7,362 reputation
32168
bio website lordabbett.com
location New York
age 33
visits member for 3 years, 1 month
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.


Jul
19
answered How to compute portfolio weights from multivariate regression results?
Jul
19
revised What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?
Edited grammar and typos for clarity.
Jul
19
comment What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?
I can't recall ever seeing a CDS spread above 10000 basis points, although in theory it could be rational if the reference entity is sure to default in less than a year and recovery is expected to be very low.
Jul
19
comment How to compute portfolio weights from multivariate regression results?
I am a bit confused by your question. What would be the goal of this portfolio? What sort of application do you have in mind?
Jul
18
comment What commercial financial libraries are available to outsource implementation risk?
@RYogi Other people may have their own style, but in my style of coding, I often have only a vague idea of what function exactly I'm looking for, and good documentation allows me to find it myself in less than a minute. Who exactly do I contact if I'm not even sure exactly what I want?
Jul
18
answered What commercial financial libraries are available to outsource implementation risk?
Jul
18
comment Use of AI in portfolio optimization
Another common marketing gimmick is to tell your rubes that you will soon have "international" clients, and they will be the first among an elite bunch. He may not be malicious, though, as he may honestly believe that he has a good system, and simultaneously believe that he is not smart/credentialed/educated/experienced enough to make it in London.
Jul
18
answered Use of AI in portfolio optimization
Jul
18
comment What is the use of the Euler equation in the Ramsey growth model?
Hi Michael. Your question is really an economics question, and unfortunately, the economics stack exchange was recently closed due to lack of participation. While some econ questions also belong on this site, I am not sure you will find the right audience for your question here.
Jul
16
comment With there being such a high demand for electronic trading or just trading in general why are market hours so limited?
@Freddy money.SE has generally been very receptive to general interest trading questions, such as regarding market hours. But if it's the kind of question that only a quant would be interested in asking (algos, quantitative risk management, etc.), then it belongs here.
Jul
13
revised How to automate the margin requirements for Eurex markets?
changed title to Q, added tags
Jul
13
comment Equivalency of FX forwards and FX basis swaps for risk-management purposes
Hi PBD, welcome to quant.SE and thanks for posting your question.
Jul
13
comment Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would?
Hi WD, welcome to quant.SE and thanks for posting an answer. However, if this answer doesn't get as many up-votes, please realize that generally a follow-up answer is expected to add some significant information relative to existing answers.
Jul
13
comment With there being such a high demand for electronic trading or just trading in general why are market hours so limited?
Why did you post this here rather than on money.SE. Should we migrate your question? This may not be the right forum, as the question is not really quantitative.
Jul
12
comment Derivatives with a floating Libor leg
This is not necessarily a quant question.
Jul
11
comment how do we estimate position of our order in order book?
Hi Sam, welcome to quant.SE and thanks for posting your questions.
Jul
11
comment how do we estimate position of our order in order book?
@chrisaycock why not make that an answer.
Jul
11
comment Trading a stock (or other asset) based on Bollinger Bands.
@Freddy this was an early question on the site, when the site was still more accepting of newbie-type questions. A few more of these "how do I use technical analysis" questions popped up, and now I think they're sort of settled and we've moved on.
Jul
11
revised Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
corrected title, added tags
Jul
10
comment What are the common trading systems for hedge fund automated trading?
Using Bloomberg or some other third-party EMS/OMS is a perfectly valid option for any quant shop that doesn't engage in high frequency trading.