His research interests include the empirical validation and implementation of financial asset pricing models; the pricing of options and other derivative securities; financial engineering and risk management; trading technology and market microstructure; statistics, econometrics, and stochastic processes; computer algorithms and numerical methods; financial visualization; nonlinear models of stock and bond returns; and, most recently, evolutionary and neurobiological models of individual risk preferences.

He has published numerous articles in finance and economics journals, and is a co-author of The Econometrics of Financial Markets and A Non-Random Walk Down Wall Street. He is currently an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, the Journal of Computational Finance, and the Review of Economics and Statistics. His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, the 2001 IAFE-SunGard Financial Engineer of the Year award, and awards for teaching excellence from both Wharton and MIT. He is currently a governor of the Boston Stock Exchange, a research associate of the National Bureau of Economic Research, and founder and chief scientific officer of AlphaSimplex Group, LLC, a quantitative investment management company based in Cambridge, Massachusetts.