Brian Chen
Email: bchen15 at comcast.net
This page has been accessed
times since January 10, 1997.
Page last updated September 30, 2009.
This page has been accessed
times since January 10, 1997.
Page last updated September 30, 2009.
My professional biographical sketch is available here.
I am currently the Managing Director of Quantitative Strategies at Fort Hill Capital Management and Bay Hill Capital Management. Fort Hill is a quantitative proprietary trading and hedge fund management firm, and Bay Hill is a multistrategy volatility hedge fund. At Fort Hill, I built, developed, and am responsible for the quantitative forecasting and pricing models that form the basis of the statistical volatility arbitrage strategy within the Bay Hill Fund.
I learned much of the finance theory, mathematics, and signal processing methods that are fundamental to solving problems in quantitative finance at the Massachusetts Institute of Technology (MIT), where I received a Ph.D. in Electrical Engineering and Computer Science. While at MIT, I conducted my research as part of the Digital Signal Processing Group, a precursor to what is now called the Signals, Information, and Algorithms Laboratory. My graduate studies concentrated in the areas of estimation, prediction, and other signal processing algorithms, which can be used in such diverse applications as financial modeling, multimedia, and communications. My Ph.D. thesis explored topics in information hiding and digital watermarking, and a pdf version is available for download.
Some of the techniques described in this thesis were exploited by Chinook Communications, a company that I co-founded, to alleviate last-mile bandwidth congestion problems in broadband networks.
While a graduate student at MIT, I also worked at Lucent Technologies Bell Labs (formerly AT&T Bell Labs) during two summers and as a consultant during the academic year. My research there focused on channel coding and signalling techniques for digital audio broadcasting in the current FM band. The goal of the project was radio broadcasting of CD or CD-like quality audio. The techniques I co-invented are now being implemented and commercialized by iBiquity Digital Corporation in their In-Band On-Channel Digital Audio Broadcasting system, now called HD Radio.
In addition to research, I was also the teaching assistant for the graduate-level course 6.432 Stochastic Processes, Detection, and Estimation for one semester.
Prior to my Ph.D. studies, I received a S.M. in Electrical Engineering from MIT. My Master's thesis is titled, "Efficient Communication over Additive White Gaussian Noise and Intersymbol Interference Channels using Chaotic Sequences".
Prior to attending MIT, I received a B.S.E. in Electrical Engineering from The University of Michigan in Ann Arbor, MI. Besides being a great academic institution, the University is also the home of the 1997-98 College Football National Champion Wolverines and boasts what is universally recognized as the greatest college fight song ever, The Victors. I was once a board member of the University of Michigan Club of Greater Boston, but my sentence --- I mean "term" --- has since expired. I am still an active member of the club, though, as well as a member of the University of Michigan Alumni Association.