Ronald J. Schoenberg, Ph.D.

Partner, Research Manager Trading Desk Strategies, LLC

Dr. Schoenberg has 35 years experience with methods and software development for optimization and statistical model fitting. This includes a nonlinear programming method applied to solving maximum likelihood problems called Constrained Maximum Likelihood written in the GAUSS programming language that is in current use worldwide. His background is primarily econometrics but with an emphasis on mathematical finance in recent years.

More recently, in partnership with Al Corwin, he has designed automated trading strategies for hedge funds. As part of the research into automated trading systems, he and Al have developed innovative testing methods using Design of Experiments. These new procedures have the potential for revolutionizing the testing of automated trading systems.

Recent Articles and Publications

“Follow-up Study of an Application of Design of Experiments to a Technical Trading System,” 2009, submitted for presentation at the International Traders Expo, February, New York, NY.

“Application of Design of Experiments to a Technical Trading System,” 2009, accepted for publication in Futures Magazine.

“Case History: Using Design of Experiments Technology to Improve the HR Trading System,” 2009

“Testing and Optimizing Trading Systems,” 2009

Constrained Maximum Likelihood for GAUSS, Aptech Systems, Inc., 2004

Financial Analysis Package for GAUSS, Aptech Systems, 2002

Discrete Choice for GAUSS, Aptech Systems, 2002

Linear Programming for GAUSS, Aptech Systems, 2001

“Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods”, with R. Mittelhammer and G. Judge, in Essays in Honor of Thomas Rothenberg, D.K. Andrews and J.H. Stock, Eds. Cambridge University Press, p. 282-305, 2005.

“Constrained Maximum Likelihood”, Computational Economics, 10:251-266, 1997.

“Pseudo maximum likelihood estimation and a test for misspecification in mean and covariance structure models”, Psychometrika, 54, 1989.
 

There are many more articles going back to 1972.