7,337 reputation
32167
bio website lordabbett.com
location New York
age 33
visits member for 3 years
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
26
awarded  Vox Populi
Jul
26
answered Measuring liquidity
Jul
26
awarded  Suffrage
Jul
26
answered How to model the risk of a CFD
Jul
26
answered Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
Jul
26
answered How can I learn about the quantitative aspects of market making in illiquid single stock options?
Jul
25
asked What research is available on the performance of convertible bond arbitrage models?
Jul
25
revised Most successful investors using academic-based framework?
corrected spelling of Thorp
Jul
25
awarded  Autobiographer
Jul
25
revised How should I calculate the implied volatility of an American option in a real-time production environment?
added links and elaborated question
Jul
25
answered Most successful investors using academic-based framework?
Jul
25
revised Which approach dominates? Mathematical modeling or data mining?
added line to 2nd paragraph
Jul
25
answered Which approach dominates? Mathematical modeling or data mining?
Jul
24
answered Free paper trading site with an API
Jul
24
awarded  Commentator
Jul
24
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
I've traded models with $R^2$ of under 3% (on individual instruments) and they can make quite compelling strategies if you have enough independent instruments. It is not clear whether Hong and Yogo's paper would lead to a viable quant trading strategy or not, but the $R^2$ alone does not present much evidence either way. Regardless, $R^2$ has virtually no bearing on transaction costs (i.e. trading frictions).
Jul
24
answered Why would an investor trade a variance swap over a volatility swap?
Jul
22
asked How should I calculate the implied volatility of an American option in a real-time production environment?
Jul
22
comment Papers about backtesting option trading strategies
@vonjd: The third one (Goyal and Saretto (2007)) is probably one of the best references in this area, IMO.
Jul
22
answered Papers about backtesting option trading strategies