Currently acting as adjunct associate professor, was a regular faculty member in the Statistics Dept. at CMU from 1999 to 2007. He received his Ph.D. in 1998 from the University of Melbourne. Dr. Brockwell's research interests include stochastic differential equations, Markov chains, time series, and control theory. He is particularly interested in the study of stochastic control problems in which system descriptions are incomplete and/or inaccurate, and in the development of new models explaining market price behavior. Dr. Brockwell has published articles in such journals as the Annals of Statistics, Journal of Time Series Analysis, SIAM Journal on Control and Optimization, and Journal of Computational and Graphical Statistics. In 2007 he left academia to join a small startup hedge fund as a quant in New York city, where he developed and managed a portfolio of quantitative trading algorithms. In 2010 he joined Two Sigma Investments LLC, where he currently works. He plans to continue teaching time series in the MSCF program concurrently with his employment at Two Sigma.
John P. Lehoczky
Thomas Lord University Professor of Statistics and Mathematical Sciences received his Ph.D. in statistics from Stanford University in 1969. Dr. Lehoczky's main teaching and research interests involve the theory and application of stochastic processes to model the behavior of real applications. Over the last five years, Dr. Lehoczky has focused on two broad application areas: financial markets and real-time computer systems. In finance, he has been involved in the development of new simulation methodologies to price and hedge complex securities. More recently, Dr. Lehoczky has been focusing on the estimation of parameters of stochastic differential equations and its application to term structure or asset price process models. His research in real-time computer systems involves collaboration with researchers at the CMU School of Computer Science, Software Engineering Institute, Electrical and Computer Engineering Department and the Department of Mathematical Sciences. Dr. Lehoczky is developing, jointly with Professor Steve Shreve, a new analytic methodology called real-time queuing theory, which predicts the ability of a queuing system to satisfy the timing requirements of the tasks, which use it. The theory is being implemented and tested on several pilot systems at CMU. He has been published extensively in a variety of journals including Annals of Applied Probability, Management Science, and Real-Time Systems and Dr. Lehoczky has served on the editorial staff of Management Science, IEEE Transactions on Computers, and Real Time Systems
Associate Professor of Statistics, received his Ph.D. in statistics from the University of California, Berkeley in 2004. His primary research interests focus on addressing inference problems in the physical sciences using novel, often computationally- intensive, statistical methods. He is a part of the McWilliams Center for Cosmology at CMU and actively collaborates with researchers in astronomy, particle physics, and risk assessment. He has published in the Journal of the American Statistical Association and the Astrophysical Journal, among others.
Mark J. Schervish
Professor of Statistics, received his Ph.D. in statistics from the University of Illinois in 1979. Dr. Schervish's main research interests involve the foundations of inference, the theory and application of Gaussian processes, and modeling of financial data. Dr. Schervish has collaborated with researchers in Civil, Mechanical, and Electrical Engineering on statistical modeling of real-world processes. Dr. Schervish has published a number of books and many articles in journals such as /Journal of the American Statistical Association/, /The Annals of Statistics, Biometrika,/ and others.