Alexei Chekhlov

Adjunct Assistant Professor, Mathematics Department, Columbia University.

e-mail: ac3085@columbia.edu

 

Courses Taught:

 

GR5360: Mathematical Methods in Financial Price Analysis.

This is a course which can be also called "Applied Econophysics", it has a large emphasis on working with high-frequency financial data. Each of the HomeWorks and the Final Project have a heavy weight in the Final Grade and require a student to make his own inferences about a financial time series.

 

GR5280: Capital Markets and Investments.

This is a course based on the well-known book "Investments" by Bodie, Kane, Markus. We focus on financial markets and classical finance results related to efficient markets.

 

Education:

 

MS in Mathematics & Physics, Moscow Institute of Physics & Technology, 1990;

MA in Applied & Computational Mathematics, Princeton University, 1993;

PhD in Applied & Computational Mathematics, Princeton University, 1995.

 

Google Scholar Citations: 803, h-index 11. 

 

Professional Experience:

 

Systematic Alpha Management, LLC

Head of Research and Partner

 

A New York-based CTA firm managing several short-term systematic managed futures investment programs. The fund managed by Systematic Alpha was noted for its top absolute and risk-adjusted performance. In both 2009 and 2012 it has won HFMWeek US Performance awards in the Managed Futures (CTA) category. It has also received the CTA Intelligence US Performance awards in 2014 and 2016 as best short-term trader.

 

Princeton University

Research Associate

 

Research in theory of fluid turbulence. Discovery of the simplest nonlinear random model to produce the exact Kolmogorov energy spectrum solution. Explanation of intermittency effects and their relationship to algebraically-fat-tailed distribution functions. Discovery of the anisotropic universal energy spectrum.

 

Selected Publications:

 

  1. Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Drawdown Measure in Portfolio Optimization, International Journal of Theoretical and Applied Finance, Vol. 8, No. 1, 2005;
  2. Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Portfolio Optimization with Drawdown Constraints, University of Florida Research Report #2000-5, April 2000;
  3. Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Portfolio Optimization with Drawdown Constraints, in book: Supply Chain and Finance, by Panos M. Pardalos, Athanasios Migdalas, George Baourakis, World Scientific, 2004
  4. Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Portfolio Optimization with Drawdown Constraints, in book: Asset and Liability Management Tools, A Handbook for Best Practice, Edited by Bernd Scherer, Risk Books, 2003.
  5. Alexei Chekhlov, Over- and Under-Reaction in Liquid Markets, The Hedgefund Journal, January 2010;
  6. Alexei Chekhlov, Victor Yakhot, Algebraic Tails of Probability Density Functions in the Random-Force-Driven Burgers Turbulence, Physical Review Letters, Vol. 77, No. 15, 1996.
  7. Alexei Chekhlov, Victor Yakhot, Kolmogorov Turbulence in a Random-Force-Driven Burgers Equation, Physical Review E, Vol. 51, No. 4, 1995;
  8. Alexei Chekhlov, Victor Yakhot, Kolmogorov Turbulence in a Randon-force-driven Burgers Equation: Anomalous Scaling and Probability Density Functions, Physical Review E, Vol. 52, No. 5, 1995;
  9. Alexei Chekhlov, Steven A. Orszag, Semion Sukoriansky, Boris Galperin, Ilya Staroselsky, The Effect of Small-Scale Forcing on Large-Scale Structures n Two-Dimensional Flows, Physica D, Vol. 98, December 1996.
  10. Semion Sukoriansky, Boris Galperin, Alexei Chekhlov, Large Scale Drag Representation in Simulations of Two-Dimensional Turbulence, Physics of Fluids, Vol. 11, 1999.
  11. Alexei Chekhlov, Steven A. Orszag, Semion Sukoriansky, Boris Galperin, Ilya Staroselsky, Direct Numerical Simulation Tests of Eddy Viscosity in Two Dimensions, Physics of Fluids, Vol. 6, 1994.
  12. Nail Inogamov, Alexei Chekhlov, Multiplicity and Uniqueness in the Theory of the Rayleight-Taylor Instability: Possible Steady-State Solutions and Solution Choices, Dklady Akad Nauk USSR, Vol. 328, 1993;
  13. Nail Inogamov, Alexei Chekhlov, Role of Short-Wave Perturbations in a Periodic Structure Associated with the Rayleigh-Taylor Instability, Vol. 17, 1991.