Bio
My full name is Charles Sumner Crow IV. I was raised in Princeton, New Jersey, then studied and lived in Baltimore, Maryland for four years. I moved to New York City for graduate studies in 2003, where I continue to live and work.
Contact

chuck [DOT] crow [AT] spamgmail [DOT] com

Please remove “spam” before sending.

Interests
Markets/Investing
I am a Quant primarily interested in modeling and forecasting the dynamics/structure of capital markets. Using Attilio Meucci’s definition, as outlined in ‘P’ versus ‘Q’: Differences and Commonalities between the Two Areas of Quantitative Finance, I sit firmly in the “P”-camp (real-world risk measure, “whose task is to model the future”) – focusing on quantitative risk and portfolio management. I’m interested in investment strategies spanning all asset classes, investment horizons, and rebalance frequencies.
Mathematics

While majoring in computer science, I minored in theoretical math as an undergraduate at The Johns Hopkins University, then studied operations research as a graduate student at Columbia University.

The bulk of operations research can be partitioned into two fields of study: optimization and stochastic processes. Loosely speaking, the former seeks to select the “best” solution for a given problem subject to various constraints. The application of optimization theory is pervasive in society – for a layman’s introduction, I recommend Steve Sashihara’s “The Optimization Edge“. Stochastic Processes, meanwhile, are used to model the dynamics of real-world uncertainty.

For the bulk of my current work, I primarily use econometrics, statistics and machine learning techniques.

Software

Mathematics provides a framework for disciplined research, but software is required to obtain empirical results. I view programming languages as tools and select the most appropriate language for a given task.

Most often, I use R (xemacs with ESS) for scientific computing and Perl for text manipulation. It’s often convenient to use R with q/kdb+ when working with large datasets. In the past, I have implemented various sized projects in: C/C++, Java, Python, APL, PHP, Excel/VBA, Objective-C, and SAS.

While most of my code is not open source, I have created a few projects for the open source community, namely: Rooter and DistSolve: An Open Source Web Service for Solving Sparse Systems of Equations with Alex Pletzer.

Volunteering
I am a former Treasurer and Trustee of The Oliver Scholars Program, a New York City-based 501(c)(3) nonprofit. I was the Chair of the board’s Finance and Compensation Committees, as well as a mentor through the end of 2015. The program’s mission statement is:

The Oliver Scholars Program identifies and engages extraordinary New York City students of African and Latino descent and prepares them for success at leading independent high schools and prestigious colleges.

Please reach out to me if you’d like to contribute to this wonderful program.

Art/Music

Outside of the above activities, I enjoy abstract contemporary art through various mediums, in particular: audio, visual, and architecture.

I enjoy creating field recordings and experimental electronic music through digital signal processing. My application of choice is Cycling 74’s MAX/MSP for its flexibility and power. MAX/MSP is based off of Miller Puckette’s open source software Pure Data (PD).

My favorite artists include (but are not limited to): Christian Fennesz, Mountains, Ryoji Ikeda, Tim Hecker, Alva Noto, Mark McGuire, William Basinski, Jefre Cantu-Ledesma, Stephan Mathieu, John Fahey, Barnett Newman, and Robert Ryman.

I maintain a personal catalog of my music collection using Rooter.

Aviation
I obtained a private pilot’s license from the FAA (single-engine land, VFR) during the Summer of 2000. Although recreational flying is difficult living in Manhattan, I would like to acquire an additional seaplane rating at some point.
Published Research
Academic Publications
C. Crow, D. Goldberg, W. Whitt, Two-Moment Approximations for Maxima, Operations Research Journal (INFORMS), (vol. 55, No. 3, May-June 2007, pp. 532-548.).C. Crow, DistSolve: An Open Source Web Service for Solving Sparse Systems of Equations, Johns Hopkins Undergraduate Research Journal, (Spring 2003).

