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
10
comment Why use a column database for tick/bar data?
@chrisaycock fair point. Freddy: If you find Chris's downvote unfair, please consider your own voting patterns. If you find information that you think may be useful and is correct, you should up-vote it.
Jul
10
comment Why use a column database for tick/bar data?
@chrisaycock I don't know much about column-oriented databases so can't tell who's right, and even though I suspect you are right, I think the down-vote is out of place. We should give people a chance to correct or explain themselves before downvoting.
Jul
9
comment Why should there be an equity risk premium?
@JL344 What you say is not true. There is still a positive spread between junk and investment grade rated debt. Also, you are suggesting that it has become more popular for private (pre-IPO) companies to raise money via the corporate bond markets than via equity, which I'm not sure is true.
Jul
9
comment Why should there be an equity risk premium?
The equity risk premium puzzle is not that it exists at all, just that it has been so large in the past (as of when the papers were written).
Jul
9
comment Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)
@vonjd Just to clarify one point, the reason for the asymmetry between long and short is that the equity market in aggregate must be held long by all participants. This is not the case, for example, with commodity futures, which is why we do not find a consistent risk premium to holding commodities.
Jul
9
comment What really drives option implied volatility?
@CQM Let us continue this discussion in chat
Jul
9
comment What drives changes in implied volatility on ETFs/ETNs?
It looks like you've had this confusion regarding how markets work for a while. Note that Brian B was saying that with an ETN it probably had to do with options in the components, but really this is not necessary. Prices of anything, such as houses, like he mentions, can change even when nobody is trading.
Jul
9
comment What really drives option implied volatility?
@CQM VIX white paper is just a very specific document regarding their methodology for an index they created, not meant as a practical guide to understanding implied volatility.
Jul
9
comment Calculating portfolio allocation beta with different asset classes?
@4thSpace I want to second SRKX's answer and say that what you propose is misguided at best. A multi-asset class portfolio will have multiple risk sources, and $\beta$ is an inappropriate measure. SRKX is right to call what you propose naive.
Jul
9
comment Methods for distributing cash into allocation
@VincentZoonekynd is correct that this strategy is sub-optimal, and rather you should calculate your optimal position for today based on today's information and update in the future. If nothing changes, neither should your position. However, the strategy is not called dollar cost averaging, it is called scaling in and out of a trade.
Jul
9
comment What really drives option implied volatility?
Your overall answer is right, of course, but to clarify, a change in demand does not imply actual buying or selling. To say price has changed because supply and demand have changed is tautologically true. Likewise, demand for the specific option has gone up, even though there haven't been any actual trades.
Jul
9
comment What really drives option implied volatility?
You are right, there is a common, oft repeated, and false belief that the price of anything rises or falls because people are buying or selling. For every buyer there is a seller. Options are no different. Direction of trade initiation is not what moves prices.
Jul
6
comment Why is the Drawdown measure not used for portfolio optimization?
Maximum drawdown is extremely sensitive to minute changes in weights and to the specific time period examined.
Jul
5
comment How to better understand trading signals?
I agree with @Zarbouzou, is there any particular reason you are so focused on non-linear relationships? What's wrong with PCA?
Jun
29
comment Can someone explain what “Exotics Trade Capture” capture means in layman's terms?
I think you are confused. The only references I've seen to this term on google show it as two separate terms, exotics, and trade capture. Do you have a reference showing it as a single term?
Jun
29
comment Can someone explain what “Exotics Trade Capture” capture means in layman's terms?
Do you have a reference or a context for this term?
Jun
25
comment Tutorial for working with tick data?
Freddy, while I share your frustration, I'm not sure there's ever truly been a time on this site when it wasn't infested with newbie questions. The redeeming feature of this site is the Q&A engine, which gives the community the ability to close and down-vote those questions so that they don't pollute the front page for too long.
Jun
22
comment Can end-to-day trading be profitable? If not, why?
You state at the end that a profitable trading strategy with a horizon of 1 day or less is "unrealistic." Yet there's plenty of real high frequency traders making money. Your reasoning does not make any sense to me.
Jun
21
comment Can end-to-day trading be profitable? If not, why?
Could you please clarify what any of this has to do with the question, which is about the lack of profitability of trading over a very specific horizon (open to close).
Jun
21
comment Can end-to-day trading be profitable? If not, why?
Many academics will say all sorts of crazy things. I, for one, have never seen anyone claim that trading from open to close is not profitable but trading on either longer or shorter horizons may be profitable. It seems like a very arbitrary distinction.