CURRICULUM VITAE

Timothy Falcon Crack

timcrack@alum.mit.edu.nospam

 

PERSONAL: 

 

 Name:  Timothy Crack                                    Citizenship:      United Kingdom and New Zealand                          

 timcrack@alum.mit.edu.nospam                                   Immigration Status:      US Permanent Resident

                       

EDUCATION/QUALIFICATIONS:

 

·  IMC (Investment Management Certificate), Run by UK Society of Investment Professionals (UKSIP). Financial Services Authority (FSA) Version. November 2001.

·  IMRO-Registered (Investment Management Regulatory Organization) and FSA-Approved Person at Barclays Global Investors London 2001-current.

·  PhD (Financial Economics), MIT, Sloan School of Management, 1996. 
Doctoral Thesis: Three Essays on Market Microstructure.
Committee: Paul Asquith (chair), Stewart Myers, Kevin Rock, Jushan Bai.

·  MCom [two-year program of course plus thesis] (Finance), Otago University, NZ, 1993.

·  PGDipCom [two-year program of courses plus thesis] (Accounting), Otago University, NZ, 1990.

·  BSc HONS 1st Class [an advanced bachelors degree] (Math/Stats), Otago University, NZ, 1986.

 

RESEARCH INTERESTS:

 

Empirical Capital Markets, Derivatives, Econometrics, Trading Strategies, Fixed Income Theory, Market Microstructure.

 

PUBLICATIONS/FORTHCOMING:

 

Papers:

·  The Information Content of Short Interest: A Natural Experiment (with Alex Butler, Tom Arnold, and Yan Zhang). Forthcoming at Journal of Business (accepted December 2003).

·  Impact: What Influences Finance Research? Journal of Business, Vol. 76 No. 2, (April) 2003, pp343-361 (co-authored with Alex Butler, Tom Arnold, and Ayca Altintig).

·  Common Misunderstandings Concerning Duration and Convexity, Journal of Applied Finance, Vol. 1, (October), 2001, pp82–92 (co-authored with Sanjay K. Nawalkha).*

·  Sensitivity of Bond Risk Measures to Changes in Term Structure Shape Parameters, The Financial Analysts Journal, Vol. 56 No. 1, (Jan/Feb) 2000, pp34–43 (co-authored with Sanjay K. Nawalkha).*

·  A Classic Case of Data Snooping for Classroom Discussion, The Journal of Financial Education, Vol. 25 (Fall) 1999, pp92–97.

·  Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market, Journal of Finance, Vol. 51 No. 2, (June) 1996, pp751–762 (co-authored with Olivier Ledoit).

 

Books, Book Chapters, Book Contributions, and other Contributions:

·        Heard on the Street: Quantitative Questions from Wall Street Job Interviews (MBA guide book with approx 5,000 copies sold in 25 countries). 8^th Edition, September 2002 ISBN: 0970055218 (see www.amazon.com). 9th Edition completed and due out January 2004.

·        Basic Black-Scholes: Option Pricing and Trading, Completed and due out January 2004.

·        The two papers above marked “*” are forthcoming in a book by John Wiley and Sons.  The title of the book is Fixed Income Valuation and Risk Analysis with CD-ROM, edited by Sanjay Nawalkha. I am a co-author on the chapter containing the second of the two papers.

·        I have contributed more than 10% of the questions and answers in the forthcoming book Logic Problems for Money Minds, to be published by Harriman House in the UK.

·        I have contributed Black-Scholes option pricing code for HP17B and HP19B handheld financial calculators that has been reproduced in a British computing journal: Hutchins, Tony, 2003, Black-Scholes takes over the HP12C, Handheld and Portable Computer Club DataFile, Vol. 22 No. 3 (June/July), pp13–21.

 

WORK IN PROGRESS AND CURRENT INTERESTS:

 

Working Papers (complete or nearly so):

·      A Practical Guide to GMM with Applications to Option Pricing (with Tom Arnold). Under submission at Journal of Derivatives. Editor has indicated conditional acceptance.

·      Pricing Options in the Real World: A Generalized Binomial Model with Applications to Real Options (with Tom Arnold). Revise and resubmit at JFQA, 2002.  Substantial work to be done, and new co-author to be added.

·      Using Central Limit Theorems for Dependent Data (with Olivier Ledoit). To be  submitted to a new journal January 2004..

