David Leinweber

Last updated

David Leinweber heads the Lawrence Berkeley National Laboratory Computational Research Division's Center for Innovative Financial Technology, created to help build a bridge between the computational science and financial markets communities. [1]

He was a Haas Fellow in Finance at the University of California, Berkeley, from 2008-2010.

Dr. Leinweber graduated from MIT, in physics and computer science. He also has a Ph.D. in Applied Mathematics from Harvard University. He came to Harvard planning to study computer graphics, but discovered that the computer graphics courses there were no longer being taught; his "de facto advisor", Harry R. Lewis, encouraged him to study more broadly, and he ended up taking financial mathematics courses from the Harvard Business School. Later, Lewis's connections with the RAND Corporation helped him find a place there as his first post-graduate employer. [2]

He wrote the book Nerds on Wall Street: Math, Machines and Wired Markets (Wiley 2009).

Leinweber is internationally known for ironically showing that S&P 500 could be "predicted" by demonstrating that the butter production in Bangladesh correlated with the S&P 500 with 75% accuracy from 1981-1993 (an R2 of 0.75); including American cheese production improved the illusory correlation [3] to 95%, and including American and Bangladeshi sheep populations improved the fit to 99%. Leinweber thus illustrated, tongue in cheek, how indiscriminate data mining, overfitting, and even apophenia may affect market predictions. [4] [5]

Related Research Articles

<span class="mw-page-title-main">David H. Bailey (mathematician)</span> American mathematician

David Harold Bailey is a mathematician and computer scientist. He received his B.S. in mathematics from Brigham Young University in 1972 and his Ph.D. in mathematics from Stanford University in 1976. He worked for 14 years as a computer scientist at NASA Ames Research Center, and then from 1998 to 2013 as a Senior Scientist at the Lawrence Berkeley National Laboratory. He is now retired from the Berkeley Lab.

<span class="mw-page-title-main">Financial engineering</span> Application of mathematical and computational practices in finance

Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathematical finance and computational finance, in the practice of finance.

Computational science, also known as scientific computing, technical computing or scientific computation (SC), is an area of science that uses advanced computing capabilities to understand and solve complex physical problems. This includes

<span class="mw-page-title-main">Courant Institute of Mathematical Sciences</span> Division of New York University, USA (founded 1935)

The Courant Institute of Mathematical Sciences is the mathematics research school of New York University (NYU), and is among the most prestigious mathematics schools and mathematical sciences research centers in the world. Founded in 1935, it is named after Richard Courant, one of the founders of the Courant Institute and also a mathematics professor at New York University from 1936 to 1972, and serves as a center for research and advanced training in computer science and mathematics. It is located on Gould Plaza next to the Stern School of Business and the economics department of the College of Arts and Science.

<span class="mw-page-title-main">Jim Simons (mathematician)</span> American mathematician and billionaire

James Harris Simons is an American mathematician, billionaire hedge fund manager, and philanthropist. He is the founder of Renaissance Technologies, a quantitative hedge fund based in East Setauket, New York. He and his fund are known to be quantitative investors, using mathematical models and algorithms to make investment gains from market inefficiencies. Due to the long-term aggregate investment returns of Renaissance and its Medallion Fund, Simons is described as the "greatest investor on Wall Street," and more specifically "the most successful hedge fund manager of all time."

<span class="mw-page-title-main">Computational finance</span>

Computational finance is a branch of applied computer science that deals with problems of practical interest in finance. Some slightly different definitions are the study of data and algorithms currently used in finance and the mathematics of computer programs that realize financial models or systems.

<span class="mw-page-title-main">Harry R. Lewis</span> American computer scientist

Harry Roy Lewis is an American computer scientist, mathe­ma­ti­cian, and uni­ver­sity admin­i­stra­tor known for his research in com­pu­ta­tional logic, textbooks in theoretical computer science, and writings on computing, higher education, and technology. He is Gordon McKay Research Professor of Computer Science at Harvard University, and was Dean of Harvard College from 1995 to 2003.

Neil A. Chriss is a mathematician, academic, hedge fund manager, philanthropist and a founding board member of the charity organization "Math for America" which seeks to improve math education in the United States. Chriss also serves on the board of trustees of the Institute for Advanced Study.

<span class="mw-page-title-main">Michael Friendly</span>

Michael Louis Friendly is an American-Canadian psychologist, Professor of Psychology at York University in Ontario, Canada, and director of its Statistical Consulting Service, especially known for his contributions to graphical methods for categorical and multivariate data, and on the history of data and information visualisation.

<span class="mw-page-title-main">Lawrence J. Rosenblum</span> American mathematician

Lawrence Jay Rosenblum is an American mathematician, and Program Director for Graphics and Visualization at the National Science Foundation.

