7,532 reputation
32470
bio website lordabbett.com
location New York
age 33
visits member for 3 years, 5 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
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?
Jul
30
comment Implied forward rates puzzle
What is premise #3? I only see 2.
Jul
26
revised What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?
converted URLs to links
Jul
26
accepted What is the case for active management?
Jul
26
revised What is the case for active management?
removed disclaimer
Jul
26
comment What is the case for active management?
Hi Jeff, welcome to quant.SE. These are all great additional reasons in favor of active management. Thanks for contributing to the discussion here.
Jul
26
comment Inferring Returns From Minimal Data Points
@Aziz No problem, glad you found your answer. Your post has been closed as a duplicate, but feel free to post new questions after you've looked around to see what we already have here.
Jul
23
revised How does one measure the effect of latency on potential returns?
no apologies necessary, changed title to question, replaced tags with more specific ones
Jul
23
comment Is variable binning a good thing to do?
Hi Mike, welcome to quant.SE. Great answer, I completely agree that intelligent binning can add value to a model. You are essentially taking a somewhat Bayesian view that priors should be imposed, even when using classical statistical tools.
Jul
21
awarded  Yearling
Jul
20
revised inflation > interest rate?
added 347 characters in body; added 285 characters in body