Select Professional Publications
C. Crow, J. Kelly, Shrinking Alpha, Momentum, and the Illusion of Diversification, Weiss Multi-Strategy Advisers LLC, (Mar 2016).
C. Crow, J. Kelly, The Dangers of Netting Risk in a Low Return Environment, Weiss Multi-Strategy Advisers LLC, (Jan 2016).
C. Crow, J. Kelly, What If There Is No More Weather?: Harvesting Returns Amid Economic Climate Change, Weiss Multi-Strategy Advisers LLC, (Dec 2015).
C. Crow, J. Kelly, Can Beta Save the Day?, Weiss Multi-Strategy Advisers LLC, (Dec 2015).
C. Crow, J. Kelly, Alpha Unmasked – Disentangling Portfolio Returns, Weiss Multi-Strategy Advisers LLC, (Nov 2015).
C. Crow, J. Kelly, Weathering the Risk Parity Storm, Weiss Multi-Strategy Advisers LLC, (Sep 2015).
C. Crow, E. Olanow, Alternatives at the Zero Bound, Weiss Multi-Strategy Advisers LLC, (Mar 2015).
C. Crow, E. Olanow, Investing at the Zero Bound, Weiss Multi-Strategy Advisers LLC, (Jan 2015).

C. Crow, S. Emrich, ’Real’ Trading Volume, Quantitative and Derivative Strategies, Morgan Stanley (Apr 2012).
C. Crow, S. Emrich, What Has De-correlation Ever Done For Us?, Quantitative and Derivative Strategies, Morgan Stanley (Feb 2012).
C. Crow, S. Emrich, The Amazing Disappearing Correlation, Quantitative and Derivative Strategies, Morgan Stanley (Feb 2012).
C. Crow, The Four Seasons, Quantitative and Derivative Strategies, Morgan Stanley (Jan 2012).
C. Crow, S. Emrich, The Ties that Bind: Market Liquidity, Correlation, and Index Trading, Quantitative and Derivative Strategies, Morgan Stanley (Dec 2011).
C. Crow, ‘Beta’ Herding vs ‘Alpha’ Targeting – Implications for Portfolio Positioning, Quantitative and Derivative Strategies, Morgan Stanley (Sept 2011).
C. Crow, S. Emrich, A. Khandani, Recent Market Volatility – Effects on Microstructure and on Stat Arb Returns, Quantitative and Derivative Strategies, Morgan Stanley (Aug 2011).
C. Crow, S. Emrich, Quant Times – Where’s My Alpha – De-Correlation != Dispersion, Quantitative and Derivative Strategies, Morgan Stanley (May 2011).
C. Crow, Quant Times – Game On: Style Rotation vs. Quant Repositioning, Quantitative and Derivative Strategies, Morgan Stanley (Jan 2011).
C. Crow, N. Aleksandrov, Weighing Weighting Schemes: Risk-Conditioned Portfolio Design, Quantitative and Derivative Strategies, Morgan Stanley (Sep 2010).
C. Crow, S. Emrich, Market Volume and Price Action on May 6, 2010, Quantitative and Derivative Strategies, Morgan Stanley (May 2010).
C. Crow, B. Loh, Quant Times – Style Investing in Range-Bound Markets, Quantitative and Derivative Strategies, Morgan Stanley (Feb 2010).
C. Crow, S. Emrich, Quant Times – The Seven Faces of Value, Quantitative and Derivative Strategies, Morgan Stanley (Sep 2009).
C. Crow, S. Emrich, Liquidity, ‘Endogenous Risk’ and Quant Returns, Quantitative and Derivative Strategies, Morgan Stanley (Apr 2009).
C. Crow, S. Emrich, Quant Times – Value Rebound or Momentum Unwind?, Quantitative and Derivative Strategies, Morgan Stanley (Aug 2008).
C. Crow, S. Emrich, Quant Action?, Quantitative and Derivative Strategies, Morgan Stanley (Jul 2008).
C. Crow, B. Loh, Macro Matters: Conditioned Stock Selection Strategies, Quantitative and Derivative Strategies, Morgan Stanley (May 2008).
C. Crow, S. Emrich, Quants – Victims of Circumstance?, Quantitative and Derivative Strategies, Morgan Stanley (Feb 2008).
C. Crow, S. Emrich, Quant 2.0, Quantitative and Derivative Strategies, Morgan Stanley (Dec 2007).