Professor Ali Hirsa joined IEOR in July 2017. He had been associated with Columbia University as an Adjunct Professor since 2000. He is also Managing Partner at Sauma Capital, LLC a New York Hedge Fund.
RESEARCH INTERESTS
MACHINE LEARNING/DEEP LEARNING, FINANCE, FINANCIAL ENGINEERING, OPTIMIZATION, ALGORITHMIC/PROGRAM TRADING, STOCHASTIC SYSTEMS
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Professor Ali Hirsa joined IEOR in July 2017. He had been associated with Columbia University as an Adjunct Professor since 2000. He is also Managing Partner at Sauma Capital, LLC a New York Hedge Fund.
Previously Ali was Managing Director and Global Head of Quantitative Strategy at DV Trading, LLC, a Partner and Head of Analytical Trading Strategy at Caspian Capital Management, LLC. Prior to joining Caspian, he worked in a variety of quantitative positions at Morgan Stanley, Banc of America Securities, and Prudential Securities. Ali was also a Fellow at Courant Institute of New York University in the Mathematics of Finance Program from 2004 to 2014.
Ali’s research interests are algorithmic trading, machine learning, deep learning, data mining, optimization, computational and quantitative finance. His focus has been on machine learning applications in finance specifically in asset management and also developing learning algorithms on signal extraction from data.
Ali is author of “Computational Methods in Finance”, Chapman & Hall/CRC 2012 and co-author of “An Introduction to Mathematics of Financial Derivatives”, third edition, Academic Press and is the Co-Editor-in-Chief of Journal of Investment Strategies. He has several publications and is a frequent speaker at academic and practitioner conferences.
Ali is co-inventor of “Methods for Post Trade Allocation” (US Patent 8,799,146). The method focuses on allocation of filled orders (post-trade) on any security to multiple managed accounts which has to be fair and unbiased. Current existing methods lead to biases and the invention provides a solution to this problem.
He is currently member of Board of Visitors of College of Computer, Mathematical, and Natural Sciences at University of Maryland College Park since June 2016 and was on Board of Visitors at A. James Clark School of Engineering from 2008 to 2018 and served as a trustee on University of Maryland College Park Foundation from 2011 to 2016.
Ali received his PhD in Applied Mathematics from University of Maryland at College Park under the supervision of Professors Howard C. Elman and Dilip B. Madan.