LEE MACLIN

LEE MACLIN
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Instructor Since: 2000

Lee has over twenty years of experience on Wall Street and has worked and consulted for some of its largest and best known firms. Since 1991, Lee has worked primarily in the trading and investment management fields, specializing in the application of statistical methods, modeling, and high frequency simulation. From 1993 to 1997, Lee ran a quantitative trading department for Mint Investment Management, which, at the time, was one of the largest commodity trading advisors in the world. In 2002, Lee was one of the founding partners of Pragma Financial Systems and, for the next six years, served as its Director of Research. At Pragma, Lee’s work focused on the development of optimal execution and dynamic portfolio management tools. He is a frequent speaker on the topic of algorithmic trading and computational finance.

SELECTED PUBLICATIONS
Hidden Noise Structure and Random Matrix Models of Stock Correlations (2012)

Lee Maclin, Petter Kolm, Ivailo Dimov and Dan Shiber

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Algorithmic Trading, Optimal Execution, and Dynamic Portfolios (December 2011)

Lee Maclin and Petter Kolm

Algorithmic Trading (2010)

Lee Maclin and Petter Kolm

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