·      A Practical Guide to GMM (with Tom Arnold). A cut-down version of second paper above.

·      The Academic Job Market in Finance: A Rookie's Guide (with Alex Butler). Complete, and not currently under submission.

·      The Impact of Stock Price Discreteness on the Estimation of ARCH Models. Inactive project.

 

Cited Unpublished Papers:

·      Tinkering with Ticks: Choosing Minimum Price Variation for US Equity Markets (scooped by Ahn and Cao and Choe, 1996).

 

Books in Progress:

·        An inactive project on capital budgeting/financial management for undergraduates.

 

EMPLOYMENT:

 

·  Otago University, P.O. Box 56, Dunedin New Zealand. Visiting Scholar. Department of Finance and Quantitative Analysis, November 2002 to current date (writing my second book, and performing academic research). Accepted the chair (i.e., full professorship) in finance and quantitative analysis beginning in 2004.

 

·  Barclays Global Investors Limited, Murray House, 1 Royal Mint Court, London EC3N 4HH, England. January 29, 2001 to October 3, 2003.

·  October 2002 to October 3, 2003. Principal, Equity Research, on Sabbatical.

·  June 2001 to September 2002 inclusive.  Principal, Head of Active Equity Research (UK/Europe). Quantitative Active Equity Strategies for UK and Europe. Head of four-person research team.

·  January 2001 to May 2001 inclusive.  Principal, Equity Researcher. Quantitative Active Equity Strategies for UK and Europe. Member of six-person research team.

 

·  Barclays Global Investors (BGI) is the largest institutional asset manager in the world. Assets under management were roughly USD750bn in early 2002.  My team’s research drove the UK and European long-only and long-short hedge fund products (approx USD20bn under management). The UK and European funds outperformed their index benchmarks by approx 350, and 500 bips per annum respectively during my time there. The UK Long-Short Hedge Fund product outperformed three-month LIBID by approximately 500 bips per annum.

 

·  At BGI I gained experience with: quantitative active equity strategies (finding sources of “alpha,” testing strategies to exploit them, and implementing them in a transactions-cost-effective manner); understanding the trade-off between returns, risk, and transactions costs; optimization; cross-sectional stock selection in a market-neutral and industry-neutral context; performance attribution; managerial skills in a multinational corporation; BARRA risk models UK/Europe; Bloomberg terminals; speaking with clients and consultants; interacting with portfolio managers on a daily basis; recruitment.

 

·  Indiana University, Bloomington, IN, USA, Assistant Professor of Finance, August 26,1996–December 31, 2000. Empirical Finance (Doctoral course, Spring 1998, Spring 1999, Spring 2000, 3 sections); Derivatives Pricing (MBA course, Spring 1999, Spring 2000, 4 sections); Derivative Securities and Corporate Risk Management, (Undergraduate course, Fall 1996–Fall 2000, 12 sections); Nuclear Financial Economics: Advanced Study of Derivatives Pricing, Hedging, Marketing and Risk Management, (Undergraduate course, Fall 1997).

 

·  Indiana’s undergraduate finance program was consistently ranked in the top 10 in the US (and usually in the top five) by US World and News Report. The MBA program was consistently ranked at about #20 in the US. There are approximately 750 MBA-granting schools in the US.

 

·  My teaching was ranked 5th out of 362, 5th out of 381, and 9th out of 326 for 1997, 1998 and 1999, respectively at the Kelley School of Business at Indiana University (undergraduate ratings, based on average of 8 evaluation questions—further details available upon request).

 

·   MIT, Sloan School, Cambridge, MA, USA, Teaching Assistant in Finance, 1992–June 1996. Proseminar in Financial Engineering, Proseminar in Financial Management, Harvard Case Course in Financial Management, Empirical Methods in Finance, Investments, International Financial Management.

 

·   Otago University, Dunedin NZ, Assistant Lecturer in Finance, 1990–August 1991.Investment Analysis and Portfolio Management, Honours Course in Corporate Finance.

 

·   Otago University, Dunedin NZ, Teaching Fellow in Accounting and Finance, 1987–1989. Principles of Corporate Finance, Financial Accounting, Management Accounting and Finance.

 

·   Otago University, Dunedin NZ, Teaching Assistant, 1985–1986.Intermediate Algebra, Calculus, Mathematical Methods, Quantitative Methods, Computational Methods, and Statistics.

