Computational Finance and the Future of Investment Management

David E. Shaw
D. E. Shaw & Co.

Columbia CS Colloquium
Monday, January 24, 2000
11:00-12:15pm
Interschool Lab, CEPSR

Abstract

Over the past decade or so, computers and computer scientists have come to play an increasingly important role in the management of financial assets. Advanced quantitative and computational techniques are now used by certain investment managers to identify securities that are "mispriced" relative to other issues, to optimize portfolios for the maximization of return and the minimization of various forms of risk, and to scientifically reduce the market impact of individual trades. This talk will survey several aspects of the emerging field of computational finance and its current and potential future applications to investment management, focusing on such topics as algorithmic trading, portfolio optimization, quantitative risk management, transaction cost minimization, and the enhancement of "transparency" through the use of computer-generated investor reports.

Biography:
David E. Shaw is the chairman and chief executive officer of D. E. Shaw & Co., Inc., a global securities and investment firm whose activities center on various aspects of the intersection between technology and finance. The firm has been described as "arguably the most cutting-edge trading firm on Wall Street" [Investment Dealers' Digest, November 15, 1993] and as "the most intriguing and mysterious force on Wall Street today" [Fortune, February 5, 1996]. Dr. Shaw is also the chairman of Juno Online Services, Inc. (a leading provider of Internet-related services) and of Schrödinger, Inc. (which produces software used for drug discovery).

The author of 63 scholarly publications, Dr. Shaw received his Ph.D. from Stanford University in 1980 and served on the faculty of the Department of Computer Science at Columbia University before joining Morgan Stanley & Co. in 1986 as its vice president in charge of automated analytical trading technology. In 1994, Dr. Shaw was appointed by President Clinton to the President's Committee of Advisors on Science and Technology, in which capacity he served as chairman of the Panel on Educational Technology. He is also a member of the executive committee of the Council on Competitiveness, and of the board of directors of the American Association for the Advancement of Science.