7,272 reputation
31965
bio website lordabbett.com
location New York
age 32
visits member for 2 years, 9 months
seen Feb 27 at 2:52

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.


Aug
9
comment How to simulate cointegrated prices
@John Could you please re-post your comment as an answer.
Aug
9
revised How to develop journeymanship and mastery in the field Quantitative Finance?
edited tags
Aug
9
comment How to develop journeymanship and mastery in the field Quantitative Finance?
Hi Matthew, welcome to quant.SE and thanks for posting. There are varying opinions on the acceptability of this type of question. Personally, while I don't appreciate the repeated requests from those just looking for quick and generic advice, I hope well-written and thought-out questions such as yours receive a fair response.
Aug
8
comment How credible is Knight pointing the finger at Rule 107C?
@user508 You should post that as an answer, with an excerpt in case they take it down.
Aug
8
comment How credible is Knight pointing the finger at Rule 107C?
@jeffm Agreed, to let this happen, and then especially to not be able to stop buggy software from trading for an entire half hour, is a serious red flag, and is evidence of a much more cavalier culture at Knight than is standard.
Aug
7
comment How credible is Knight pointing the finger at Rule 107C?
In short, there is no reason to doubt the veracity of their claim. In fact, there's really no plausible alternative explanation.
Aug
7
comment How credible is Knight pointing the finger at Rule 107C?
Posting as a comment because this is just speculation, but my understanding is that the position was built up in the course of executing trades for clients. Since many of them are retail clients, and no doubt they received many client orders in the fateful half hour, those orders would have had to look for RPI orders. Also, they may have posted RPI orders, also on behalf of clients. Perhaps the bug in their system failed to recognize whether an order was executed, and so the systems continued mistakenly placing new orders.
Aug
7
comment is there any quantitative index to describe the strength of 'trend' ?
Hi bigbug, I've closed your question since it is overly broad. There are far too many technical indicators to list here, and many of them attempt to quantify "strength" of a trend. Please be more specific.
Aug
3
revised Why does the price of a derivative not depend on the derivative with which you hedge volatility risk?
improved tags, changed title to question
Aug
3
comment How to build an execution trading system with CQG API?
Has anyone with non-trivial rep ever heard of this thing? Is this a valid pro question?
Aug
3
revised How to build an execution trading system with CQG API?
added 472 characters in body; edited tags; edited title
Aug
3
comment What is the relative performance of hard-to-borrow securities?
@chrisaycock Valid point, but then a market maker probably would not be interested in the long-term relative performance of such stocks.
Aug
2
comment What is the relative performance of hard-to-borrow securities?
@chrisaycock Well, in this case that is a difference between hard-to-borrow and illegal-to-borrow. I think this question only relates to the former. The latter has also been studied, of course, but it is difficult to disentangle any effect from what was going on at the time.
Aug
2
revised What is the relative performance of hard-to-borrow securities?
changed title to question, added tags
Aug
2
comment What is the relative performance of hard-to-borrow securities?
Great question, I've wondered about that for a while, never seen anything. My guess, though, is that while they may occasionally rally sharply, they will tend to underperform, as many more people would like to short them but are unable to, so some of that negative information is not fully impounded into the price.
Aug
1
revised How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
changed title to question, added tags
Jul
31
revised How much capital do I need to create a competitive automated trading strategy?
refocused the question on what should be on topic
Jul
31
comment Market making in thinly traded assets
Then I think your best bet is to try to measure "intrinsic value," whatever that may mean in your case.
Jul
31
comment How much capital do I need to create a competitive automated trading strategy?
I think the key part of the question that got many people here upset is referring to your system as an "AI bot" (a very non-pro term) and asking about small investors (which conjures an image of some guy trading odd lots around). If instead you asked "what is the minimum capital necessary for such and such approach," it may be on topic.
Jul
30
comment Market making in thinly traded assets
Is the lack of correlation with more liquid assets intrinsic to this asset or is it an artifact of the limited liquidity, while unobserved "fundamental value" covaries with liquid assets?