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About Burns Statistics
Burns Statistics is the consulting and software vehicle for Patrick Burns.
You can read his blog at:
http://www.portfolioprobe.com/blog
Specialties are programming in the R language,
quantitative finance,
risk management, and solving difficult optimization problems in any field
via genetic algorithms and simulated annealing.
Upcoming events involving Burns Statistics
History of news from Burns Statistics
Some Presentations
2011 December.
"Portfolio Optimisation Inside Out"
2011 August.
"Random Input Testing using R"
2010 November.
"Effective Backtesting"
presented at
The Thalesians.
2010 June.
"Optimising and Constraining Portfolio Distances" or
"Goldilocks and the 3 Little Pigs" (pdf)
presented at
The London Quant Group.
2010 May.
"Portfolio Probe: Changing Fund Management" (pdf)
presented at
The LondonR Group.
2009 June.
A Brief Overview of R
The portion of the presentation immediately below that pertains to R.
2009 June.
Using Random Portfolios with R
presented at the Thalesians, London.
A video of the lecture is available
the Thalesians website.
2009 April.
Random Portfolios: Practice and Theory (pdf)
given at
R/Finance 2009 Chicago.
2009 March.
"3.5 Reasons to Switch from Excel to R" (pdf)
presented at
The LondonR Group.
2006 September.
Portfolio Analysis with Random Portfolios (pdf)
UKSIP, London.
Publications
See also Working Papers.
Patrick Burns on Google Scholar.
Burns, P. (2007).
Bullseye.
Professional Investor March issue.
A very similar version is available as
Dart to the Heart
Burns, P. (2007).
Random Portfolios for Performance Measurement.
Appears in
Optimisation, Econometric and Financial Analysis
E. Kontoghiorghes and C. Gatu, eds.
Springer.
This is based on the working paper
Performance Measurement via Random Portfolios
but has some additional material.
Burns, P. (2000).
Constructing Multinational Macroeconomic Factor Models: Experience from Europe.
Journal of Asset Management.
1 #2 p121-131.
Burns, P. (1998).
S Poetry.
Burns, P., R. Engle and J. Mezrich. (1998).
Correlations and Volatilities of Asynchronous Data.
The Journal of Derivatives.
5 number 4.
(abstract)
This is derived from
Discussion Paper 97-30 at the University of California,
San Diego Department of Economics
Fraley, C. and P. Burns. (1995).
Large-scale estimation of variance and covariance components.
SIAM Journal on Scientific and Statistical Computing.
16 , number 1.
Burns, P. (1991).
A graphical display for choosing a transformation.
Proceedings of the 23rd Symposium of the Interface:
Computing Science and Statistics. p42-45.
Burns, P. (1990).
The L1 solution set in two-way tables.
Utilitas Mathematica 37 p233-250.
Experience
Consulting
Patrick has over a decade of experience as a consultant in the financial
and medical industries.
Assignments have included analysis of equity data with R,
building GARCH modules in S,
tutoring S and statistics, automated trading,
risk management, and evaluating the efficacy of medical devices.
Finance
In addition to his consulting experience, Patrick was an employee
of Schroder Salomon Smith Barney (Citigroup) in London for four years.
While there, he developed statistical models for equities -- both client-facing and proprietary. He also wrote in-house software for numerous applications including portfolio optimization and risk management.
Software Development
Patrick was a lead developer of S-PLUS in its early years.
His tasks included adding functionality (such as principal components and
robust estimation in several settings), finding and fixing bugs,
and documentation.
Education
In 1988 Patrick received a PhD in statistics from the University of Washington in Seattle. His thesis topic was the robust analysis of designed experiments -- that is, developing techniques that perform well even when outliers exist in the data.
Go to Burns Statistics Home.
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