7,492 reputation
32469
bio website lordabbett.com
location New York
age 33
visits member for 3 years, 4 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.


Nov
28
awarded  Custodian
Nov
28
reviewed Reviewed What is the canonical reference for Minimum Variance Portfolio's uniqueness?
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).
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.
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.
Sep
21
awarded  Custodian
Aug
17
awarded  Announcer
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.
Aug
9
reviewed Approve suggested edit on How to develop journeymanship and mastery in the field Quantitative Finance?
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