| Curriculum Vitae |
CURRICULUM VITAE
Timothy Falcon Crack
timcrack@alum.mit.edu.nospam
PERSONAL:
Name:
Timothy Crack
Citizenship: United Kingdom and
timcrack@alum.mit.edu.nospam Immigration Status: US Permanent Resident
EDUCATION/QUALIFICATIONS:
·
IMC (Investment Management Certificate), Run by
·
IMRO-Registered (Investment Management Regulatory Organization) and FSA-Approved Person at Barclays Global
Investors London 2001-current.
·
PhD
(Financial Economics), MIT,
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),
·
PGDipCom
[two-year program of courses plus thesis] (Accounting),
·
BSc
HONS 1st Class [an advanced bachelors degree] (Math/Stats),
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,
·
Impact: What Influences Finance Research?
Journal of Business, Vol. 76 No. 2, (April) 2003, pp343-361 (co-authored
with Alex Butler,
·
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). 8th 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
·
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
· Pricing
Options in the Real World: A Generalized Binomial Model with Applications to
Real Options (with
· 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:
·
·
Barclays
Global Investors Limited,
· October 2002 to
·
June 2001 to
September 2002 inclusive. Principal, Head
of Active Equity Research (UK/Europe). Quantitative Active Equity
Strategies for
· January 2001 to May 2001 inclusive. Principal, Equity Researcher.
Quantitative Active Equity Strategies for
·
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
·
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.
·
·
·
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,
·
·
·
AWARDS AND HONOURS:
·
Presented BGI-sponsored best paper awards at EFA
Conference,
·
Southwestern
Finance Association,
· 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.
·
·
· 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).
·
· Awarded
Full MIT Doctoral Fellowship with Stipend, 1992–1995.
· Trust
Bank Otago Travelling Scholarship in
· Nominated
for Commerce Division Outstanding Teaching Award,
· Offered
Fulbright Travel Grant (I refused because of visa implications), 1991.
· Forsyth
Barr Ltd Prize in Business Finance,
· Beverly
Senior Scholarship in Mathematics,
· Gopi Jain Memorial Prize
in Statistics,
· R.J.T.
Bell Prize in Mathematics,
· BNZ
Senior Math. Competition (Canterbury Math. Assoc.), 6th placing in
· Australian
Mathematics Competition, Senior Division, Certificate of Distinction, 1982.
· Dux/Valedictorian,
ACADEMIC PRESENTATIONS:
·
Presenter: "A Practical Guide to GMM
with Applications to Option Pricing," FMA meetings,
·
Presenter: Six Lectures on the
Mathematics of Advanced Financial Derivatives Pricing, Indiana University
Mathematics Department Math/Finance Seminar,
·
Discussant: Wayne Ferson
and
·
Co-Presenter Brown-Bag Lunch Seminar:
"An Investigation of Strike Price Bias," (with Tom Arnold),
·
Presenter: "Why Use Barrier
Options?" Indiana University Mathematics Department Math/Finance Seminar,
·
Co-Presenter Brown-Bag Lunch Seminar:
"Does Peakedness Matter?" (with Tom Arnold),
·
Special guest speaker at panel discussion
on "Publishing as a Doctoral Student" at
·
Discussant: Oliver Hansch's
"Cross-listing Effects: Evidence from the Time Series Behavior of Dealer
Inventories" at
·
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,
· Attended
EFA Conference,
· Attended
FMA Conference,
· Attended
AFA Conference,
· Attended
AFA Conference,
· Constructed
multiple sessions and chose chair and discussants for October 1998 FMA
meetings.
· Attended
FMA Conference,
· Attended
· Attended
AFA Conference,
· Attended
AFA Conference,
· Attended
NBER seminars in Cambridge MA, 1992–1996
COMMITTEES AND OTHER SERVICE:
·
·
·
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,
·
Interviewed prospective undergraduate
Investment Banking students, December 1998.
·
Interviewed prospective Finance
Department hires at FMA conference,
·
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
·
Active participant in Math Department
Math-Finance seminar series, Spring 1998, Fall 1999.
·
Participated in the Meeting on Trading
Room Technology –
·
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
·
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.