Neil Chriss
Encyclopedia
Neil A. Chriss is a mathematician
, academic, hedge fund
manager, philanthropist
and a founding board member of the charity organization "Math for America
" which seeks to improve math education in the United States
.
Chriss went to the University of Chicago
and majored in Mathematics. Following his junior year in college he worked at Fermilab
with Myron Campbell and Bruce Denby and developed a neural network to find b-quark
jets. He published this work under the title Neural Networks for Triggering.
Chriss chose to study Pure Mathematics
at the University of Chicago
after having completed a masters Degree in Applied Mathematics
at Caltech. At the University of Chicago he worked in an area broadly known as the Langlands Program
, after Robert Langlands
, who is a professor at the Institute for Advanced Study
and had made far-reaching conjectures about the connections between number theory and geometry and analysis. His Ph.D. thesis was a generalization of a breakthrough paper by David Kazhdan
and George Lusztig of Harvard and MIT. His Ph.D. advisor was Robert Kottwitz. While he was working on his Ph.D. thesis he also started working on a book with Victor Ginzburg
on the relationship between algebraic geometry
and representation theory
which was published by Birkhäuser in 1997 under the title Representation Theory and Complex Geometry.
He received his Ph.D. degree in Mathematics from the University of Chicago in 1993, the thesis title was A Geometric Construction of the Iwahori-Hecke Algebra.
Mathematics department. At Toronto he was deeply involved with writing of his "Representation Theory and Complex Geometry" book with Ginzburg. The University of Toronto also signifies a transition in his career. Through his friend John Liew he was introduced to quant finance and started learning probability theory
, stochastic calculus
and Black–Scholes option pricing theory.
Chriss was at the Institute for Advanced Study
during the 1994–1995 academic year where he started writing the book "Black–Scholes and Beyond: Option Pricing Models" which was published by Irwin (an imprint of McGraw-Hill) in 1996. He spent the summer of 1995 in the Quantitive Strategies group of Emanuel Derman
at Goldman Sachs
. ln 1994, Derman and Kani published a paper that showed how to fit a binomial tree to price all options trading in the market at that time. Chriss extended their work from binomial trees to trinomial trees and implemented the trinomial tree model in their system and they published a paper on it.
Chriss received a grant from NSF and an offer to come to Harvard University
Mathematics Department in the fall of 1996. He was offered the assistant professor position at Harvard in 1997. He turned this offer down and decided to move to Wall Street.
The same year, Chriss joined the quant research group in Morgan Stanley
's Institutional Equities Division to work on models of portfolio trading for their cash equities program trading
desk. He published his research results in a seminal paper "Optimal execution of portfolio transactions" with Robert Almgren. The Institutional Investor published
an article about Algorithmic Trading in its November 2004
issue titled "The Orders Battle" that noted Chriss's paper "helped lay the
groundwork for arrival-price algorithms being developed on Wall Street." There are many citations to this work in the Algorithmic Trading industry.
The other Algorithmic Trading
articles Chriss wrote are: "Competitive bids for principal program trades", "Value under liquidation".
At Morgan Stanley he met a number of people who had big influence on his career. One person in particular was Peter Muller who inspired Chriss to pursue quantitative trading.
In 1998, Chriss decided to move into portfolio management
and joined the Goldman Sachs
Asset Management (GSAM) in its Quantitative Strategies group with the mandate to work on
the overall portfolio management activities of the group and to develop
a new trading strategy. He joined the group after Cliff Asness, John Liew and Bob Krail left to form AQR Capital Management. Ray Iwanowski and Mark Carhart became heads of the group and recruited Neil Chriss. Chriss departed Goldman and the trader game in 2000 to start a brokerage business.
In 2000, Chriss became the founder and president of ICor Brokerage Inc., a derivatives trading firm. ICor joined forces with Reuters
the following year, forming a new 50/50 joint venture called ICor Brokerage Ltd. Reuters bought out the rest of the company in 2004 and currently uses the ICor electronic trading system for their interest rate and foreign exchange derivatives trading.
Courant Institute of Mathematical Sciences
to be the first director of the Program in Mathematics in Finance on a part-time basis while continuing his day job as a quant.
The Courant program grew out of two mathematical finance courses that were taught in the early 1990s by Marco Avellaneda at Courant. The push to do it came from Courant's then-director David McLaughlin. Chriss formed the curriculum, administered the program and recruited adjunct faculty to teach practitioner courses. Courant's Robert Kohn and Jonathan Goodman were also instrumental in getting the program off the ground. Chriss also worked closely with the program's chairman of the board, Jeff Rosenbluth.
