7,442 reputation
32269
bio website lordabbett.com
location New York
age 33
visits member for 3 years, 2 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
1
comment How to quantify the impact of management cost on return?
@hhh Also, since you ask for references, do you have any references yourself that outline the problem itself, or is this something you are exploring on your own?
Aug
1
comment How to quantify the impact of management cost on return?
@hhh I'm trying to work out your problem but having difficulty with all the notation. Can you clarify the notation a bit? I assume $C_i$ is the cost (management fee). What is the charging function? What is $x_i$, the argument of this function? Why is the 2-year interval relevant?
Aug
1
answered How should I estimate the implied volatility skew term when calculating the skew-adjusted delta?
Aug
1
answered Arbitraging OANDA continuous rollover vs other brokers' discrete rollover
Aug
1
revised Is there any good research on support and resistance?
better intro to answer
Aug
1
answered Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Aug
1
answered Is there any good research on support and resistance?
Aug
1
answered How to quantify the impact of management cost on return?
Aug
1
comment What research is available on the performance of convertible bond arbitrage models?
Thanks for the link, but I'm looking for research on the strategy itself, not on funds that employ the strategy. In Lo's paper, convertible bond arbitrage is just one of many hedge fund strategies that he examines. He does not discuss how different variants of CB arbitrage (particularly employing the more recent models) have performed.
Aug
1
comment Will price levels fall even though money supply increases?
Is answering this question related to your work in quantitative finance? If not, I'm not sure this question is in scope.
Aug
1
comment Which brokers offer a .NET stock trading API?
I have looked around as well and have not found any good alternatives to the ones you've mentioned.
Jul
29
comment How can I learn about the quantitative aspects of market making in illiquid single stock options?
@Soham, lucky for you, this has already been answered on English Stack Exchange! I just meant that I wouldn't trust the "guide" posted above. It looks riddled with errors and is sloppily written.
Jul
29
answered What are the advantages of switching platforms/languages between strategy development and implementation?
Jul
29
comment What are the advantages of switching platforms/languages between strategy development and implementation?
You are right that speed is not a concern, and I am aware that there are plenty of other downsides besides those I mentioned. I am looking to flesh out the disadvantages before I commit to using the same language for implementation.
Jul
29
asked How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Jul
28
awarded  Critic
Jul
27
comment What data sources are available online?
@chrisaycock Thanks for the info. Was it a good service overall (reliable, accurate, any issues)?
Jul
27
comment How to model the risk of a CFD
@user1122 which risk are you referring to? I believe the RiskMetrics document is only interested in the market risk. The market risk of CFD = future = stock (except for dividends, which I think RiskMetrics is mistakenly ignoring). They each have their own sets of liquidity and counterparty risks. Since CFD does not expire, they recommend modeling as future with 1 day to expiration to eliminate interest rate risk.
Jul
27
answered What data sources are available online?
Jul
27
comment Free paper trading site with an API
@Zach I think your data fees are reduced by \$1 for every \$3 of trading fees, so generate at least \$30/month in trading fees if you want to avoid being billed for data fees separately.