Consultant & Author
Contributor's Links: Bond Econonmics

I have 15 years of experience as a senior quantitative analyst in fixed income. I specialized in the development of research systems and analytics. Currently a consultant and blogger. I have a B.Eng. in electrical engineering from McGill University, and a Ph.D. from the University of Cambridge ... more

ALL CONTRIBUTIONS

The Perils Of Non-Causal Models: R* Edition
One important property of time series is models is whether they are causal or non-causal.
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Nonlinear Models Give No Escape From R*
The dynamic stochastic general equilibrium (DSGE) model literature is ever-growing, and new features are being continuously added. This makes it difficult to make generalizations about the literature.
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Empirical Testing Of Macro Models
The ability to make money after model implementation is a simple quantitative metric, although one might need to wait for a large enough sample to test this.
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Central Banks Are Always Involved With Government Finance
The New Keynesian Federal Reserve is obsessed about monetary policy settings being transmitted without distortions. There is an extreme distaste for Treasury market volatility.
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All Roads Lead To R*
One of the major theoretical tasks facing neoclassical economists is the estimation of the variable r*, which is similar to what was termed the natural rate of interest.
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Arbitrage-Free Pricing For Linear Instruments
The core of any fixed income pricing model is a yield or discount curve. We are interested in pricing linear instruments that are assumed to be free of default risk.
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STOCKS I FOLLOW

