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After obtaining my Ph.D. from the Department of Statistics at the University of Melbourne, Australia,  I began my professional career in academia, as a faculty member in the Department of Statistics and Data Science at Carnegie Mellon University.   I specialized in time series analysis and Monte Carlo methods, paying specific attention to financial applications as well as applied problems in neuroscience (with colleagues in the MotorLab at the University of Pittsburgh). I developed a range of associated theory and methodology to support practical applications, publishing numerous papers in top-tier journals.  

In addition to my regular faculty position and responsibilities in the Department of Statistics, I was affiliate faculty member of the Department of Machine Learning, and I taught multiple courses in CMU's professional masters degree program for quants, its prestigious MSCF program.  

In 2007, I joined Horton Point LLC, in New York City, where I developed trading and execution algorithms for futures, and had significant exposure to almost all other facets of the quantitative trading business.  Having a front seat view of the subprime crisis in 2008, I gained a range of valuable insights into risk and crisis management. After leaving Horton Point, I day-traded futures for around a year using a home-built quantitative trading system, ending this venture with positive trading income.  In 2010 I joined the Compass group at Two Sigma Investments, where I developed and put into production multiple alpha models. My work expanded to include analysis and deployment of optimization improvements, as well as portfolio-management procedures.  I also played a leading role in internal training and research presentation processes.     

In 2020 I left Two Sigma to pursue my own interests. Among other things, these include development of a coherent body of theory that could be used for next-generation quantitative trading organizations.  

Education:

• Honours Science Degree, Dept. of Statistics, the University of Melbourne
• Ph.D. , Dept. of Statistics and Dept. of Engineering, the University of Melbourne, Topic: Stochastic Adaptive Control Theory, Advisors: Kostya Borovkov and Rob Evans

Employment:

• 2022+: Wellhan Partners LLC (President)
• 2010-2020:  Two Sigma Investments LLC (Vice President)
• 2009: Wellhan Partners LLC (Founder and President)
• 2007-2012:   Carnegie Mellon University (Adjunct Associate Prof.)
• 2007-2009:  Horton Point LLC (Senior Analyst/Trader)
• 1999-2007:  Dept. of Statistics, Carnegie Mellon University (Associate Prof.)
• 1998-1999:  Dept. of Electrical and Electronic Engineering, the University of Melbourne (Research Fellow)

Selected Publications:   (See also my Google scholar profile.)

• Fractional Growth Portfolio Investment.  A.E. Brockwell, arXiv, 2021.
• Sequentially Interacting Markov Chain Monte Carlo Methods. A. Brockwell, P. Del Moral, A. Doucet, Annals of Statistics, Vol. 38(6), 2010
• Pricing of American-Style Options with Stochastic Volatility Models. B.R. Rambarhat and A.E. Brockwell, Annals of Applied Statistics, Vol. 4(1), 2010
• Recursive Bayesian Decoding of Motor Cortical Signals by Particle Filtering. A. Brockwell, A. Rojas and R. Kass, Journal of Neurophysiology, Vol. 91, 2004
• State-space Models for Optical Imaging. K. L. Myers, A.E. Brockwell and W. F. Eddy,  Statistics in Medicine, Vol. 26(21), 2007
• Parallel Processing in Markov chain Monte Carlo Simulation by Pre-Fetching.   A.E. Brockwell, Journal of Computational and Graphical Statistics, Vol. 15(1), 2006
• Dual-Sampling-Rate Moving Horizon Control of a Class of Linear Systems with Input Saturation and Plant Uncertainty. A. Brockwell, E. Polak, R. Evans, and D. Ralph, Journal of Optimization Theory and Applications. Vol. 116(3), 2003
• A Class of Non-Embeddable ARMA Processes. A.E. Brockwell and P.J. Brockwell, Journal of Time-Series Analysis, Vol. 20, Number 5, 1999

• Baking with live yeast culture
• Coffee making

• Photography