These are my musings about strategies, statistics, computer science, numerical techniques, etc. I am a quant / developer, living in the New York area.

I arrived here via a twisted road. Given my area of study in university, parallel algorithms and applied math, I never had any intention of joining Wall Street. By chance I became involved with a research group at Lehman Brothers in the 90s; the group developed cutting edge technologies: Neural Nets, VR, Parallel Processing, and NLP – applied to trading and risk management. The problems were interesting and the technology on wall street was still nascent / bleeding-edge at the time.

After some years in New York, Japan, and London grew less interested in the most complex products (derivatives) as seemed that almost every angle had been explored.

Algo Trading reignited my interest in “Wall Street”. Though I did some early work in building the first electronic marketplace for bonds in Japan in the late 90s, it was not until the mid 2000s that I was able to focus on algo trading specifically.

What appeals to me about algo trading is that it requires and allows one to practice as a polymath, pulling together mathematics, computer science, market knowledge, and creativity into one package.

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