7,492 reputation
32369
bio website lordabbett.com
location New York
age 33
visits member for 3 years, 4 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
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
Jul
22
answered What programming languages are most commonly used in quantitative finance?
Jul
22
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
Your contention that low $R^2$ implies high trading frictions is simply untrue. The size of the effect (which, when they say it is "economically large," they mean it is greater than typical trading costs) is more important. Furthermore, 3% is actually fairly high for a regression involving a single instrument on the LHS.
Jul
22
revised Currency Hedged ETFs
elaboration and correction
Jul
22
awarded  Scholar
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