One-Line Bio

Financial technologist and former quantitative investment manager for $6 billion in global equity assets. Founder of one of the first commercial algo trading firms. Widely published author and speaker on Artificial Intelligence, Intelligence Amplification, and other leading edge technologies for Wall Street.

Biography

My web bio is found here

Leinweber LBL

Many useful links and papers predating this blog can be found there.

Here's an introduction:

Financial markets have been continuously transformed by technology. This has been occurring for hundreds of years, and continues today. David Leinweber's professional interests focus on how modern information technologies are best applied in trading and investing.

At the RAND Corporation, he directed research on real-time applications of artificial intelligence that led to the founding of Integrated Analytics Corporation. IAC was acquired by the Investment Technology Group, and, with the addition of electronic order execution, its product became QuantEx, an electronic execution system still in use for millions of institutional equity transactions daily.

These systems combined ideas of quantitative logic, expert systems, visualization, and GUI design to allow traders to delegate many tasks to an automated assistant, and dramatically reduce the amount of computer manipulation they performed. Large institutions, concerned with controlling transactions costs, found them particularly valuable.

There was a little artificial intelligence in these early systems, but they had a significant shortcoming - an inability to learn. If a trader had developed the "holy grail" of investment strategies, with the one key error of buying when it should sell, and selling when it should buy, the system would never notice.

There are solutions to this problem. Leinweber's participation in trading agent competitions at the Santa Fe Institute led to work applying techniques of machine learning, genetic algorithms, and evolutionary programming at First Quadrant, where he managed quantitative global equity portfolios totaling $6 billion.

In 2002, he is organizing the Wall Street Applications portion of the Genetic and Evolutionary Computation Conference, to be held in New York in July.

Information is the raw material for any investment or trading strategy, and the financial information landscape is dramatically transformed by the Internet. Information frictions are dramatically reduced. Information is impounded in prices much faster.

This led to the founding of Codexa Corporation, a Net based information collection, aggregation and filtering service for institutional investors and traders. The company's clients included many of the world's largest brokerage and investment firms.

As a visiting faculty member at Caltech, Leinweber's interest in practical applications of ideas at the juncture of technology and finance continues. At Caltech, he is investigating applications of Caltech's pioneering work in experimental economics in financial markets.
He is also a collaborator in the Harvard Business School's e-Information project, a large scale study to determine how recent changes in information dissemination are seen in US equity markets.

Leinweber was a Haas Fellow in Finance at UC Berkeley prior to moving to LBL in 2010.
Dr. Leinweber has advanced the state of the art in the application of information technology in both the sell-side world of trading and the buy-side world of quantitative investment. He's published and spoken widely in both fields. He's gone five rounds against the Wall Street Journal dartboard.
In his misspent youth, he graduated from MIT, where he was one of the first 5000 people on the Internet. That was when it was called the ARPAnet and wasn't cool. He also has a Ph.D. in Applied Mathematics from Harvard. But on a good day, it's hard to tell.