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.


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.
Jul
27
comment How can I learn about the quantitative aspects of market making in illiquid single stock options?
@Soham if you are seriously interested in dispersion trading, you can do worse than Bossu's papers
Jul
27
comment How to model the risk of a CFD
@user1122 The RiskMetrics document is just pointing out two equivalent methods of modeling a CFD. The risks are the same. The risk of a futures position is also equivalent to the risk of a stock and a loan.
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