During his tenure as the director at Courant Program in Mathematics in Finance Chriss recruited noted practitioners Jim Gatheral
, Steve Allen, Peter Fraenkel (now head of Quantitative IT at UBS) and Nassim Taleb
to teach. Chriss was the director of the program between 1997 and 2003. In 2003 Chriss agreed to work with the University of Chicago Financial Mathematics Program as its executive director.
After a period of time off, Chriss founded the hedge fund "Hutchin Hill Capital" with the backing of Meritage Fund, Ltd. Hutchin Hill Capital runs both quantitative and fundamental strategies focused on systematic, process-driven strategies operating in a broad variety of highly liquid asset classes and markets. Renaissance Technologies
' Meritage Fund provided $300 million multi-year commitment of capital to Hutchin Hill. Nat Simons, a son of Jim Simons, runs Meritage together with David Zierk and Alex Magaro. Meritage is a $5 billion fundamental vehicle that invests the assets of founder Jim Simons and other Renaissance principals and employees and was once part of Renaissance's flagship Medallion Fund.
Mathematician
A mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....
, academic, hedge fund
Hedge fund
A hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
manager, philanthropist
Philanthropist
A philanthropist is someone who engages in philanthropy; that is, someone who donates his or her time, money, and/or reputation to charitable causes...
and a founding board member of the charity organization "Math for America
Math for America
Math for America is a nonprofit organization, founded in January 2004 by mathematician Jim Simons with a mission to improve mathematics education in United States public schools by recruiting, training, and retaining highly qualified secondary school mathematics teachers.-Background:MƒA created...
" which seeks to improve math education in the United States
United States
The United States of America is a federal constitutional republic comprising fifty states and a federal district...
.
Early career
In the book "How I became a Quant" Chriss mentions that he was involved with computer programming from an early age. He learned programming at the age of 11. He developed a videogame called D' Fuse and sold it to Tymac when he was a sophomore in high school. The game and the VIC-20 quickly faded, however, upon the arrival of Commodore 64 with 64K of memory and much better graphics.Chriss went to the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
and majored in Mathematics. Following his junior year in college he worked at Fermilab
Fermilab
Fermi National Accelerator Laboratory , located just outside Batavia, Illinois, near Chicago, is a US Department of Energy national laboratory specializing in high-energy particle physics...
with Myron Campbell and Bruce Denby and developed a neural network to find b-quark
Bottom quark
The bottom quark, also known as the beauty quark, is a third-generation quark with a charge of − e. Although all quarks are described in a similar way by the quantum chromodynamics, the bottom quark's large bare mass , combined with low values of the CKM matrix elements Vub and Vcb, gives it a...
jets. He published this work under the title Neural Networks for Triggering.
Chriss chose to study Pure Mathematics
Pure mathematics
Broadly speaking, pure mathematics is mathematics which studies entirely abstract concepts. From the eighteenth century onwards, this was a recognized category of mathematical activity, sometimes characterized as speculative mathematics, and at variance with the trend towards meeting the needs of...
at the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
after having completed a masters Degree in Applied Mathematics
Applied mathematics
Applied mathematics is a branch of mathematics that concerns itself with mathematical methods that are typically used in science, engineering, business, and industry. Thus, "applied mathematics" is a mathematical science with specialized knowledge...
at Caltech. At the University of Chicago he worked in an area broadly known as the Langlands Program
Langlands program
The Langlands program is a web of far-reaching and influential conjectures that relate Galois groups in algebraic number theory to automorphic forms and representation theory of algebraic groups over local fields and adeles. It was proposed by ....
, after Robert Langlands
Robert Langlands
Robert Phelan Langlands is a mathematician, best known as the founder of the Langlands program. He is an emeritus professor at the Institute for Advanced Study...
