Early years
I was born in Texas but grew up in the New Mexico desert. As a boy I was strongly influenced by an amazing young physicist and Boy Scout leader named Tom Ingerson who ignited my interest in science and adventure. With Ingerson's guidance and similar souls who became life long friends and colleagues, our Scout group searched for an abandoned Spanish goldmine to fund a mission to Mars, a road trip to the Northwest Territories and backcountry camping in the Barranca del Cobre.
Initial training and intellectual exploring
From New Mexico I followed my friend and mentor Tom to Moscow Idaho where he taught in the University Physics Department. After a year I decided to open a fresh chapter in my life and moved to Palo Alto where I was admitted to the Physics program at Stanford University. It was an exhilarating time to be in school in the Bay Area, full of new ideas, challenges to the norm, and excitement among the next generation. I completed my BS in Physics at Stanford in 1973 and moved down the California coast to the University of California at Santa Cruz, where I initially studied physical cosmology under George Blumenthal. Soon my research interests changed and I found myself captivated by a fascination with gambling, the problem of prediction, and echoes of youthful philosophic discussions about the necessity of financial freedom in pure scientific research with Tom Ingerson. With the equal interest and eager support of Norman Packard, my life long friend from Silver City NM, together we established Eudaemonic Enterprises, a scientific commune fuelled and funded by our goal to beat the roulette wheel. In this pursuit we stumbled across several new branches of science (Chaos Theory, Complexity, Metadynamics) and designed and built the first wearable digital computers which we used to beat the game of roulette.
Through our exploration, successes and failure, our group flexed and ebbed, and eventually became more concrete as the University of California Santa Cruz Dynamical Systems Collective, a group of physics graduate students who did early research in what later came to be called "chaos theory".
The work of science
After completing my PhD I returned to new Mexico to work at Los Alamos National Laboratory where I was an Oppenheimer Fellow, and founded the Complex Systems Group in the theoretical division. I spent a decade at LANL before my friend Norman and I decided to apply all the knowledge we had built up in the study of prediction and metadynamics to world of financial markets and stock trading.
Prediction Company
In 1991 I gave up my position at Los Alamos and co-founded the Prediction Company with Norman and a graduate school classmate, James McGill. The prevailing view at the time was that markets were perfectly efficient, so that it was not possible to make consistent profits without inside information. Norman and I were motivated by their desire to prove this wrong. The trading strategy that was developed was an early version of statistical arbitrage, and made use of a variety of signals that derived from processing essentially all quantitative inputs related to the US stock market. It also included a high-frequency forecasting model as an overlay that reduced transaction costs. From 1996 onward, trading was completely automated. I was one of the chief architects of the trading system as it existed in 1999. Prediction Company was sold to UBS in 2006 and in 2013 was re-sold to Millenium Management, where it is their second largest fund.
Read more about the Prediction Company in The New Yorker (subscription required) or in Thomas Bass’s book, The Predictors (Penguin Science Press, 1998).
My experience with Prediction Company led me to think about the similarities between financial market strategies and biological systems. At the Santa Fe Institute I was to use SFI's interdisciplinary nature to pursue this vein through the interface of economics and complex systems, and eventually developed a theory of market ecology and helped to found the field of econophysics where my wider interests still lie.
Current work
I am currently at the University of Oxford where I wear two hats - depending on the day. I am Baillie Gifford Professor of Complex Systems Science at the Smith School of Enterprise and the Environment, University of Oxford, and Director of Complexity Economics at the Oxford Institute of New Economic Thinking. INET was founded in the wake of the 2008 financial crisis on the belief that new economic ideas are needed to help create a financial system that is less prone to crises, more resilient to shocks, and that better supports societal objectives of inclusive economic growth. INET occupies an exciting interdisciplinary space and is interested in pursuing non-traditional collaborations that may not receive attention by more formal establishments.
Other interests
I am a member of BMLL Technologies Ltd, a Cambridge University spin-off working in the field of limit order book data and analytics.
Adventuring
I love to explore. I think it's an important part of testing boundaries - to challenge yourself physically as well as intellectually. It teaches you things that you cannot learn in a lab or a book. Everyone should have adventures. Everyone should have experiences outside their comfort zone. It is the only way progress will be made.
You can watch what happened on one of my adventures in the Gila Wilderness.
What's next...
Excellent question...