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COLLABORATION NETWORK

Most of the financial literature is not anchored in mathematical (i.e., formally rigorous and logical) arguments. Through collaborations with leading pure mathematicians, we contribute to develop the discipline of Mathematical Finance within the edifice of modern Mathematics.

An author collaboration network. Red edges indicate that the topic of collaboration was a Mathematical publication, and red nodes a Fields Medalist or Abel Prize winner. Green edges indicate topics in Financial Econometrics, and green nodes a Nobel Laureate in Economics. Blue edges indicate topics in Physics, and blue nodes a Nobel Laureate in Physics. A squared node indicates a winner of the Wolf Prize or the Chauvenet Prize. [Source: American Mathematical Society]

 

CO-AUTHORS

Below is the list (in alphabetic order) of the ~30 co-authors with whom I have had the fortune to do research and publish some of our results.

NAME FIELD # WORKS COMMENTS
Dr. Robert Almgren Market Microstructure
High Frequency Trading
[1]
Dr. David H. Bailey Experimental Mathematics
Computational Research
Mathematical Finance
[1], [2], [3], [4], [5], [6], [7]
Dr. Wes Bethel Computer Science [1]
Dr. Jonathan M. Borwein,
FRSC, FAAAS, FBAS, FAA
Variational Analysis
Computational Research
Mathematical Finance
[1], [2]
Dr. Neil J. Calkin Graph Theory
Combinatorial Methods
Number Theory
[1], [2]
Dr. David A. Easley Market Microstructure
High Frequency Trading
Computer Science
[1], [2], [3], [4], [5], [6], [7], [8]
Dr. Matthew D. Foreman Set Theory
Mathematical Finance
[1]
Dr. Ming Gu Optimization and Numerical Methods [1]
  • Faculty, Department of Mathematics, University of California, Berkeley.
Dr. Terry Hendershott Market Microstructure
High Frequency Trading
[1]
  • Chair, Operations and Information Technology, University of California, Berkeley.
  • Known for:
    • NYSE-Euronext Award, WFA Meetings.
    • NASDAQ Award, FMA.
Dr. Charles Jones Market Microstructure
High Frequency Trading
[1]
  • Professor of Finance, Columbia University.
  • Known for:
    • FINRA Economic Advisory Committee.
    • NASDAQ Economic Advisory Board.
    • Roger F. Murray Prize, Q Group.
    • NYSE-Euronext Award, WFA Meetings.
    • Best Paper Award, Review of Financial Studies.
Dr. Michael Kearns Machine Learning
High Frequency Trading
Operations Research
[1]
  • Chair, Department of Computer and Information Science, University of Pennsylvania.
  • Quantitative Portfolio Manager, SAC Capital.
  • Former Co-Head of Systematic Trading, Bank of America.
  • Known for:
Dr. David J. Leinweber Machine Learning
Mathematical Finance
[1], [2]
Dr. Oliver Linton Market Microstructure
High Frequency Trading
[1]
Dr. Albert Menkveld Market Microstructure
High Frequency Trading
[1]
  • Professor of Finance, VU University Amsterdam.
  • Known for:
    • Best Paper Award, American Finance Association.
    • NYSE-Euronext Award, WFA Meetings.
    • Royal Dutch Economic Association Award.
Dr. Yuryi Nevmyvaka Machine Learning
High Frequency Trading
Operations Research
[1]
  • Quantitative Portfolio Manager, SAC Capital.
  • Former Co-Head of Systematic Trading, Bank of America.
  • Known for:
    • Best Paper Award, Journal of Trading, 2010.
Dr. Richard Olsen Market Microstructure
High Frequency Trading
[1]
Dr. George Sofianos Market Microstructure
High Frequency Trading
[1]
  • Head of Equity Execution Strategies, Goldman Sachs.
  • Former Head of Research at NYSE.
  • Former Researcher, Federal Reserve Bank of New York.
Dr. Michael Sotiropoulos Market Microstructure
High Frequency Trading
[1]
  • Managing Director, Quantitative Research, Bank of America Merrill Lynch.
Dr. Maureen O'Hara Market Microstructure
High Frequency Trading
[1], [2], [3], [4], [5], [6], [7], [8]
  • Professor of Finance, Johnson Graduate School of Management, Cornell University.
  • Chairman of the Board of Directors, Investment Technology Group.
  • Member, CFTC-SEC Emerging Regulatory Issues Task Force.
  • Member, Advisory Board, Office of Financial Research, U.S. Department of Treasury.
  • Board of Trustees, TIAA-CREF.
  • Former President, American Finance Association.
  • Former President, Western Finance Association.
  • Former President, Society for Financial Studies.
  • Former President, International Atlantic Economic Society.
  • Former President, Financial Management Association.
  • Known for:
Dr. Achim Peijan Mathematical Finance [1]
  • Executive Director, Global Asset Allocation, UBS.
Dr. Eva del Pozo Mathematical Finance [1]
  • Professor of Mathematical Finance, Complutense University.
  • Vice-Dean of Quality Assurance, Business School, Complutense University.
Dr. Riccardo Rebonato Mathematical Finance [1]
Dr. Oliver Ruebel Computer Science [1]
Ralph Vince Computer Science
Game Theory
[1]
Dr. Kesheng Wu Computer Science [1]
Dr. Jean-Pierre Zigrand Market Microstructure
High Frequency Trading
[1]
  • Professor, Department of Finance, London School of Economics.
Dr. Jim Zhu Variational Analysis
Computational Research
Mathematical Finance
[1], [2], [3]