions in treasury and financial control and managed a number of Citibank technology projects and ventures. He became Assistant to the Chairman in 1988 where he focused on technology planning and coordination. He led studies of the use and management of technology, created Citibank’s Corporate Technology Office, and significantly expanded Citibank’s presence on the Internet.
Richard Lindsey, Chairman, International Association of Financial Engineers
Dr. Lindsey is president and CEO of the Callcott Group, LLC, a quantitative consulting group, where he is the principal responsible for directing research activities and advisory services. He is the Chairman of the International Association of Financial Engineers.
For eight years Dr. Lindsey was president of Bear, Stearns Securities Corporation and a member of the Management Committee of The Bear Stearns Companies, Inc. Before joining Bear Stearns, Dr. Lindsey served as the Director of Market Regulation for the U.S. Securities and Exchange Commission and as the Chief Economist of the SEC. He was a finance professor at the Yale School of Management before joining the SEC.
Dr. Lindsey has served on several corporate and not-for-profit boards, including those of the International Stock Exchange, Strike Technologies, New Hedge Fund Corporation, and the Options Clearing Corporation where he was the vice-chairman.
Dr. Lindsey has done extensive work in the areas of market micro-structure and the pricing of derivative securities. He has held the positions of Visiting Academic at the Nikko Research Institute in Tokyo, Japan, and Visiting Economist at the New York Stock Exchange. He has a B.S. in Chemical Engineering from Illinois Institute of Technology, an M.S. in Chemical Engineering from Berkeley, an M.B.A. from the University of Dallas, and a Ph.D. in Finance from the University of California, Berkeley.
Evan Schulman, Chairman, Tykhe Corp.
Mr. Schulman is widely regarded as “the father of program trading”. He developed the pioneering Batterymarch automated trading system in the 1970s, and has lectured and published widely on electronic markets and trading. A serial entrepreneur, he is the founder of online financial planning firm Upstream Technologies and cofounder of Lattice Trading, which was acquired by State Street Global Investors in 1996. Lattice is an alternative trading system that integrates order-matching and routing in global financial markets.
In 1975, at Keystone Funds in Boston he completed what is generally regarded as the first program trade, and went on to develop the computerized investing and trading systems at Batterymarch.
Mr. Schulman served in the Royal Canadian Air Force, received his BA from the University of Toronto and his MA from the University of Chicago. He is profiled in the book, How I Became a Quant: Insights from 25 of Wall Street’s Elite
Steve Snider, Pyramis Global Advisors/Fidelity Investments
Steve Snider, CFA, is a portfolio manager for Pyramis Global Advisors, a Fidelity Investments company. In this role, he manages equity portfolios for institutional investment clients.
Steve joined Fidelity's Quantitative Equity Group in 1992 as a quantitative equity analyst. He began managing the U.S. equity portions of funds available exclusively to overseas investors in 1993 and has managed equity portfolios for institutional clients since 1994. Mr. Snider managed the Fidelity Disciplined Equity Fund from May 2000 to October 2006.
He served eight years as an active duty naval officer in the United States Navy. Steve earned Bachelor of Science degrees in chemical engineering and humanities from the MIT and an MBA from the Fuqua School of Business at Duke University. He is a Chartered Financial Analyst, and a member of the Boston Security Analysts Society, and the Chicago Quantitative Alliance.
David Whitcomb, Founder and Chairman,
Dr. Whitcomb is Founder and Chairman of Automated Trading Desk, LLC, the first expert/machine learning system for fully automated limit order trading of securities. ATD is headquartered in Mt. Pleasant, SC, and has 90 full time employees and two subsidiary broker-dealer firms (both holding membership in the NASD), which trade about 200 million shares/day (about 5% of total Nasdaq volume and over 4% of total NYSE volume). ATD was named the Charleston area’s Emerging Business of the Year in 2000. Whitcomb won the regional 2001 Entrepreneur of the Year award (sponsored by Ernst & Young, USA Today, and Nasdaq) for financial services for the Carolinas and was a finalist in the national competition. He was named the Outstanding Financial Executive, 2003, by the Financial Management Association. A conference was held at Rutgers University in his honor and the book Essays in Microstructure in Honor of David Whitcomb [Brick, Ronen, Lee, World Scientific 2006] resulted.
Whitcomb received his Bachelor's degree in economics from Babson College in 1963 and his Ph.D., also in economics (With Distinction, Friedman Prize), from Columbia University in 1968.
He is also Professor of Finance Emeritus at the Graduate School of Management, Rutgers University. He joined the Rutgers faculty in 1975 as Associate Professor and was promoted to Professor in 1980. He was Visiting Professor of Finance at the Australian Graduate School of Management in 1983 and Visiting Scholar at the University of Aix-Marseille in 1981. Before joining the faculty at Rutgers, he held positions at City University of New York, New York University and the RAND Corporation.
Laura Trumbull, Thomson Reuters
Laura Trumbull is Senior Vice President and Head of University Collaboration at Thomson Reuters, the world's largest financial information company. She has over thirty years in the financial information and services industry. Before joining Reuters in 1993, she was involved in a number of entrepreneurial efforts including the creation of an automated financial futures exchange in the early '80s, chairing an ANSI subcommittee to develop order and claim formats, and building retail equities information systems.
