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.


Jun
21
comment Position management in presence of continuous forecast
This is a good suggestion. In fact, the general approach one should take would be to estimate the half-life of the signal and construct a properly weighted composite signal that will slowly decay towards 0 if no new signal comes.
Jun
21
comment Bootstrapping spot rates from treasury yield curve
Hi, welcome to the site and thanks for participating.
Jun
21
comment Why do some people claim the delta of an ATM call option is 0.5?
Since your original statement to prove is false, I've changed the question title to asking about the claim rather than asking for a proof.
Jun
21
comment Why do some people claim the delta of an ATM call option is 0.5?
Richard, I started writing essentially the same answer when yours came up, so I decided I'd clean up yours instead.
Jun
21
comment Quadratic Programming Problem
Other than your mention of what V and G represent, which is irrelevant to your actual question (and FYI non-sensical, what is a matrix of returns?), what does this have to do with finance?
Jun
14
comment How to account for transaction costs in a simulated market environment?
BTW on terminology, I hear slippage and liquidity costs together with brokerage fees and exchange fees collectively referred to as transaction costs all the time. Whether technically true or not, it is colloquially understood that way in most stuff I've read.
Jun
14
comment Different stocks with the same stock code
Hi Liu Lu. This site is meant for professionals with quantitative questions, not a general Q&A on the markets. FYI, it's called a ticker.
Jun
13
comment What is “Flow Interest Rates”?
Please read the question before posting non-sequitur answers.
Jun
12
comment What is “Flow Interest Rates”?
Perhaps rates desks at I-banks have evolved different terms than other areas of I-banks and from the buy side. I used to work on an FX prop desk, and there they distinguished FX flow trading from FX prop trading primarily in whether they dealt with client flows. Perhaps the term has evolved somewhat in rates, but I'm certain the origin of the term is "client flow." BTW, the distinction you mention sounds to me like structured vs. liquid products, or at least that is how we refer to it at my firm.
Jun
11
comment What is “Flow Interest Rates”?
Well, I understand how you might have come to this question looking at quant roles, but really the distinction exists for non-quant, too, so I'm not sure this qualifies as a quant finanace question. A flow role would probably involve relatively more pricing and modeling for the purpose of hedging and less trying to divine the direction in which markets are headed.
Jun
11
comment What is “Flow Interest Rates”?
It refers to the side of the business that deals with customer flows, as opposed to proprietary trading, which would be listed as "interest rate prop".
Jun
8
comment How to quickly estimate a lower bound on correlation for a large number of stocks?
This Wilmott thread has a bit of detail on exactly this question.
Jun
1
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
@Luna, I'm not sure that there isn't a decent question at the core of your post. However, we have high standards here, and we expect a bit more effort on the part of our users to properly distill their thoughts into a well-phrased and unambiguous question. I'll be the last person to push you to use another site like NP, especially as the engine here is just so much better at weeding out the clutter. However, if you'd like to avoid being weeded out, you will need to put in considerably more effort. You can continue editing this question, and if we feel it merits re-opening, we will do so.
May
31
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Hi Luna, your question sounds very vague. I know a bit about cross sectional regression but I can't figure out what your actual question is. Cross-sectional regression is used to fit models all the time. It is impossible to summarize all the ways here. Do you have any specific examples? Also, what do you mean by "forecasting power"?
May
22
comment Good Environment, Social, and Governance Indicators to correlate with financial performance of PE
Your question is still worded rather confusingly. Are you looking for fund-level indicators or investment-level indicators? What is a "pre-investment phase"?
May
21
comment How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
I agree with @Zarbouzou, you need to specify the purpose of the model in order for this question to be answerable. For example, if your goal is to estimate fair value in between trades, you may want a factor model. If your goal is to estimate volatility, you will want time series operators that operate on inhomogeneous series.
May
21
comment Resources for Benchmarking Automated Trading Systems available as deltix etc.?
What benchmarks do you have in mind for a software product? Do you mean how fast it runs on standardized hardware?
May
16
comment GJR-GARCH Model In R
@KarolPiczak except that this question is not asking about how to apply GJR-GARCH, just for some software help, which is explicitly identified in the FAQ as off-topic. To clarify, econometrics questions that ask about a specific finance problem are on-topic, questions purely about the software are off-topic.
May
16
comment Where to find introductory material on leveraged loans?
@BobJansen I posted on meta regarding this question.
May
16
comment Reference on Electronic volatility trading
Sorry for not noticing earlier that this was already answered. I'm just getting around to some overdue cleanup.