Graduate Student, Management & Technology
Information Systems Management
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Dr. Thomas Spencer
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About
I live in Chicago, and I am an analyst at a capital markets consulting firm doing work in quantitative risk analysis. I deal quite a bit in mathematics and probability. I also taught graduate-level fixed-income trading, financial econometrics, and time series analysis.
I am studying to perform some research in exploratory data analysis (EDA), data mining, and Bayesian time series analysis. I love analyzing high-frequency foreign currency trading, since it means being among the first onto a major trading trend, and understanding complex pricing relationships. Most of the tools that I use for statistical analysis are open source, so that they are freely available and extensively supported by users across the globe. I have gained some expertise in the following, and can offer assistance for budget-minded researchers: R, Octave, BUGS, Java, Python, and C++.
My experience in is mostly in the field of data mining and operations research. One of my interests regarding social change is being able to create a predictive model of impending financial disaster. When the mortgage and credit crisis erupted in 2007, for instance, the writing was on the wall, and data mining was a great help in forecasting it. I am fortunate enough to have Dr. Thomas Spencer as my dissertation chair. After several drafts, and two residencies, my dissertation title is, "The pricing effect of large speculators and price run-ups in the New York Mercantile Exchange (NYMEX) crude oil futures market."
