I'm a physicist specializing in statistical mechanics. Since 2007 I have spent an increasing amount of my time working on applications of stochastic processes to risk management and, very broadly, investment decisions under uncertainty. Here, I am most interested in fundamental concepts whose consequences have not been fully explored. In particular, the significance of time-irreversibility, non-ergodicity, and non-stationarity often seems to be underestimated, and their effects are added as corrections rather than viewed as fundamental.
More generally, my work has been concerned with highly susceptible, globally correlated systems. The simplest examples are mathematical models with continuous phase transitions. I have worked on theories developed in the context of these models and have applied them to real-world systems, such as earth's atmosphere. The findings of our theoretically motivated empirical studies are now being used to improve climate models.
Links to SFI working papers and other publications can be found on my website.