In her fifteen years at Thomson Reuters she has filled leadership roles in diverse areas, including software development management, architecture, technology and business strategy, product management, governance, and innovation. She has extensive experience with the challenges of a market data vendor -- how to manage and globally distribute data from hundreds of sources at a rate of hundreds of thousands of updates per second for millions of discrete financial instruments -- as well as knowledge of the technology underlying the transactional community.
Laura graduated from Harvard University with a degree in Applied Engineering in 1977.
Academic, Research, and Industry Affiliates
Roger Ehrenberg, Information Arbitrage
Managing Member of IA Capital Partners, LLC, focused on financial technology and digital media. Previously, President and CEO of DB Advisors LLC, a wholly-owned subsidiary of Deutsche Bank AG. His 130-person team managed over $6 billion in capital through a twenty-strategy hedge fund platform with offices in New York, London and Hong Kong. Strategies deployed included managed futures, statistical arbitrage, merger arbitrage, event, fundamental long/short, systematic long/short, relative value, special situations, convertible arbitrage, foreign exchange and credit.
Bill Janeway Warburg Pincus LLC
Dr. William H. Janeway has over thirty- five years of practical finance experience in investment banking and venture capital. Now a Senior Advisor to Warburg Pincus and former Vice Chairman, he initiated and managed the investment strategy for Information Technology that established the firm as a global leader in the domain including funding from start-up such prominent providers of infrastructure software as BEA Systems and VERITAS Software. Dr. Janeway received his Ph. D. in Economics from Cambridge University, where he has returned as a Research Visitor in the Centre for Financial Analysis and Policy and a Principal in the cross-disciplinary Cambridge Finance research consortium. Dr. Janeway is a member of the Board of Directors of Fortent, Nuance Communications, NYFIX, O'Reilly Media, and Wall Street Systems. He is also a Director of the Social Science Research Council and a member of its Executive Committee.
Salman Khan (Sal), Khan Capital Management
Sal is the portfolio manager of Khan Capital Management, a small-cap equities fund based in Menlo Park, CA. He is also the founder of the not-for-profit Khan Academy which develops technology and content to make learning accessible to anyone, anywhere. As part of his work for the Khan Academy, Sal has produced over 600 videos on topic ranging from algebra to differential equations to finance. He has also made appearances on CNN as an economics contributor.
Sal's previous experience includes being the Senior Analyst at Wohl Capital Management, a Senior Product Manager at Oracle Corporation, and one of the first employees of meVC (now MVC Capital). He holds an MBA from Harvard Business School where he was president of his class. Sal recieved an M.Eng. in computer science, a B.S. in mathematics and a B.S. in electrical engineering from MIT where he was also president of his graduating class.
David Krider, Analytic Investors
David Krider is a Portfolio Manager responsible for the ongoing research and development of global equity-based investment strategies as well as the day-to-day trading of global portfolios. Prior to joining the firm, David was founder and Chief Technology Officer of Visualize, Inc., a firm that specializes in financial visualization and analytic software. He was a Research Associate at First Quadrant before leaving to start his own firm. David received a BS in Economics and Computer Science from the California Institute of Technology.
Rob Passarella, Bear Stearns
Innovative analyst/technologist developing flexible automated Web centric analysis tools. A thought-leader in net-centric securities research
Richard Peterson, MD, Founder MarketPsych LLC
Dr Peterson is a Board-certified psychiatrist specializing in traders and investors, an investment software developer, a, and a former trader. His firm’s consulting clients include Merrill Lynch, T. Rowe Price, and Legg Mason Capital Management.. His book Inside the Investor’s Brain (Wiley, 2007) was lauded as “outstanding” by Barron’s and “highly recommended” in Kiplinger’s in the “Best Investing Reads of 2007.” He is an associate editor of the Journal of Behavioral Finance.
David Porter, Professor of Economics and Mathematics, Chapman University, Economic Science Institute
Dr Porter is a leading experimental economist and a founder, along with 2002 Nobel Laureate Vernon Smith, of the Economic Science Institute at Chapman University. Previously, he taught at Caltech, University of Arizona, and George Mason University. He has published, lectured, consulted widely in market design, and bidding strategies.
Rosenblatt Securities, Technologically innovative institutional agency broker
Toby Segaran, Author, “Programming Collective Intelligence”
Steve Skiena, Computer Science Stony Brook University
Steven Skiena is Professor of Computer Science at Stony Brook University. He is the author of four books, including “The Algorithm Design Manual” and “Calculated Bets: Computers, Gambling, and Mathematical Modeling to Win”. His research interests include the design of graph, string, and geometric algorithms, and their applications. His recent work revolves around trend analysis for news and blogs (www.textmap.com). He is a Fulbright scholar, ONR Young Investigator Award winner, and recipient of the IEEE Computer Science Undergraduate Teaching Award.
Jacob Sisk, Infoshock.Org,
Information scientist specializing in studies of online communities. Former Yahoo scientist and consultant to hedge funds and institutional investment managers.
(Others pending)
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