Statistics, Financial Mathematics
Dr. Kempthorne received his A.B. magna cum laude degree in applied mathematics from Harvard University and was elected to the Alpha Chapter of Phi Beta Kappa. He pursued graduate studies in statistics receiving the M.Sc. degree and the Diploma of Imperial College award from the University of London, and a Ph.D. from the University of California Berkeley. While an Assistant Professor of Statistics at Harvard, he was awarded a Postdoctoral Mathematical Sciences Research Fellowship by the National Science Foundation. He then joined the faculty of MIT at the Sloan School of Management as a visiting Assistant Professor and was promoted to Associate Professor of Management Science. From 1990 to 1998, Dr. Kempthorne also served as a Principal Research Scientist at the MIT Sloan School of Management conducting research at the Center for Computational Research in Economics and Management Science (CCREMS) and at the International Financial Services Research Center (IFSRC). He was an active member of the Risk Management Working Group and developed analytics incorporated in the industry-standard RiskMetrics methodology. In 2013 Dr. Kempthorne joined the MIT mathematics department as a lecturer in financial mathematics and statistics. His course “Topics in Mathematics with Applications to Finance” is published and available on the MIT Open Courseware website. In 2014, while teaching in the Global Summer School of Beijing Jiaotong University, he was appointed Distinguished Visiting Professor in the School of Computer and Information Technology.
Dr. Kempthorne has been providing consulting services in financial and statistical analytics to a wide range of institutions through his company Kempthorne Analytics, Inc. since 1992. Past clients include Citibank, Colonial/Liberty Funds, American Express, Banque Nationale de Paris, Canon, Fidelity Management and Research, Mathsoft/Insightful Corporation, Merck, RXR, Sandoz, and Princeton Brand Econometrics. Project activities include: asset selection modeling for equity markets, statistical analytics for risk management, integrated design and implementation of risk management software, financial analytics for derivatives pricing, catastrophic risk analytics - exposure modeling and pricing insurance programs, stock market microstructure modeling of transaction data for market making; and trading system design, development, and implementation.
Since 1995, Dr. Kempthorne has been an investment manager, exploiting advanced statistical analytics to manage a variety of investment programs. From 2010-2012 he was portfolio manager and senior researcher at IKOS, CIF Ltd, a fully systematic, quantitative hedge fund managing $2.1B (USD) in global portfolios of equities, futures, and currencies. As portfolio manager he managed and enhanced real-time construction processes of equities portfolios, including alpha model evaluation and development, executions analysis and portfolio optimization; and he conducted risk modeling and management of futures and currency portfolios. As senior researcher he chaired the Research Steering Committee, managed and mentored researchers, and coordinated the IKOS/Oxford Univ. PhD intern program. Dr. Kempthorne co-founded Chronos Asset Management in 1995 and Summa Capital Management in 1996. As a principal of both investment management companies, he applied his proprietary analytic methods to develop statistical trading models and trading systems and supervised trading operations.
Kempthorne Analytics is currently registered as an investment adviser in Massachusetts and manages systematic quantitative investment programs for retail clients. Dr. Kempthorne holds the Series 3 and Series 65 licenses and is registered with the National Futures Association as a Commodity Trading Adviser.
Dr. Kempthorne was active on the boards of John Bertram House Inc. (1998-2010) and the Lynn Home for Young Women, Inc. (2005-2010). He served as Treasurer for both non-profit corporations and chaired the finance committees that oversaw the management of trust assets