Tom Kelly

Contact Information

email:  tom.kelly _at_ cantab . net
www:  /tom/
 



[photo of Tom]


General Interests
I like developing mathematical models of complex systems for the purpose of understanding and engineering. I enjoy thinking about and working on: practical techniques for pricing financial derivatives, market microstructure models for proprietary and agency trading, the design of statistical arbitrage strategies, intuitive programming systems for the rapid development of robust mathematical models, domain specific languages for the analysis of datasets, computer operating system design, network protocol engineering and techniques for building dependable distributed systems.

The Internet is an example of a complex system which can be modelled mathematically in order to engineer robust protocols that perform in a wide range of operating environments. My PhD dissertation on Engineering flow controls for the Internet explored how to engineer end-system based flow control schemes with single-bit congestion feedback. It includes: the engineering of stable TCP flow controls from mathematical principles, adaptive detection schemes that can achieve high throughput with a single bit of feedback, a distributed connection acceptance control suitable for VoIP usage, and the experimental results from a transatlantic network testbed on performance modifications to TCP which improve wide area network throughput. Talks and publications on this work are available here.

Biography
I received my first class Mathematics degree from the University of Oxford in July 1999. I then spent a year making use of my computing and mathematical skills working for various companies in a variety of roles; this included an internship with AT&T Research Labs (formerly Bell Labs), a lead development role on software used by leading investment banks, and work on TCP congestion control. I started with the Laboratory for Communication Engineering in the Cambridge University Engineering Department (now the Digital Technology Group) studying for a Ph.D. in October 2000. I was a research intern at ACIRI (now ICIR) in the Autumn of 2001. In Spring 2002 I was an IPAM research fellow resident for their workshop on Large Scale Communication Networks. During Winter 2002/03 I was a visiting research associate at CERN working on highspeed TCP design and implementation as part of the EU funded DataTAG project. Following the completion of my PhD in Winter 2003/04, I worked for Level 5 Networks (now Solarflare Communications) as lead developer of a low-overhead and high performance user-level TCP stack. From July 2004 through January 2007, I was a quantitative modeller in the Global Modelling and Analytics Group for Credit Suisse in London where I engineered financial models for the pricing and risk management of exotic interest rate derivatives. From January 2007 through October 2008, I was working at a small hedge fund in the San Francisco Bay Area developing, testing and operating statistical arbitrage strategies for a variety of global markets. Since January 2009, I have been working for AHL researching and implementing high-frequency trading strategies.

Links
Publications.
Code.
Work on Scalable TCP, a congestion control algorithm that improves performance in highspeed networks.


Last Updated: 27th April 2009
email:  tom.kelly _at_ cantab . net
home:  /tom/