People of Quant Research

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 ()

• Andrew Ang (Columbia): publications
• Cliff Asness (AQR Capital): publications
• Turan Bali (Baruch College): publications
• Geert Bekaert (Columbia): publications
• David Blitz (Robeco): publications
• Kris Boudt (Lessius Antwerpen): publications
• Michael Brandt (Duke University): publications and working papers
• Eugene Fama, Chicago Booth School of Business (Dimensional Fund Advisers): publications
• Andrea Frazzini (New York University): publications
• Kennneth French, Tuck School of Business at Dartmouth College (Dimensional Fund Advisers): publications
• Robert Jarrow (Cornell): publications
• Tobias Moskowitz (University of Chicago): working papers and published papers
• Thierry Post (Bangor University): publications
• Pim van Vliet, Erasmus School of Economics (Robeco): publications

— Behavioral Finance ()

• Kent Daniel (Columbia, formerly GSAM): publications
• Harrison Hong (Princeton): publications

— Corporate Finance

• Lauren Cohen (Harvard Business School): publications

— Derivative Pricing ()

• Peter Carr (New York University, Courant and Morgan Stanley): publications
• Rama Cont (Columbia): publications
• Jim Gatheral (Baruch College): publications
• Mark Joshi (University of Melbourne): publications

— Econophysics

• Jean-Philippe Bouchaud (Capital Fund Management): publications
• Ramazan Gençay (Simon Fraser University): publications
• Fabrizio Lillo (Santa Fe Institute): publications
• Rosario Mantegna
• Vasiliki Plerou
• Marc Potters (Capital Fund Management): publications
• Tobias Preis (ETH Zürich): publications
• Didier Sornette (ETH Zürich): publications
• Gene Stanley (Boston University): publications

— Executive Stock Options ()

• Jennifer Carpenter (New York University, Stern): publications
• Vicky Henderson (Oxford-Man Institute of Quantitative Finance): publications

— Financial Econometrics

• Andrew Lo, MIT Laboratory for Financial Engineering (Alpha Simplex, part of Natixis): publications
• Kevin Sheppard (Oxford-Man Institute of Quantitative Finance): working papers and published papers
• Ruey Tsay (University of Chicago): publications

— Information Geometry / Information Theory

• Frank Nielsen (École Polytechnique): publications
• Jorma Rissanen, Computer Learning Research Centre (University of London, Royal Holloway, MDL): publications

— Informed Trading / Short Selling ()

• Benjamin Blau (Utah State University): publications

— Interest Rates / Inflation

• Fabio Mercurio (Bloomberg): publications

— International Finance ()

• K. Geert Rouwenhorst, Yale School of Management (Summerhaven): publications

— Liquidity Risk

• Lasse Pedersen (New York University, Stern): publications

— Machine Learning

• Christopher Bishop (Microsoft Research): publications
• Michael Jordon (UC Berkeley): publications
• Stephen Roberts, Pattern Analysis & Machine Learning Research Group (Oxford-Man Institute of Quantitative Finance): publications (time-series machine learning)

— Microstructure

• Marco Avellaneda (New York University, Courant): publications
• David Easley (Cornell): publications
• Joel Hasbrouck (New York University, Stern): publications
• Marcos Lopez de Prado (Tudor): publications
• Maureen O’Hara (Cornell): publications
• Ingve Simonsen (Norwegian University of Science and Technology): publications

— Optimal Execution

• Robert Almgren (Quantitative Brokers, Courant): publications

— Risk Management ()

• Carol Alexander (Reading University): publications
• Peter Christoffersen (University of Toronto): publications
• Attilio Meucci (Kepos Capital and Baruch College): publications

— Econometrics / Statistics / Stochastic Processes / Time Series

• Tim Bollerslev (Duke University): publications (GARCH, realized volatility)
• Umberto Cherubini (University of Bologna): publications (copulas)
• Christian Dunis (Liverpool John Moores University): publications (non-linear methods)
• Andreas Eckner (Stanford University): publications (unevenly-spaced time series)
• Robert Frey, Program in Quantitative Finance (Stony Brook University): publications (regime-switching models)
• Olivier Ledoit, Institute for Empirical Research in Economics (University of Zurich): publications (covariance matrix estimation)
• Andrew Mullhaupt, Program in Quantitative Finance (Stony Brook University)
• Gordon Ross (University of Bristol): publications (non-parametric, non-stationary sequential change point)
• Cosma Shalizi (Carnegie Mellon): publications (stochastic processes)

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