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People of Quant Research

March 6, 2011

Academia is an important participant in the quant world, contributing fundamental research across diverse fields: statistics, econometrics, information theory, signal processing, machine learning, dynamical systems, econophysics, optimization, information geometry, pattern recognition, data mining, and mathematical finance. Due to fragmentation and politics, there is no single place to monitor relevant research (both working papers and journal articles). While arXiv and SSRN are hubs, many papers are published directly to widely varying journals.

This post is a work in progress, enumerating key quant researchers who are actively publishing, along with their respective affiliated institutions (academic, investment, or both), who are followed by Quantivity. This list will be periodically updated, and thus may be worthy of revisiting.

People of quant research, organized by research topic:

Asset Allocation / Asset Pricing / Portfolio Management (\mathbb{P})

Behavioral Finance (\mathbb{P})

Corporate Finance

Derivative Pricing (\mathbb{Q})

Econophysics

Executive Stock Options (\mathbb{P})

Financial Econometrics

Information Geometry / Information Theory

Informed Trading / Short Selling (\mathbb{P})

Interest Rates / Inflation

International Finance (\mathbb{P})

Liquidity Risk

Machine Learning

Microstructure

Optimal Execution

Risk Management (\mathbb{P})

Econometrics / Statistics / Stochastic Processes / Time Series

Readers are encouraged to comment and suggest additional researchers, who will be added to this list.

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