Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

Anthony Brockwell

Currently acting as adjunct associate professor, was a regular faculty member in the Department of Statistics at CMU from 1999 to 2007. He received his Ph.D. in 1998 from the University of Melbourne. Dr. Brockwell's research interests include stochastic differential equations, Markov chains, time series, and control theory. He is particularly interested in the study of stochastic control problems in which system descriptions are incomplete and/or inaccurate, and in the development of new models explaining market price behavior. Dr. Brockwell has published articles in such journals as the Annals of Statistics, Journal of Time Series Analysis, SIAM Journal on Control and Optimization, and Journal of Computational and Graphical Statistics. In 2007 he left academia to join a small startup hedge fund as a quant in New York city, where he developed and managed a portfolio of quantitative trading algorithms. In 2010 he joined Two Sigma Investments LLC, where he currently works. He plans to continue teaching time series in the MSCF program concurrently with his employment at Two Sigma.