, who is a professor at the Institute for Advanced Study
Institute for Advanced Study
The Institute for Advanced Study, located in Princeton, New Jersey, United States, is an independent postgraduate center for theoretical research and intellectual inquiry. It was founded in 1930 by Abraham Flexner...
and had made far-reaching conjectures about the connections between number theory and geometry and analysis. His Ph.D. thesis was a generalization of a breakthrough paper by David Kazhdan
David Kazhdan
David Kazhdan or Každan, Kazhdan, formerly named Dmitry Aleksandrovich Kazhdan , is a Soviet and Israeli mathematician known for work in representation theory.-Life:...
and George Lusztig of Harvard and MIT. His Ph.D. advisor was Robert Kottwitz. While he was working on his Ph.D. thesis he also started working on a book with Victor Ginzburg
Victor Ginzburg
Victor Ginzburg is a Russian American mathematician who works in representation theory and in noncommutative geometry. He is mostly known for his contribution to geometric representation theory, especially, for his works on representations of quantum groups and Hecke algebras, on the geometric...
on the relationship between algebraic geometry
Algebraic geometry
Algebraic geometry is a branch of mathematics which combines techniques of abstract algebra, especially commutative algebra, with the language and the problems of geometry. It occupies a central place in modern mathematics and has multiple conceptual connections with such diverse fields as complex...
and representation theory
Representation theory
Representation theory is a branch of mathematics that studies abstract algebraic structures by representing their elements as linear transformations of vector spaces, and studiesmodules over these abstract algebraic structures...
which was published by Birkhäuser in 1997 under the title Representation Theory and Complex Geometry.
He received his Ph.D. degree in Mathematics from the University of Chicago in 1993, the thesis title was A Geometric Construction of the Iwahori-Hecke Algebra.
Academia
Chriss's first academic job (1993–1994) was at the University of TorontoUniversity of Toronto
The University of Toronto is a public research university in Toronto, Ontario, Canada, situated on the grounds that surround Queen's Park. It was founded by royal charter in 1827 as King's College, the first institution of higher learning in Upper Canada...
Mathematics department. At Toronto he was deeply involved with writing of his "Representation Theory and Complex Geometry" book with Ginzburg. The University of Toronto also signifies a transition in his career. Through his friend John Liew he was introduced to quant finance and started learning probability theory
Probability theory
Probability theory is the branch of mathematics concerned with analysis of random phenomena. The central objects of probability theory are random variables, stochastic processes, and events: mathematical abstractions of non-deterministic events or measured quantities that may either be single...
, stochastic calculus
Stochastic calculus
Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes...
and Black–Scholes option pricing theory.
Chriss was at the Institute for Advanced Study
Institute for Advanced Study
The Institute for Advanced Study, located in Princeton, New Jersey, United States, is an independent postgraduate center for theoretical research and intellectual inquiry. It was founded in 1930 by Abraham Flexner...
during the 1994–1995 academic year where he started writing the book "Black–Scholes and Beyond: Option Pricing Models" which was published by Irwin (an imprint of McGraw-Hill) in 1996. He spent the summer of 1995 in the Quantitive Strategies group of Emanuel Derman
Emanuel Derman
Emanuel Derman is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book My Life as A Quant: Reflections on Physics and Finance....
at Goldman Sachs
Goldman Sachs
The Goldman Sachs Group, Inc. is an American multinational bulge bracket investment banking and securities firm that engages in global investment banking, securities, investment management, and other financial services primarily with institutional clients...
. ln 1994, Derman and Kani published a paper that showed how to fit a binomial tree to price all options trading in the market at that time. Chriss extended their work from binomial trees to trinomial trees and implemented the trinomial tree model in their system and they published a paper on it.
Chriss received a grant from NSF and an offer to come to Harvard University
Harvard University
Harvard University is a private Ivy League university located in Cambridge, Massachusetts, United States, established in 1636 by the Massachusetts legislature. Harvard is the oldest institution of higher learning in the United States and the first corporation chartered in the country...
Mathematics Department in the fall of 1996. He was offered the assistant professor position at Harvard in 1997. He turned this offer down and decided to move to Wall Street.
Wall Street
The Risk Magazine named Chriss one of the "Top Ten to Watch in the next Ten Years" in 1997.The same year, Chriss joined the quant research group in Morgan Stanley
Morgan Stanley
Morgan Stanley is a global financial services firm headquartered in New York City serving a diversified group of corporations, governments, financial institutions, and individuals. Morgan Stanley also operates in 36 countries around the world, with over 600 offices and a workforce of over 60,000....
's Institutional Equities Division to work on models of portfolio trading for their cash equities program trading
Program trading
Program trading is a generic term used to describe a type of trading in securities, usually consisting of baskets of fifteen stocks or more that are executed by a computer program simultaneously based on predetermined conditions...
desk. He published his research results in a seminal paper "Optimal execution of portfolio transactions" with Robert Almgren. The Institutional Investor published
an article about Algorithmic Trading in its November 2004
issue titled "The Orders Battle" that noted Chriss's paper "helped lay the
groundwork for arrival-price algorithms being developed on Wall Street." There are many citations to this work in the Algorithmic Trading industry.