Bruce Howard McCormick (1928–2007) was an American computer scientist, Emeritus Professor at the Department of Computer Science, and founding director of the Brain Networks Lab at Texas A&M University.

<span class="mw-page-title-main">Computer graphics</span> Graphics created using computers

Computer graphics deals with generating images and art with the aid of computers. Today, computer graphics is a core technology in digital photography, film, video games, digital art, cell phone and computer displays, and many specialized applications. A great deal of specialized hardware and software has been developed, with the displays of most devices being driven by computer graphics hardware. It is a vast and recently developed area of computer science. The phrase was coined in 1960 by computer graphics researchers Verne Hudson and William Fetter of Boeing. It is often abbreviated as CG, or typically in the context of film as computer generated imagery (CGI). The non-artistic aspects of computer graphics are the subject of computer science research.

Harry Lewis Nelson is an American mathematician and computer programmer. He was a member of the team that won the World Computer Chess Championship in 1983 and 1986, and was a co-discoverer of the 27th Mersenne prime in 1979. He also served as editor of the Journal of Recreational Mathematics for five years. Most of his professional career was spent at Lawrence Livermore National Laboratory where he worked with some of the earliest supercomputers. He was particularly noted as one of the world's foremost experts in writing optimized assembly language routines for the Cray-1 and Cray X-MP computers. Nelson has had a lifelong interest in puzzles of all types, and since his retirement in 1991 he has devoted his time to his own MiniMax Game Company, a small venture that helps puzzle inventors to develop and market their products.

Michael Peter Barnett was a British theoretical chemist and computer scientist. He developed mathematical and computer techniques for quantum chemical problems, and some of the earliest software for several other kinds of computer application. After his early days in London, Essex and Lancashire, he went to King's College, London, in 1945, the Royal Radar Establishment in Malvern in 1953, IBM UK in 1955, the University of Wisconsin Department of Chemistry in 1957, and the MIT Solid State and Molecular Theory Group in 1958.

John B. Bell is an American mathematician and the Chief Scientist of the Computational Research Division at the Lawrence Berkeley National Laboratory. He has made contributions in the areas of finite difference methods, numerical methods for low Mach number flows, adaptive mesh refinement, interface tracking and parallel computing. He has also worked on the application of these numerical methods to problems from a broad range of fields, including combustion, shock physics, seismology, flow in porous media and astrophysics.

<span class="mw-page-title-main">James Demmel</span> American mathematician

James Weldon Demmel Jr. is an American mathematician and computer scientist, the Dr. Richard Carl Dehmel Distinguished Professor of Mathematics and Computer Science at the University of California, Berkeley.

Robert F. Almgren is an applied mathematician, academic, and businessman focused on market microstructure and order execution. He is the son of Princeton mathematician Frederick J. Almgren, Jr. With Neil Chriss, he wrote the seminal paper "Optimal execution of portfolio transactions," which Institutional Investor said "helped lay the groundwork for arrival-price algorithms being developed on Wall Street." In 2008 with Christian Hauff, he cofounded Quantitative Brokers, a financial technology company providing agency algorithmic execution in futures and interest rate markets. He is currently Chief Scientist at QB and a visiting professor in Operations Research and Financial Engineering at Princeton University.

<span class="mw-page-title-main">Katherine Yelick</span> American computer scientist and academic

Katherine "Kathy" Anne Yelick, an American computer scientist, is the Vice Chancellor for Research and the Robert S. Pepper Professor of Electrical Engineering and Computer Sciences at the University of California, Berkeley. She is also a faculty scientist at Lawrence Berkeley National Laboratory, where she was Associate Laboratory Director for Computing Sciences from 2010-2019.

Leinweber is a German surname.

References

  1. ↑ http://www.lbl.gov/cs/DavidL.html Archived 2012-09-23 at the Wayback Machine David Leinweber's webpage at the Lawrence Berkeley National Laboratory
  2. ↑ Lindsey, Richard R.; Schachter, Barry, eds. (2011). "Chapter 1. David Leinweber". How I Became a Quant: Insights from 25 of Wall Street's Elite. John Wiley & Sons. pp. 9–28. ISBN   9781118044759.
  3. ↑ Rudd, Lauren. "Bangladesh butter production, groundhogs and the markets". Sarasota Herald-Tribune.
  4. ↑ Leinweber, David J. (2007). "Stupid Data Miner Tricks". The Journal of Investing. 16: 15–22. doi:10.3905/joi.2007.681820. S2CID   108627390 – via ResearchGate.
  5. ↑ Apofeni på Blindern Archived 2017-03-16 at the Wayback Machine , Finn Øystein Bergh
This page is based on this Wikipedia article
Text is available under the CC BY-SA 4.0 license; additional terms may apply.
Images, videos and audio are available under their respective licenses.