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Expert's optimization code, Adaptive Simulated Annealing (ASA), is used worldwide in many disciplines for global optimization and sampling. He has experience leading teams in several disciplines, developing some powerful models and algorithms for extracting signal out of noise for some classes of systems, e.g., that typically arise in such diverse fields as finance, neuroscience, and combat simulations, utilizing his ASA C-code.

Since Feb 2013 he has been Principal Investigator (PI), of the National Science Foundation (NSF) collaborative resource, The Extreme Science and Engineering Discovery Environment, applied to neuroscience and financial markets, using mathematical physics tools developed by him in both classical and quantum physics.


He has developed a full suite of options codes, which may be integrated with TRD (a full end-to-end trading structure), or used independently. He developed PATHINT to evolve multivariate probability distributions, defined by general nonlinear Gaussian Markovian processes -- multiplicative noise, and published applications in several disciplines. He created a faster algorithm PATHTREE, a binomial tree to evolve such probability distributions. PATHTREE was thoroughly tested and finally published. Both PATHTREE and PATHINT have been applied to options codes, e.g., delivering full sets of Greeks based on such underlying probability distributions. Because of its speed of processing, PATHTREE has been used to fit the shape of distributions to strike data, i.e., a robust bottom-up approach to modeling dependence of strikes on volatilities.


He has developed his previously published PATHINT numerical algorithms, and a novel fast tree algorithm motivated by PATHINT, PATHTREE, to process new multivariate nonlinear generalizations of currently used options models. He has modeled indexes and options on indexes and baskets of their components, including risk scenarios and dynamic balancing of portfolios using his Adaptive Simulated Annealing (ASA) code (an importance-sampling optimization algorithm). He has developed an optimized inter-minute computerized trading system, based on his published studies using Canonical Momenta Indicators (CMI). He has modeled US and German Cheapest-To-Deliver futures contracts on bonds, and modeled Eurodollar and US Treasury options. He has developed state of the art copula risk-management algorithms.


He continues his research in statistical mechanics of multivariate nonlinear systems, which have included: Statistical Mechanics of Neocortical Interactions (SMNI), Statistical Mechanics of Combat (SMC), Statistical Mechanics of Financial Markets (SMFM), Trading in Risk Dimensions (TRD), and Statistical Mechanical Numerical Tools such as his optimization algorithm Adaptive Simulated Annealing (ASA), and path-integral algorithms PATHTREE and PATHINT.

A current project is Ideas by Statistical Mechanics (ISM). ISM is a generic program to model evolution and propagation of ideas/patterns throughout populations subjected to endogenous and exogenous interactions. The program is based on his work in SMNI, using his ASA code for optimizations of training sets, as well as for importance-sampling to apply his TRD copula financial risk-management codes for assessments of risk and uncertainty. These tools process correlated multivariate systems with differing non-Gaussian distributions. Marginal distributions are evolved to determine their expected duration and stability using his PATHTREE and PATHINT codes. This product can be used for decision support for projects ranging from diplomatic, information, military, and economic (DIME) factors of propagation/evolution of ideas, to commercial sales, trading indicators across sectors of financial markets, advertising and political campaigns, etc.

These tools also are being applied to price complex projects as financial options with alternative schedules and strategies. PATHTREE processes real-world options, including nonlinear distributions and time-dependent starting and stopping of sub-projects, with parameters of shapes of distributions fit using ASA to optimize cost and duration of sub-projects. One project is Real Options for Project Schedules (ROPS).

He was Director of Research and Development at DRW, a Chicago-based proprietary trading firm. And Director of Research and Development at Dunn Capital Management, then a billion-dollar hedge-fund in Stuart FL. He developed sophisticated risk-management algorithms and worked with others to enhance and perform due diligence on trading models.