As a Senior Research Scientist at AlphaSimplex, Mr. Lee conducts applied research and product engineering. He also serves as a co-portfolio manager of certain funds advised by AlphaSimplex.
Mr. Lee joined AlphaSimplex in 2007. He specializes in hedge fund factor replication and modeling probabilistic dynamic systems using perspectives from probability, information theory, economics, and engineering. Much of Mr. Lee’s recent work involves designing representations of latent information that drive trading decisions.
Mr. Lee earned an A.B. in Applied Mathematics (Decision and Control focus) with a minor in Economics from Harvard University. He also earned an S.M. in Operations Research from MIT. His master’s thesis presented a novel technique for constructing sparse high-dimensional Gaussian models.