Tal Fishman

6,765 reputation

21354

bio	website	lordabbett.com
	location	New York
	age	31
visits	member for	1 year, 11 months
	seen	Feb 25 at 15:03
stats	profile views	1,500

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.

	6,765 reputation	bio	website	lordabbett.com	visits	member for	1 year, 11 months
21354 badges		location	New York		seen	Feb 25 at 15:03

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Jul 9	answered	Why should there be an equity risk premium?
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	revised	Why should there be an equity risk premium? changed title to question
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	revised	Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would? Corrected formatting and changed tags to standard tags.
Jul 9	revised	What really drives option implied volatility? added 215 characters in body
Jul 9	revised	What really drives option implied volatility? Clarified question, corrected some grammar, and changed title.
Jul 9	answered	What really drives option implied volatility?
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	answered	What does “Exotics Trade Capture” mean
Jun 29	comment	What does “Exotics Trade Capture” mean 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?