 

AWARDS AND HONOURS:

 

·      Presented BGI-sponsored best paper awards at EFA Conference, Barcelona, August, 2001.

·      Southwestern Finance Association, New Orleans, Feb/March 2001 Distinguished Paper Award (Noise Reduction: The Case of Short Selling Against the Box).

·      Doctoral Student Association PhD Teaching Award, Awarded April 2000.

·      Nominated for Sauvain Undergraduate Teaching Award, 1999–2000.

·      Nominated for University-wide Distinguished Teaching award, Fall 1999.

·      Nominated for Sauvain Undergraduate Teaching Award, 1998–1999.

·      Indiana University Teaching Excellence Recognition Award (TERA), 1998–1999.

·      Indiana University Alpha Kappa Psi Professional Business Fraternity Undergraduate Teaching Excellence Award (Class of 1997). Awarded October 1998.

·      Nominated for Sauvain Undergraduate Teaching Award 1997–1998.

·      Indiana University Teaching Excellence Recognition Award (TERA), 1997–1998 (with highest teaching ratings in 25-member Indiana University Finance Department).

·      Indiana University Teaching Excellence Recognition Award (TERA), Fall 1996.

·      Awarded Full MIT Doctoral Fellowship with Stipend, 1992–1995.

·      Trust Bank Otago Travelling Scholarship in Commerce, New Zealand, 1991.

·      Nominated for Commerce Division Outstanding Teaching Award, Otago University, 1991.

·      Offered Fulbright Travel Grant (I refused because of visa implications), 1991.

·      Forsyth Barr Ltd Prize in Business Finance, Otago University, 1989.

·      Beverly Senior Scholarship in Mathematics, Otago University, 1985.

·      Gopi Jain Memorial Prize in Statistics, Otago University, 1985.

·      R.J.T. Bell Prize in Mathematics, Otago University, 1984.

·      BNZ Senior Math. Competition (Canterbury Math. Assoc.), 6th placing in New Zealand, 1982.

·      Australian Mathematics Competition, Senior Division, Certificate of Distinction, 1982.

·      Dux/Valedictorian, King High School (550 students), Dunedin New Zealand, 1982.

 

ACADEMIC PRESENTATIONS:

 

·  Presenter: "A Practical Guide to GMM with Applications to Option Pricing," FMA meetings, October 26, 2000, Seattle, WA.

·  Presenter: Six Lectures on the Mathematics of Advanced Financial Derivatives Pricing, Indiana University Mathematics Department Math/Finance Seminar, Oct 13, 1999–Nov 16, 1999.

·  Discussant: Wayne Ferson and Cam Harvey's "Conditioning Variables and the Cross Section of Stock Returns," AFA Conference, New York, January 03, 1999.

·  Co-Presenter Brown-Bag Lunch Seminar: "An Investigation of Strike Price Bias," (with Tom Arnold), Indiana Univeristy December 11, 1998.

·  Presenter: "Why Use Barrier Options?" Indiana University Mathematics Department Math/Finance Seminar, November 11, 1998.

·  Co-Presenter Brown-Bag Lunch Seminar: "Does Peakedness Matter?" (with Tom Arnold), Indiana University September 04, 1998.

·  Special guest speaker at panel discussion on "Publishing as a Doctoral Student" at Indiana University—October 1997.

·  Discussant: Oliver Hansch's "Cross-listing Effects: Evidence from the Time Series Behavior of Dealer Inventories" at Indiana University's fifth biennial symposium (Implications of Market Microstructure for Investors, Firms, and Markets)—August 1997.

·  Presenter: "The Impact of Stock Price Discreteness on the Estimation of ARCH Models," MIT, Dartmouth, Indiana University, University of Washington (Seattle), The Ohio State University, University of Illinois (Urbana-Champaign)—all from Jan to Mar 1996.

·  Coauthor Tom Arnold presented Generalized Option Pricing Paper (Now called Pricing Real Options in the Real World) at University of Georgia (Feb 2000) and SWFA SanAntonio TX March 17, 2000.

 

CONFERENCE ACTIVITIES:

 

·      Attended SIRIF Behavioral Finance Conference, Edinburgh, Scotland, Sept 3-4, 2001.

