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Doing science at a National Laboratory is quite different from conducting academic research at a University. This video articulates what it is like to work at Berkeley Lab

AMS - Collaboration Distance

Erdös numbers illustrate how small the world of research is. The average Erdös number of Fields Medalists is 3.21, with a standard deviation of 0.87 and a median of 3. I feel fortunate to have worked with brilliant academics and mathematicians, and in the process to have learned a bit more about an exceptional human being named Paul Erdös. [Source: American Mathematical Society, Microsoft Academic Research]


SSRN Rankings

My sincere gratitude to SSRN's readers for making me the most-read Economics author over the past year [2017-2018]. Your continued interest in my work is the best possible reward!


Prof. Yelick discusses Computational Research at Berkeley Lab


From left to right, Watson, Dr. Peter Carr and I in July 2014 at IBM's R&D Lab.
Between the Fall of 2011 and the Summer of 2012, I worked with Dr. Rick Lawrence and his IBM Watson team in the development of an investment strategy that applied Watson's technology to select stocks. See Watson in action.



With my colleague Dr. Kesheng Wu (the inventor of FastBit), during a visit to the LR3 HPC Cluster at Lawrence Berkeley National Laboratory.


World Chess Champion Garry Kasparov, Prof. Carrillo (UCM) and I were co-speakers at the 2013 RiskMathics Conference. Other participants included Profs. John Hull (Toronto Univ.), Marco Avellaneda (NYU-Courant), Izzy Nelken (Univ. Chicago) and Dr. Suresh Sankaran (IFC-World Bank).

"There is more computing power in a smart-phone than in all computers used by NASA in Apollo 11's Moon landing. So I tell kids, there are two ways you can use this amazing technology: You can follow your dreams and reach for the stars ... or you can stay put and keep throwing birds at pigs."
Garry Kasparov, RiskMathics Conference, June 12th, 2013.



Cray XE6 "Hopper" is the 2nd most powerful supercomputer in the U.S., and one of the top 5 supercomputers in the world. It is also the flagship computer at the National Energy Research Scientific Computing Center (NERSC). This 150,000-core petaflop machine has contributed to notable breakthroughs in DNA replication, quantum mechanics simulations, weather modeling and alternative energy research.

In the Fall of 2011, Hopper's amazing power was applied to a different purpose: Understanding the dynamics of financial markets during the "flash crash" of May 6th 2010. The results were documented in this paper, which concluded that VPIN produced the earliest warning signal to that event. [Source: Lawrence Berkeley National Laboratory]


This plot is taken from a Lawrence Berkeley National Laboratory study of the "flash crash", this time on individual stocks. This press article explains how scientists at Berkeley Lab computed these results. [Source: Mercury News]



Edison is NERSC's newest supercomputer, a Cray XC30, with a peak performance of 2.57 petaflops/sec, 133,824 compute cores, 357 terabytes of memory, and 7.56 petabytes of disk.


This plot summarizes the "triple penance rule". Under standard portfolio theory assumptions (i.e., IID Normal returns), it takes three times longer to recover from the maximum drawdown than the time it took to produce it, with the same confidence level. [Source: David H. Bailey and Marcos López de Prado]


The Carriers of the Torch, at Complutense University's Plaza Ramón y Cajal. Founded on May 20th, 1293 by Royal Charter of the King of Castile, Complutense is one of the oldest universities in the world. From the publication of the first Grammar and Polyglot texts to the founding of Neuroscience, in the course of over seven centuries of history, Complutense has made some of the most enduring contributions to Western civilization.