meta user
network profile
| bio | website | lordabbett.com |
|---|---|---|
| location | New York | |
| age | 31 | |
| visits | member for | 1 year, 10 months |
| seen | Feb 25 at 15:03 | |
| stats | profile views | 1,473 |
Experience
I work as a quantitative researcher on the buy side, finding new sources of alpha and designing relative value models and trading strategies around them. I've dealt with practically all the major asset classes.
Presently at Lord Abbett, one of the oldest asset management firms to still actively innovate and push the envelope.
Previously at Parkcentral Capital Management, the hedge fund division of Perot Investments.
Education
PhD in Economics from Princeton University.
SB in Economics from MIT.
I live in New York City with my wife and daughter.
To stalk me further, you can check out my LinkedIn profile and twitter: @TalQuant.
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May 15 |
awarded | Nice Answer |
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Apr 28 |
awarded | Popular Question |
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Apr 7 |
awarded | Notable Question |
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Apr 5 |
awarded | Popular Question |
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Mar 25 |
awarded | Nice Answer |
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Mar 2 |
awarded | Nice Answer |
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Jan 30 |
awarded | Nice Question |
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Dec 27 |
answered | Regressor: Nominal return, continuous return or first difference? |
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Dec 18 |
awarded | Popular Question |
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Nov 28 |
comment |
How to group mutual funds by volatility? @AnthonyDuBon Since your "answer" does not actually try to answer the question, is has been converted to a comment. |
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Nov 28 |
comment |
How to group mutual funds by volatility? Remainder of Anthony DuBon's comment: Since you seem to be interested in the relationship between risk and return you might look into the work of Robert Haugen. He focuses primarily on stocks. His book The New Finance challenges the nearly ubiquitous assumption that high return requires high risk securities. He and other proponents of the low risk anomaly are pursuing empirical evidence that the opposite may be true. |
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Nov 28 |
awarded | Custodian |
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Nov 28 |
reviewed | Reviewed What is the canonical reference for Minimum Variance Portfolio's uniqueness? |
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Nov 12 |
comment |
Measuring liquidity Yes, I read that. I think the original authors disputed that the measure they were calling VPIN is not their VPIN. In short, a half-baked attempt at replication doesn't suffice (still useful to know, as quants don't always have the time or resources to devote to a full-blown replication). |
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Nov 12 |
comment |
Measuring liquidity The authors are highly respected and the paper certainly makes for interesting reading. Also the JPM doesn't just publish anything, they generally have a decently high standard. I'm just putting it out there so people are aware. |
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Sep 23 |
comment |
How should I include the bid-ask spread as a transaction cost in a backtest? No, this is the common practice because you need to allow time for the order to be executed. It is unrealistic to assume the trade could have been executed at the next day's open. If you have higher frequency data, as I said, that is better. |
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Sep 21 |
awarded | Custodian |
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Aug 17 |
awarded | Announcer |
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Aug 14 |
comment |
transaction size and liquidity in simulation of US stocks I have no real source for this, but my rule of thumb is 5% of ADV for trades executed from open to close. Be sure all information you use for this was available as of the previous day's close to avoid look-ahead bias. |
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Aug 9 |
reviewed | Approve suggested edit on How to develop journeymanship and mastery in the field Quantitative Finance? |