ADRU BLDRS Europe 100 ADR Index Fund
AGZ iShares Barclays Agency Bond Fund
BIL SPDR Barclays 1-3 Month T-Bill ETF
BKT BlackRock Income Trust Inc.
BNDX Vanguard Total International Bond ETF
BWX SPDR Barclays Capital International Treasury Bond ETF
BXUB Barclays Bank PLC
BXUC Barclays Bank PLC
COIN Winklevoss Bitcoin Trust ETF
CRF Cornerstone Total Return Fund
DBEU Deutsche X-trackers MSCI Europe Hdgd Eq
DBEZ Deutsche X-trackers MSCI EMU Hedged Eq
DBUK Deutsche X-trackers UK Hedged Equity ETF
DDM ProShares Ultra Dow30
DEZU iShares Adaptive Ccy Hdgd MSCI Euroz ETF
DFVL iPath US Treasury 5-year Bull ETN
DFVS iPath US Treasury 5-year Bear ETN
DIA SPDR Dow Jones Industrial Average
DLBS Barclays Bank PLC
DOG ProShares Short Dow30
DTUL iPath U.S. Treasury 2-Year Bull ETN
DTUS Barclays Bank PLC
DTYL Barclays Bank PLC
DTYS Barclays Bank PLC
DXD ProShares UltraShort Dow30
DXPS WisdomTree UK Hedged ETF
EDV Vanguard Extended Duration ETF
EEA The European Equity Fund Inc.
EEH ELEMENTS Linked to the SPECTRUM Large CAP U.S. Sector Momentum Index
EGF BlackRock Enhanced Government Fund Inc.
EPS WisdomTree Earnings 500 Fund
EPV UltraShort MSCI Europe ProShares
EQL ALPS Equal Sector Weight ETF
EUFN iShares MSCI Europe Financials Sector Index Fund
EURL Direxion Daily FTSE Europe Bull 3x Shares ETF
EWC iShares MSCI Canada Index Fund
EWU iShares MSCI United Kingdom Index Fund
EZU iShares MSCI EMU Index Fund
FCAN FstTr ET AlDx2 Shs First Trust Canada AlphaDEX Fund
FEEU Barclays ETN+ FI Enhanced Europe 50
FEP First Trust Europe AlphaDEX ETF
FEUZ First Trust Eurozone AlphaDex ETF
FEX First Trust Large Cap Core AlphaDEX Fund
FEZ SPDR DJ Euro Stoxx 50
FIBR Sorrento Networks Corp
FIEE UBS AG FI Enhanced Europe 50 ETN
FKU FstTr ET AlDx2 Shs First Trust United Kingdom AlphaDEX Fund
FLAT IPATH US TREASURY FLATTENER
FTT Federated Enhanced Treasury Income Fund
FWDD Madrona Domestic
GIM Templeton Global Income Fund Inc.
GNMA iShares Shs iShares Barclays GMNA Bond Fund
GOVT iShares Core U.S. Treasury Bond ETF
GSY GUGGENHEIM ENHANCED ULTRA-SH
HEDJ WisdomTree Europe Hedged Equity ETF
HEWU iShares Currency Hedged UK ETF
HEZU iShares Currency Hedged MSCI EMU ETF
HFEZ SPDR EURO STOXX 50 Currency Hedged ETF
HFXE IQ 50 Percent Hedged FTSE Europe ETF
HGEU ProShares Hedged FTSE Europe
HUSV First Trust Hrzn MgdVolatil Domestic ETF
HYDD Direxion Daily High Yield Bear 2X ETF
IEF iShares Lehman 7-10 Year Treasury Bond Fund
IEI iShares Barclays 3-7 Year Treasury Bond Fund
IEUR iShares Core MSCI Europe
IEV iShares Europe
IFNA iShares FTSE EPRA/NAREIT North America Index Fund
IGOV iShares S&P/Citigroup International Treasury Bond Fund
IVV iShares S&P 500 Index Fund
IWL iShares Trust
IWM iShares Russell 2000 Index Fund
JHML JHancock Multifactor Large Cap ETF
JKD iShares Morningstar Large Core Index Fund
LTPZ PIMCO ETF Trust
MBB iShares Barclays MBS Bond Fund
OTPIX Nasdaq-100 Profund Investor Class
PLW PowerShares 1-30 Laddered Treasury Portfolio
PPLC PortfolioPlus S&P 500 ETF
PPSC Direxions PortfolioPlus S&P Small Cap ETF
PSQ ProShares Short QQQ
PST ProShares UltraShort Lehman 7-10 Year Treasury ETF
QCAN SPDR MSCI Canada StrategicFactors ETF
QGBR SPDR MSCI United Kingdom StratFacts ETF
QID ProShares UltraShort QQQ
QLD ProShares Ultra QQQ
QQEW First Trust NASDAQ
QQQ PowerShares QQQ Trust Series 1
QQQE Direxion Trust
QQXT First Trust NASDAQ - 100 Ex
RFEU First Trust RiverFront Dynamic Eurp ETF
RINF ProShares Inflation Expectations ETF
RISE Sit Rising Rate ETF
RSP Rydex S&P Equal Weight ETF
RWM ProShares Short Russell2000
RYARX Rydex Series Fds Inverse S&P 500 Strategy Fund
RYRSX Rydex Dynamics Fds Russell 2000 2X Strategy Fun
SBEU ETFS Diversified-Factor Developed Eurp