The other Algorithmic Trading
Algorithmic trading
In electronic financial markets, algorithmic trading or automated trading, also known as algo trading, black-box trading or robo trading, is the use of electronic platforms for entering trading orders with an algorithm deciding on aspects of the order such as the timing, price, or quantity of the...
articles Chriss wrote are: "Competitive bids for principal program trades", "Value under liquidation".
At Morgan Stanley he met a number of people who had big influence on his career. One person in particular was Peter Muller who inspired Chriss to pursue quantitative trading.
In 1998, Chriss decided to move into portfolio management
Investment management
Investment management is the professional management of various securities and assets in order to meet specified investment goals for the benefit of the investors...
and joined the Goldman Sachs
Asset Management (GSAM) in its Quantitative Strategies group with the mandate to work on
the overall portfolio management activities of the group and to develop
a new trading strategy. He joined the group after Cliff Asness, John Liew and Bob Krail left to form AQR Capital Management. Ray Iwanowski and Mark Carhart became heads of the group and recruited Neil Chriss. Chriss departed Goldman and the trader game in 2000 to start a brokerage business.
In 2000, Chriss became the founder and president of ICor Brokerage Inc., a derivatives trading firm. ICor joined forces with Reuters
Reuters
Reuters is a news agency headquartered in New York City. Until 2008 the Reuters news agency formed part of a British independent company, Reuters Group plc, which was also a provider of financial market data...
the following year, forming a new 50/50 joint venture called ICor Brokerage Ltd. Reuters bought out the rest of the company in 2004 and currently uses the ICor electronic trading system for their interest rate and foreign exchange derivatives trading.
Mathematical finance education
When Chriss moved to New York on a permanent basis, he was asked by New York UniversityNew York University
New York University is a private, nonsectarian research university based in New York City. NYU's main campus is situated in the Greenwich Village section of Manhattan...
Courant Institute of Mathematical Sciences
Courant Institute of Mathematical Sciences
The Courant Institute of Mathematical Sciences is an independent division of New York University under the Faculty of Arts & Science that serves as a center for research and advanced training in computer science and mathematics...
to be the first director of the Program in Mathematics in Finance on a part-time basis while continuing his day job as a quant.
The Courant program grew out of two mathematical finance courses that were taught in the early 1990s by Marco Avellaneda at Courant. The push to do it came from Courant's then-director David McLaughlin. Chriss formed the curriculum, administered the program and recruited adjunct faculty to teach practitioner courses. Courant's Robert Kohn and Jonathan Goodman were also instrumental in getting the program off the ground. Chriss also worked closely with the program's chairman of the board, Jeff Rosenbluth.
During his tenure as the director at Courant Program in Mathematics in Finance Chriss recruited noted practitioners Jim Gatheral
Jim Gatheral
Jim Gatheral is a researcher in the field of Mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives....
, Steve Allen, Peter Fraenkel (now head of Quantitative IT at UBS) and Nassim Taleb
Nassim Taleb
Nassim Nicholas Taleb is a Lebanese American essayist whose work focuses on problems of randomness and probability. His 2007 book The Black Swan was described in a review by Sunday Times as one of the twelve most influential books since World War II....
to teach. Chriss was the director of the program between 1997 and 2003. In 2003 Chriss agreed to work with the University of Chicago Financial Mathematics Program as its executive director.
Hedge funds
In 2003, Chriss joined the Stamford, CT hedge fund SAC Capital to build what would become a highly profitable quantitative trading business. The details of his time at SAC are not well known. Chriss resigned from the firm in early 2007.After a period of time off, Chriss founded the hedge fund "Hutchin Hill Capital" with the backing of Meritage Fund, Ltd. Hutchin Hill Capital runs both quantitative and fundamental strategies focused on systematic, process-driven strategies operating in a broad variety of highly liquid asset classes and markets. Renaissance Technologies
Renaissance Technologies
Renaissance Technologies is a hedge fund management company of about 275 employees and more than $ billion in assets under management in three funds...
' Meritage Fund provided $300 million multi-year commitment of capital to Hutchin Hill. Nat Simons, a son of Jim Simons, runs Meritage together with David Zierk and Alex Magaro. Meritage is a $5 billion fundamental vehicle that invests the assets of founder Jim Simons and other Renaissance principals and employees and was once part of Renaissance's flagship Medallion Fund.