7,532 reputation
32470
bio website lordabbett.com
location New York
age 33
visits member for 3 years, 5 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.


Jan
5
comment How does an option's time value depend on moneyness?
@rtybase I re-wrote the question since it was very muddled and confusing as originally written. Nevertheless, I did not get the impression that a misunderstanding of the meaning of moneyness or of time value had anything to do with it.
Jan
5
comment How does an option's time value depend on moneyness?
Great graph, I think this pretty conclusively answers the question. I just switched up the formatting to put the answer to the question at hand first.
Jan
4
comment Are there quantitative models which can guide one's choice of target risk?
Please vote on a topic for next week!
Jan
4
comment How do you mix quantitative asset allocation with qualitative views?
Please vote on a topic for next week!
Jan
4
comment How can higher co-moments be applied to portfolio optimization in an asset allocation context?
Please vote on a topic for next week!
Jan
4
comment Why do expected return models and risk models use different factors?
Please vote on a topic for next week!
Jan
4
comment How can higher co-moments be applied to portfolio optimization in an asset allocation context?
Yes, you certainly can. I do recommend you wait a couple days until people have had a chance to digest this question, though. Or submit your own thoughts on this question first, as an answer.
Jan
4
comment How can higher co-moments be applied to portfolio optimization in an asset allocation context?
This is a good question, although it needed some editing for clarity. This is generally not a problem, so long as you make an effort to express your question as clearly as possible, others can come in later to improve the English.
Jan
4
comment How to account for jumps in intraday data when calculating beta?
This answer is much better than your previous answers. Keep it up.
Jan
3
comment How do you mix quantitative asset allocation with qualitative views?
@SRKX No problem, perhaps I will later after giving some others a chance to answer.
Jan
3
comment How does an option's time value depend on moneyness?
I don't see how linking back to a wikipedia page mentioned in the question helps. We are looking for something more than what is on that wiki page.
Jan
3
comment How do you mix quantitative asset allocation with qualitative views?
Black-Litterman?
Jan
3
comment How do you remove expected returns from asset allocation strategies?
I'm not sure if there are any more besides those we've mentioned in previous questions, such as Choice of prior as a shrinkage target in portfolio construction? and What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework? Still, I look forward to reading others' thoughts.
Jan
3
comment accumulation/distribution and options to create excessive position to hit the tape with later
This practice is (a) illegal, and (b) very difficult to pull off in practice and may require huge sums of capital.
Jan
3
comment Which indices to use for an equity vs. fixed-income portfolio simulation?
@Belmont a question about where to get the data would be a duplicate of this and would be closed. Furthermore, this site is for professionals and academics, who would presumably have access to this data from their employer or university.
Jan
3
comment What are some of the major quantitative approaches to tactical asset allocation?
@olaker I know, I just think that in light of the linked blog post, the SE team feels this is an incorrect practice based on a common misunderstanding. Having made these mistakes in the past is no excuse to keep on making these mistakes.
Jan
3
comment How to generate a random price series with a specified range and correlation with an actual price?
Great blog post. I just wonder if you'd mind including an excerpt in case your blog ever moves (and the link rots). I also think a juicy excerpt will increase the rate of click-throughs to your blog, if that's something you value.
Jan
3
comment How does an option's time value depend on moneyness?
Hi Robert, welcome to quant.SE and thanks for contributing your answer. I may be wrong, but my impression was that the question asks about the absolute level of time value, not the time value as a percentage of premium. Do you have thoughts on this point?
Jan
3
comment What are some of the major quantitative approaches to tactical asset allocation?
@olaker I think that is a common misunderstanding of CW. See the SE blog post on this topic. Note "questions rarely, if ever, need community wiki" and "community wiki is for that rare gem of a post that needs true community collaboration."
Jan
1
comment Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
@PatrickBurns Previous comments by you and the OP have been incorporated into the question above.