Stephen Blyth

Stephen Blyth

Professor of the Practice in Statistics
Stephen Blyth

Research Interests:
Quantitative Finance
Asset Allocation
Financial Derivatives Modelling
Investment Management
Limits of Quantitative Methods

Big Data and Machine Learning Won’t Save Us from Another Financial Crisis

An Introduction to Quantitative Finance

The Quant Delusion: The Rise and Fall of Financial Engineering

The Legacy of the Super Collider

Cancer, Chemo and the Road to Self-Compassion

 

Research Interests

  • Quantitative Finance
  • Asset Allocation
  • Financial Derivatives Modelling
  • Judgment and the Limits of Quantitative Methods
  • Procedural versus Logicist Statistics
  • Pitfalls of Big Data and Machine Learning

Education

  • PhD in Statistics, Harvard University, 1992.
  • AM in Statistics, Harvard University, 1989.
  • BA in Mathematics, Cambridge University, 1988. Third Wrangler
  • MA in Mathematics, Cambridge University, 1991.

Experience

  • 2011 - present Professor of the Practice in Statistics, Department of Statistics, Harvard University.
  • 2015 - 2016 President and CEO, Harvard Management Company.
  • 2006 - 2015 Managing Director,  Harvard Management Company.
  • 2009 - 2011 Lecturer, Department of Statistics, Harvard University.
  • 2006 - 2009 Visiting Scholar, Department of Statistics, Harvard University.
  • 2003 - 2006 Managing Director, Deutsche Bank London.
  • 1997 - 2003 Managing Director,  Morgan Stanley New York.
  • 1994 - 1997 Vice President, HSBC London and New York.
  • 1992 - 1994 Lecturer and SERC Research Fellow, Department of Mathematics, Imperial College London.

Sample Publications

  • Blyth, S.J., Szigety, M.C. and Xia, J. (2016), Flexible Indeterminate Factor-Based Asset Allocation, The Journal of Portfolio Management, 42, No.5, 79-93. 
  • Blyth S (2013). Of Wranglers and Bankers: Reflections on Applied Statistics from a Career in Finance. CHANCE, 26, No.2, 4-7.
  • Blyth S (2004). Practical Relative-Value Volatility Trading. RISK, 17, No.5, 91-96.
  • Blyth S (1995). The Dead of the Gulag: An Experiment in Statistical Investigation. Applied Statistics, 44, 307-321.
  • Blyth S (1994). Karl Pearson and the Correlation Curve. International Statistical Review, 62, 393-403.

Curriculum Vitae

Contact Information

SC 708
p: 617-495-5617