SBUS ETFS Diversified-Factor US Large Cap
SCAP AdvisorShares Cornerstone Small Cap ETF
SCHO Schwab Short-Term US Treasury ETF
SCHP Schwab Fixed-Income ETFs
SCHR Schwab Fixed-Income ETFs
SCHX SCHWAB US LARGE CAP ETF
SDOW ProShares Indices
SDS ProShares UltraShort S&P500
SH ProShares Short S&P500
SHV iShares Barclays Short Treasury Bond Fund
SHY ISHARES LEHMAN 1-3Y ETF
SIPE SPDR Blmbg Barclays 0-5 Year TIPS ETF
SMLL Direxion Daily Small Cap Bull 2X ETF
SPDN Direxion Daily S&P 500 Bear 1X ETF
SPIP SPDR Portfolio TIPS ETF
SPLX UBS ETRACS M Reset 2xLvg S&P 500 TR ETN
SPSM SPDR Portfolio Small Cap ETF
SPTI SPDR Portfolio Intermediate Term Treasury ETF
SPTL SPDR Portfolio Long Term Treasury ETF
SPTS SPORTS MEDIA INC
SPUU Direxion Daily S&P 500 Bull 2X ETF
SPXE ProShares S&P 500 ex-Energy
SPXL Direxion Daily S&P500 Bull 3X ETF
SPXN ProShares S&P 500 ex-Financials
SPXS Direxion Daily S&P500 Bear 3X ETF
SPXT ProShares S&P 500 ex-Technology
SPXU ProShares Trust
SPXV ProShares S&P 500 ex-Health Care
SPY SPDR S&P 500
SQQQ ProShares UltraPro Short QQQ
SRTY ProShares Indices
SSO ProShares Ultra S&P500
STIP iShares 0-5 Year TIPS Bond
STPP Barclays Bank PLC
STPZ PIMCO 1-5 Year US TIPS Index ETF
SYE SPDR MFS Systematic Core Equity ETF
TAPR Barclays Inverse US Treasury Aggt ETN
TBF PROSHARES TR 20+YR TRSY
TBT ProShares UltraShort Lehman 20+ Year Treasury ETF
TBX ProShares Indices
TBZ Toy Biz Inc
TDTF FlexShares Trust
TDTT FlexShares Trust
TFLO iShares Treasury Floating Rate Bond
TIP iShares Lehman TIPS Bond Fund
TIPZ PIMCO ETF Trust
TLH iShares Barclays 10-20 Year Treasury Bond Fund
TLT iShares Lehman 20+ Year Treasury Bond Fund
TMF Direxion Daily 30Y T
TMV Daily 20 Year Plus Treasury Bear 3x Shares
TNA Direxion Small Cap Bull 3x Shares
TPS 10 Stocks BRIDGES
TQQQ ProShares UltraPro QQQ
TTT ProShares UltraPro Short 20+ Year Trs
TUZ PIMCO 1-3 Year U.S. Treasury Index ETF
TWM ProShares UltraShort Russell2000
TYBS
TYD Direxion Daily 10 Yr Trs Bull 3X Shares
TYNS
TYO Direxion Shares ETF Trust
TZA Direxion Small Cap Bear 3x Shares
UBT ProShares Ultra 20+ Year Treasury ETF
UDN PowerShares DB US Dollar Index Bearish Fund
UDOW ProShares Indices
UDPIX Ultra Dow 30 Profund Investor Class
UPRO ProShares UltraPro S&P 500 ETF
UPV ProShares Trust
URTY ProShares UltraPro Russell2000
USA Liberty All-Star Equity Fund
USDU WisdomTree Bloomberg USD Bullish ETF Fund
USFR WisdomTree Bloomberg Floating Rate Treasury ETF
USSD WisdomTree Strong Dollar US Equity ETF
UST ProShares Ultra 7-10 Year Treasury
UUP PowerShares DB US Dollar Index Bullish Fund
UWM ProShares Ultra Russell 2000
VFINX Vanguard Index Trust 500 Index Fund
VGIT Vanguard Intermediate
VGK VANGUARD EUROPEAN ETF
VGLT Vanguard Long
VGSH Vanguard Short
VMBS Vanguard Mortgage-Backed Securities ETF
VOO VANGUARD FIVE HUNDRED INDEX
VTIP Vanguard Short-Term Infl-Prot Secs ETF
VTWO Vanguard Russell 2000 ETF
VUSTX Vanguard Long Term Treasury Fund
VV Vanguard Large-Cap ETF
ZF The Zweig Fund Inc.
ZROZ PIMCO ETF Trust
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PERSONAL BLOG

Latest Posts

Work Experience

Consultant-Blogger-Author
Self-Employed
July 2013 - Present (7 years 5 months)

Currently working part time as a consultant, and developing a blog. Expertise in developing research systems for economic and financial analysis.

Quantitative Analyst
Caisse de dépôt et placement du Québec
2006 - June 2013 (7 years 7 months)

 

 

 

Quantitative Analyst
BCA Research
May 1998 - December 2005 (7 years 9 months)

BCA Research

Education

University of Cambridge
Doctor of Philosophy (PhD)
1991 / 1994
McGill University
Bachelor of Engineering (BEng)
1986 / 1990

Publications