Chris Michalak

For some reason you've made your way to Chris Michalak's personal website. You may also know me as Christopher Michalak or perhaps Krzysztof Michalak. I offer you a glimpse at my professional, pseudo-professional, and personal lives.

June 2011, website revised for your reading pleasure!

Quantitative and algorithmic finance

Adventures in market making

I've dabbled in this field since 2006 when in one of many moments of procrastination I couldn't help but notice that:
  1. Market makers appear to earn money (in retrospect, it is also evident to me that they should earn money)
  2. The human resource cost of market making can be minimized by the use of software to automate the process.
This is fairly obvious now, but at the time it appeared to me to be at odds with the efficient market hypothesis. Nonetheless the data I looked at was convincing enough for me to overcome my natural pessimism and so on a part-time basis in 2006, I began my ventures in automated market making.

In 2009 after completing my PhD, I founded Quantalgo Ventures to continue this work on a full-time basis.

As of approximately 2009, several automated market making firms (aka high frequency trading (HFT) firms) have come out of the shadows. It's exciting to see that some (many?) of the large players in this field were started by Wall Street outsiders. Contrary to what is sometimes implied by the media, the advent of fully-computerized trading and the emergence of HFT helps to level the playing field rather than rewarding financial oligarchies.

Adventures in incetivized risk

In 2008, I won the top prize in an algorithmic trading competition held by Interactive Brokers. I feel a bit dirty posting what may appear to be shameless self promotion here. But my reason for posting this, for the first time today (2011), is to draw attention to the fallacies of:
  1. Assuming winners are talented rather than lucky.
  2. Rewarding risk taking when intending to reward positive expectation.
Just like a hedge fund manager who gets to keep 20% of potential profits while being personally responsible for 0% of losses, the contest's design rewarded risk taking (variance) as much as it rewarded positive expectation (alpha) of portfolio returns. The contest was free to enter (okay, let's say a $20 opportunity cost for a half day's worth of a graduate student's time!) and the prize money was, by student standards, rather generous. There were 372 participants. Even if the results were completely random, the expected prize for a participant would greatly exceed their $20 opportunity cost. As it turns out however, most participants got distracted by the difficult task of generating alpha for the simulated portfolio instead of optimizing the risk of the simulated portfolio. By focusing on the latter and completely ignored the former I was able to improve the odds of winning the top prize to approximately one in three. This was well worth the $20 opportunity cost.

For your further amusement I am now (2011), making public the strategy which I used to win the contest (as submitted to the contest organizers).

How this relates to point 1 above (assuming winners are talented rather than lucky) is that after the contest I received a few recruiting-style inquiries from well known Wall Street firms. I can't help to think that they must have mistakenly believed I "beat the market" when in fact I had just "won the game". This is prevalent in society: more skepticism is needed!

The contest allowed me to exploit point 2 above (rewarding risk taking) more effectively than I could as a hedge fund manager as I was free from the ethical issues of gambling with other people's money. However it appears that not everyone has such qualms.

Computational Fluid Dynamics

In 2009 I completed a PhD in the Department of Mechanical Engineering at the University of British Columbia (UBC). I worked on higher-order finite-volume methods for aerodynamics simulations. If I was a delusional optimist I would tell you that this research helps make civilian aircraft more fuel efficient and therefore single-handedly saves the world from global warming. The pessimistic view is that it will be used to develop technologies to bomb the children. I suppose in the end it's just a multipurpose tool which others are free to use for Good or Evil and I should feel neither proud nor guilty (?).

My research group was called the Advanced Numerical Simulation Laboratory (ANSLab). My thesis was titled Efficient high-order accurate unstructured finite-volume algorithms for viscous and inviscid compressible flows. In addition to the usual handful of journal and conference papers, I somehow managed to get my name in as a second author of a book chapter.

Personal

Adventures in adventures

In the summer of 2009 I cycled through Mongolia with my partner Krystil. In the summer of 2010 we were noticeably softer, so we cycled in the Alps.

Other than that, I like to poke around in the local mountains here in BC. I was involved with the Varsity Outdoor Club (VOC) for many years. I have some older pictures on my page of the VOC Photo Gallery.

Adventures in...

Still haven't found what you are looking for? Perhaps you'd like some cake recipes for your polish Christmas celebrations.

Contact

To contact me send to notspamat thingy michalak.ca

That is all