·      Attended EFA Conference, Barcelona, Spain, August 22-25, 2001.

·      Attended FMA Conference, Seattle, October 2000.

·      Attended AFA Conference, Boston, January 2000.

·      Attended AFA Conference, New York, January 1999.

·      Constructed multiple sessions and chose chair and discussants for October 1998 FMA meetings.

·      Attended FMA Conference, Chicago, October 1998.

·      Attended Indiana University's fifth biennial symposium (Implications of Market Microstructure for Investors, Firms, and Markets) Bloomington, August 1997.

·      Attended AFA Conference, San Francisco, January 1996

·      Attended AFA Conference, Boston, January 1994

·      Attended NBER seminars in Cambridge MA, 1992–1996

 

COMMITTEES AND OTHER SERVICE:

 

·  Kelley School of Business Undergraduate Policy Committee—Fall 1999, Spring 2000, Fall 2000.

·  Kelley School of Business Undergraduate Policy Committee Career Education Subcommittee Spring 2000.

·  Indiana University Finance Undergraduate Committee—Fall 1996, Spring 1997, Fall 1998, Spring 1999, Fall 1999, Spring 2000, Fall 2000.

·  Indiana University Finance Doctoral Committee—Fall 1997, Spring 1997, Spring 1998, Fall 1998, Spring 1999, Fall 1999, Spring 2000, Fall 2000.

·  Met with Recruiters at IU Spring 1999, Fall 1999.

·  Interviewed prospective Finance Department hires at AFA conference, New York January 1999.

·  Interviewed prospective undergraduate Investment Banking students, December 1998.

·  Interviewed prospective Finance Department hires at FMA conference, Chicago October 1998.

·  Interviewed prospective Finance PhD students—Spring 1998.

·  Volunteered to create and teach "Nuclear Financial Economics: Advanced Study of Derivatives Pricing, Hedging, Marketing and Risk Management" for Individualized Major Students with math/finance degrees—Fall 1997.

·  Member of Finance Dept Subcommittee to evaluate feasibility of a Math-Finance program at Indiana University (Fall 1999).

·  Active participant in Math Department Math-Finance seminar series, Spring 1998, Fall 1999.

·  Participated in the Meeting on Trading Room Technology – Indiana University May 1998.

·  Substantial advising of undergraduate students seeking Investment Banking Jobs.

·  Organized meeting between undergraduate Investment banking students and investment bankers from HLHZ (Sept 22, 1999; Sept 27, 2000). Met with recruiter from Bear Sterns (Oct 17, 1999; Oct 16, 2000). Met recruiters from Lehman Brothers (November, 1999).

 

THESIS ADVISING:

 

·  Masters thesis advisor for MBus student Lifan Zhang at Otago University. Thesis topic: Pacific Rim FX exposure of  US MNCs. September 2003-.

·  Sponsor and thesis advisor for Individualized Major Program (IMP) undergraduate student Devesh Shah in his "Financial Mathematics" degree, Spring 1997. Thesis title: Overview of Specialness in the US Government Bond Repurchase Market.

·  Sponsor and thesis advisor for IMP undergraduate student Reed Schwandt in his "Financial Mathematics" degree, Fall 1997, Spring 1998. Thesis title: Program Trading and Derivative Strategies in the Equity Markets

·  Senior Thesis Adviser for undergraduate finance major Joshua Leavitt. Thesis topic: Initial Public Offerings: A Brief Study of Performance—Fall 1997/Spring 1998

·  Senior Thesis Adviser for undergraduate finance major Matthew Tuchband. Thesis topic: The Effects of the Transition to the EURO on International Organizations and their Foreign Currency Risk Management Strategies—Fall 1997/Spring 1998.

·  Supervising PhD Finance Student Miikka Tauren. Thesis Title: The Pricing of Credit Risk: Theory and Evidence.

·  Supervising PhD Finance Student Craig Wisen. Thesis Title: The Bias Associated with New Mutual Fund Returns, Spring 2002.

·  Supervising PhD Economics Student Jeff Gerlach. Thesis: Derivatives and Emerging Market Debt/Information, Institutions and Asset Returns, October 2001.

·  Constituent Member, Andrew Waisbud’s PhD committee, March 2000.

 

REFEREE WORK:

 

·      The Journal of Finance.

·      The Journal of Business.</