ORC Expert Advisory Services ORC International

  home    |    find an expert    |    request an expert    |    join our network    |    about us     expert login  
Expert Consulting and Expert Witness Services
  
  search tips 
Share this page:  Send to LinkedIn Send to Facebook Tweet This Email Print

 Expert  725756

Expert in Computational Physics and Neuroscience, Simulated Annealing Optimization


Available for your Consulting and Expert Witness Needs

Oregon (OR)
USA
Education Work HistoryPublicationsConsulting Services Expert Witness

Summary of Expertise:

Listed with other top experts in: 

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 (XSEDE.org), supercomputer project "Electroencephalographic field influence on calcium momentum waves".

 • 

acceptance sampling

 • 

applied statistics

 • 

computer programming

 • 

Maxwell-Boltzmann distribution

 • 

Monte Carlo method

 • 

nonlinear programming

 • 

numerical optimization

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.
 • 

applied mathematics

 • 

continuous distribution function

 • 

derivative (finance)

 • 

hedging

 • 

normal distribution

 • 

option (finance)

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.
 • 

bond

 • 

financial modeling

 • 

futures (finance)

 • 

normal density function

 • 

time-series analysis

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) described in http://www.ingber.com/smni06_ism.pdf. 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. A project, Real Options for Project Schedules (ROPS), is described in http://www.ingber.com/markets07_rops.pdf.

 • 

flexible statistical model building

 • 

mathematical model

 • 

multivariate analysis

 • 

multivariate statistical analysis

 • 

numerical analysis

 • 

numerical modeling

 • 

probability

 • 

probability distribution

 • 

research and development

 • 

statistics

 • 

stochastic process

 • 

strategic research planning

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.
 • 

hedge fund

 • 

portfolio

 • 

portfolio management

 • 

private equity fund


Show Secondary and Basic Areas of Expertise
Localities:
Expert may consult nationally and internationally, and is also local to the following cities: Medford, Oregon.

Education:
Year   Degree   Subject   Institution  
1958   Diploma   College Prep   Brooklyn Technical High School  
1962   BS   Physics   Caltech  
1967   PhD   Theoretical Nuclear Physics   UC San Diego  

Work History:
Years   Employer   Department   Title   Responsibilities

2003 to

 

(Undisclosed)

 


 

President/Owner

 

He continues to pursue research and consult in several disciplines in which he has gained expertise over several decades.

In 2012 he was Editor-in-Chief at Research Publisher in Santa Clara, CA for three journals and associated e-conferences. From 2011-2013 he was a Partner in Pion Capital, a hedge-fund partnership of Caltech alumni. From 2013- he is PI of the NSF XSEDE.org physics project on EEG influence on Ca waves.

2001 to 2003

 

DUNN Capital Management

 


 

Director Research & Development 2002-2003

 

He developed state of the art copula risk-management algorithms and worked with others to enhance and perform due diligence on trading models.

1997 to 2001

 

DRW Trading

 


 

Director Research & Development 2002-2003

 

Developing 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. Modeling indexes and options on indexes and baskets of their components, including risk scenarios and dynamic balancing of portfolios using his published Adaptive Simulated Annealing (ASA) code (an importance-sampling optimization algorithm). Developing an optimized inter-minute computerized trading system, based on his published studies using Canonical Momenta Indicators (CMI). Modeling US and German Cheapest-To-Deliver futures contracts on bonds. Modeling Eurodollar and US Treasury options. Optimizing portfolios of other traders, enhancing the effectiveness of their trading rules. Directing mathematical modeling of codes being prepared for a commercial risk-management product, including preparation for exotic and energy options modules. Working with other team members to obtain and integrate several data resources into a central database accessible to traders as well as to analysts. Working with other team members to develop an electronic trading system interface to exchanges, prototyped using Canonical Momenta Indicators. Leading, managing and administrating many projects associated with a growing company.

1989 to 1990

 

George Wasahingto University

 

Mathematics

 

Research Professor

 


1986 to 1989

 

Naval Postgraduate School

 

Physics

 

Professor

 

His research focused on application of statistical mechanics to large-scale systems, specifically in neuroscience and modeling of combat-simulation systems. This research also directly involved directing thesis officer-students. He served on the Physics curriculum committee and as Chairman of the Combat Analysis Sequence, a new sequence of eight courses.

1989 to 1989

 

National Research Council

 


 

Senior Research Associate

 


1985 to 1986

 

National Research Council

 


 

Senior Research Associate

 


1969 to 1970

 

State University of New York Stony Brook

 


 

Assisant Professor

 



Publications:
Publications and Patents Summary

See http://www.ingber.com/ingber.bib.html for a list and some URLs of 100+ publications.


Consulting Services:
Click the green button above to contact Expert for a free initial screening call regarding your expert consulting needs.  Expert is available for consulting to corporate, legal and government clients.  Remember, your initial screening call to speak with Expert is free.

Expert Witness:
Click the green button above to contact Expert for a free initial screening call regarding expert testimony, litigation consulting and support, forensic services, or any related expert witness services.  A few litigation needs include product liability, personal injury, economic loss, intellectual property (patent, trademark, trade secret, copyright), and insurance matters.  Remember, your initial screening call to speak with Expert is free.

Additional Skills and Services:
Other Skills and Services

His 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.

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.


 

Need the right expert?  We can help!

home       find an expert       request an expert       join our network       about us

Intota is now ORC Expert Advisory Services

FOLLOW ORC ON