- Adjunct Associate Professor, CMU Dept. of Statistics (abrock at stat dot cmu dot edu)
I currently live in New York City where I am developing and implementing trading algorithms. This is a great challenge in terms of
striking the balance between theory and practice in financial time series analysis and decision theory.
I continue to work with the Dept. of Statistics in an adjunct role;
my primary responsibility is teaching in the Tepper School's Masters of Science in Computational Finance program.
Curriculum Vitae and Publications
My research interests lie in dynamical systems analysis, Monte Carlo and other computational methods,
and decision and control problems, with a particular emphasis on financial time series analysis and algorithmic trading applications.
A slightly out-of-date copy of my CV can be downloaded
here. I no longer maintain a list of
downloadable versions of my publications. If you are interested in getting
hold of a copy of a paper I have (co-)authored, feel free to contact me by
Time Series Analysis Software
Cronos is an open-source (C#) time series analysis package I have developed, supporting fitting of
ARMA/ARIMA/ARFIMA, GARCH, and Stochastic Volatility (SV) models,
I'm distributing it under version 2 of the GNU General Public License.
This version of Cronos is written in C#. It sacrifices Linux-compatibility (for now) but includes a number of
important structural changes.
The GUI uses an object-oriented graphical
display to keep track of data, models, transforms, etc. Multivariate support is also included.
Time series must now be time-stamped. Although this sounds more restrictive, it's actually much better
to require time series to have valid time stamps for every observation. It allows for
irregularly-spaced time series, and makes it possible to sample time series in useful ways.
From a computer science perspective, the code structure has improved (keep in mind
I'm mainly a statistician rather than a computer scientist so I'm sure the structure could
be much better than it is). It is not quite the same nightmare it used to be with the old version
to construct a new model.
A windows setup program (as well as source) can be downloaded from Microsoft's open source hosting site,
Any feedback on this version is welcome.
Courses I am giving are handled through Blackboard.
Last modified: Jun. 8th, 2010, by Anthony Brockwell.