7,272 reputation
31965
bio website lordabbett.com
location New York
age 32
visits member for 2 years, 9 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
22
comment What is the ideal ratio of in-sample length to out-of-sample length?
Thanks for pointing out the reference to Aronson. It seems like a very thorough and well-written work, even though I would not have looked at it otherwise because the title is rather off-putting to one who prefers to make scientific investment decisions, whereas technical analysis is typically associated with subjective chart patterns.
Jul
22
accepted What is the ideal ratio of in-sample length to out-of-sample length?
Jul
22
answered Currency Hedged ETFs
Jul
22
answered Are there any standard MBS coupon stack models?
Jul
22
answered Should Sharpe ratio be computed using log returns or relative returns?
Jul
22
answered Do low volatility stocks outperform high volatility stocks over the long run?
Jul
22
revised What are the advantages of switching platforms/languages between strategy development and implementation?
clarified question
Jul
22
comment What is the ideal ratio of in-sample length to out-of-sample length?
Thank you for your answer. I am generally a fan of Ernie Chan's book, and his blog as well. He gives good guidelines, but at least in this case he does not provide any justification for his recommendation. If no one else comes up with anything, then I think this would be the accepted answer.
Jul
22
revised How we can forecast stock prices using chaos theory?
Fixed link
Jul
21
awarded  Supporter
Jul
21
comment Option trading API other than Interactive Brokers
Anyone have any further information on Lightspeed? Seems cheap if you've got the $$ to invest, but I haven't seen much mention of this name before.
Jul
21
awarded  Editor
Jul
21
revised How we can forecast stock prices using chaos theory?
Previously unable to make more than 2 links due to newb reputation.
Jul
21
comment What are the advantages of switching platforms/languages between strategy development and implementation?
I also looked at each of those other questions, and others, and I do not think any directly address the question of using one versus two languages/platforms for the two stages of development of the same strategy. Most previous questions discuss the relative merits of a complete switch. The closest one is this, but there the focus is more on performance and efficiency, which are less important for medium frequency trading.
Jul
21
comment What are the advantages of switching platforms/languages between strategy development and implementation?
It does not necessarily mean tick-level data, since for a medium frequency strategy it may be enough to get updates every 15, 30 seconds, or whatever, if the tick frequency is very high. I also suspect I'll be fine with Matlab, but the question is whether I am missing anything?
Jul
21
awarded  Teacher
Jul
21
asked What is the ideal ratio of in-sample length to out-of-sample length?
Jul
21
awarded  Student
Jul
21
asked What are the advantages of switching platforms/languages between strategy development and implementation?
Jul
21
answered How we can forecast stock prices using chaos theory?