David Leinweber is a Haas Fellow in Finance at the Haas School of Business at UC Berkeley, and founding Director of the Center for Innovative Financial Technology at Berkeley. He is the founder of two pioneering financial technology firms and successfully managed multibillion-dollar institutional portfolios for many years.
Dr. Leinweber has consulted, published, and lectured widely on the use of advanced technology, artificial intelligence, and intelligence amplification in finance—always in an easy and accessible way—and has earned the reputation as “class clown of the quantitative investing industry.”
He received BS degrees in physics and electrical engineering from the Massachusetts Institute of Technology and a PhD in applied mathematics from Harvard University.
The most recent of the essays in this book were written in December 2008, while others go back to the start of electronic markets — a span of over 20 years, so there are a lot of people to thank. In more or less chronological order, Karen Goldberg, of the MacArthur High School math department for letting me play with what passed for a computer there, Henry Kendall of MIT, for letting me play with a real one, Harry Lewis at Harvard, for suggesting courses at the Harvard Business School; Bruno Augenstein and Willis Ware, at RAND Corporation, for getting me interested in real-time artificial intelligence; Steve Wyle at LISP Machines and Don Putnam and Lew Roth at Inference Corporation for encouragement and assistance to hammer the square peg of early artificial intelligence into the round hole of finance; Dale Prouty, Yossi Beinart, and Mark Wright of Integrated Analytics for rounding off the peg into MarketMind and later QuantEx; Ray Killian and Frank Baxter of Jefferies and ITG, for noticing that the rounded peg now did fit the finance hole.
All of the MarketMind and QuantEx users, observers, and tire kickers, who let me get an unusually broad exposure to investing and trading, particularly Evan Schulman, Blair Hull, David Shaw, Blake Grossman, Ron Kahn, Richard Rosenblatt, Steve Snider, Mike Epstein, Bill Pasqua, Chris Dean Andrew Lo, Robert Schwartz, and John Mulheren. Henry Lichstein for his push-the-envelope ideas on machine learning and text; Rob Arnott, John Dorian, and Tan Pham at First Quadrant, where we got to push many envelopes; Larry Russell, Eric Feigen, Scott Steadman, Jacob Sisk, Lew Roth, and others who helped start the — ahead of its time — textual firm Codexa, along with return engagements by our board members, Harry Lewis, Henry Lichstein, and Dale Prouty; John Leyard and Dave Porter at California Institute of Technology, where founders of firms ahead of their time are welcome; and my similarly inclined Berkeley colleagues, Hayne Leland, John O’Brien, Terry Hendershott, and Richard Lyons, for their help launching the Center for Innovative Financial Technology at the Haas School of Business.
Thanks go to authors and coauthors of previous versions of material appearing in Nerds on Wall Street, Ananth Madhavan, Salman Khan, and John O’Brien; and to John Wiley & Sons editors Pamela van Giessen and Emilie Herman.
In particular, the blue-ribbon, five-star, summa cum laude, golden oak-leaf cluster of author thanks goes to Marguerite Moreno, a Codexa co-conspirator, who in addition to being married to me for 22 years, bearing two children, and feeding them in addition to three dogs, took on what turned out to be the large and extensive task of organizing a book that has hundreds of pictures, quotations, and conceptual flotsam.
>>>>>> READ MORE HERE < <<<<<<
Wall Street Analytics
- Chapter 04 – Where Does Alpha Come From? (Where Does Stock Alpha and Alpha Return Come From?
"Life Is Alpha. The Rest Is Details." — Popular T-shirt at hedge fund manager events
There was a time not too long ago when, if you posed the question “Where does alpha come from?” to a roomful of academic financial economists, most of them would complain: “It’s a [...])
- More Praise for “Nerds on Wall Street” ("New technologies are exploited first by "alpha geeks," folks with the skills to push the envelope. This is as true on Wall Street as it was on the web. Leinweber was one of those alpha geeks, but is also the first to chronicle the innovation process from early adopter to mainstream acceptance."
Tim O’Reilly
Founder & CEO, [...])
- Part 2 – Alpha as Life (Passive Investing - Active Investing - Alpha Returns
Index funds are passive investments; their goal is to deliver a return that matches a benchmark index. The Old Testament of indexing is Burton Malkiel’s classic A Random Walk Down Wall Street, first published in 1973 by W.W. Norton and now in its ninth edition. For typical individual [...])
- Part 3 – Artificial Intelligence and Intelligence Amplification (Artificial Intelligence and Intelligence Amplification in Financial Markets
Securities Markets are Machinery Now.
This raises the question of how to best participate in the world’s new wired markets. People who use information technology most effectively will be rewarded.
Artificial intelligence (AI) as an academic discipline began at the famous 1955 Dartmouth conference organized by John McCarthy from Stanford [...])
- Sitemap (>>>>>> READ MORE HERE < <<<<<<
)
- Chapter 11 – Three Hundred Years of Stock Market Manipulations (300 Years of Stock Market Manipulations - From the Coffeehouse to the World Wide Web's Stock Manipulations
In previous chapters, we saw that many of the changes in securities markets brought about by information technology in general and the Internet in particular are positive, democratizing access to markets and information. We also saw that technology is [...])
- Chapter 08 – Perils and Promise of Evolutionary Computation on Wall Street (Using Genetic Algorithms, Optimization Models, and Evolutionary Computation on Wall Street
“Be careful what you ask for — you might get it.”
My enthusiasm for machine learning, described at the end of the previous chapter, led me to kiss many artificial intelligence ( AI ) frogs. This included many flavors of inductive and explanation - based learning, [...])
- Chapter 09 – The Text Frontier – AI, IA, and the New Research (Hunting Investment Alpha and Trading Alpha from Online News, Social Media, and Rumors
Alpha hunters are always looking for new territory. When a strategy becomes known and used by too many players, the collective market impact of getting in and getting out will squeeze out all the profit juice, and only the lowest-cost transactors (large sell-side [...])
- Forward by Ted Aronson (Nerds on Wall Street Forward by Ted Aronson
Quantitative finance is not a topic usually associated with laughter. That is about to change with the publication of Nerds on Wall Street.
I was first exposed to Dave Leinweber’s wit when he delivered a speech entitled “Nerds on Wall Street.” I believe the event happened 20 or 25 [...])
- Introduction to Nerds on Wall Street (Introduction to "Nerds on Wall Street"
I hope people think of this book as sort of a Hitchhiker’s Guide to Wired Markets. There are no robots parking cars for six million years, but there are robots trading millions of shares in six milliseconds, so maybe that’s close enough.
In 2006, I got a call from another nerd [...])
