7,492 reputation
32469
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.


May
16
comment GJR-GARCH Model In R
Please note that, according to our faq, such questions are off-topic and should be directed to CrossValidated.
May
10
comment Where to find introductory material on leveraged loans?
@BobJansen I think asking for a tutorial on, say, corporate bonds, or even on mortgage-backed securities, might be off topic, but having worked on them myself, I think leveraged loans are sufficiently obscure and exclusively the domain of professional investors to make a simple request for a tutorial on-topic.
May
8
comment Where to find introductory material on leveraged loans?
Hi SQLCurious, welcome to quant.SE. I suggest you separate your questions about leveraged loans and commingled funds into two, and the tutorials you mention could easily be added to third and fourth questions that you can answer yourself. I've answered below regarding loans, as I don't know anything about commingled funds.
May
4
comment Using volatility cycles to switch between trend following & range bound trading?
-1 As always, this depends on the specific trend following system. Do your own testing. There is no substitute.
May
2
comment Has high frequency trading (HFT) been a net benefit or cost to society?
-1 Even if it is an engineering product (which is debatable) doesn't mean the economics of it cannot be studied. Economic studies of eBay abound.
May
1
comment Has high frequency trading (HFT) been a net benefit or cost to society?
Nice paper, thanks for posting (and for writing it, of course).
May
1
comment How to annualize intra-day volatility on minute data?
First, let me take the chance to say welcome and thanks for contributing to the site. Great contributions overall, and it is certainly OK to post links to your other answers. However, if you are not addressing the specifics of this question, it is best to leave these remarks as comments.
May
1
comment Arbitrage between markets
@Lirik you seem very confused about the definition of short selling. Please consult wikipedia. Some people have also found the money.SE helpful for such beginner questions regarding definitions.
Apr
27
comment Arbitrage between markets
@Lirik that presumes you have something in market A with which to buy X. Otherwise, you're still selling something short, Y or Z, in market A in order to buy X.
Apr
27
comment Arbitrage between markets
@Lirik No, you need to be able to sell short in order to do practically any sort of arbitrage.
Apr
27
comment What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
@BrianB Where on Bloomberg can I get these numbers? I know there are also some reduced-form models out there, and I just want to get a sense for a typical average hedge ratio.
Apr
27
comment What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
@SpeedBoots great paper on the theory, I just wish they discussed the actual numbers that came out of their analysis a bit.
Apr
27
comment Arbitrage between markets
The idea behind pairs trading is that you never actually exchange Y in one market for Y in another market, you just wait for the prices to cross.
Apr
26
comment Why in general is the variance of volume changes higher than variance of price changes?
@LazyCat just because you can doesn't mean you should.
Apr
26
comment definition for “the viscosity” in financial market data series
I see where they use it as an analogy, but it still looks like they do not directly apply the terms "viscosity" or "ease-of-movement" to financial time series. Also, your definition of ease of movement seems arbitrary. I do not understand why you would look at the absolute price change divided by volume. Also, since no trading takes place overnight, perhaps you should look at close - open? Perhaps look at log price changes? Perhaps log volume, too?
Apr
26
comment Why in general is the variance of volume changes higher than variance of price changes?
@babelproofreader while we cannot meaningfully compare the level or volatility of price and volume, the product still has a meaning, specifically it is the "dollar volume", and that is the basis of the money flow index. OBV refers only to the sign of changes in price, which is not so bad. In short, comparing price to volume directly BAD, taking the product of price and volume OK.
Apr
25
comment definition for “the viscosity” in financial market data series
Did you make up this concept yourself? Is there any source for the use of the term "viscosity" in a financial context?
Mar
26
comment Creating a financial market
Those truly interested in this topic should also check out intrade.com, which hosts a variety of bets on all sorts of publicly verifiable events. If you have a bright idea, they even accept suggestions.
Mar
26
comment Creating a financial market
Hi Eric, would you mind explaining how a rock band constitutes a "real physical product." Since one cannot buy people for ethical reasons, all that's left is the "idea" of the rock band, which is hardly "physical". Why would anyone buy this idea? Will they get a share of some revenue stream? If so, how is this any different from buying shares in any other corporation?
Mar
16
comment Is statistical arbitrage on FX possible?
@ryogi I got it from their BondHub portal.