Tal Fishman

6,740 reputation

21154

bio	website	lordabbett.com
	location	New York
	age	31
visits	member for	1 year, 10 months
	seen	Feb 25 at 15:03
stats	profile views	1,471

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.

	6,740 reputation	bio	website	lordabbett.com	visits	member for	1 year, 10 months
21154 badges		location	New York		seen	Feb 25 at 15:03

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Aug 2	awarded	Revival
Aug 1	asked	How do I graphically represent the evolution of a covariance matrix over time?
Aug 1	comment	How to quantify the impact of management cost on return? @hhh Also, since you ask for references, do you have any references yourself that outline the problem itself, or is this something you are exploring on your own?
Aug 1	comment	How to quantify the impact of management cost on return? @hhh I'm trying to work out your problem but having difficulty with all the notation. Can you clarify the notation a bit? I assume $C_i$ is the cost (management fee). What is the charging function? What is $x_i$, the argument of this function? Why is the 2-year interval relevant?
Aug 1	answered	How should I estimate the implied volatility skew term when calculating the skew-adjusted delta?
Aug 1	answered	Arbitraging OANDA continuous rollover vs other brokers' discrete rollover
Aug 1	revised	Is there any good research on support and resistance? better intro to answer
Aug 1	answered	Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Aug 1	answered	Is there any good research on support and resistance?
Aug 1	answered	How to quantify the impact of management cost on return?
Aug 1	comment	What research is available on the performance of convertible bond arbitrage models? Thanks for the link, but I'm looking for research on the strategy itself, not on funds that employ the strategy. In Lo's paper, convertible bond arbitrage is just one of many hedge fund strategies that he examines. He does not discuss how different variants of CB arbitrage (particularly employing the more recent models) have performed.
Aug 1	comment	Will price levels fall even though money supply increases? Is answering this question related to your work in quantitative finance? If not, I'm not sure this question is in scope.
Aug 1	comment	Which brokers offer a .NET stock trading API? I have looked around as well and have not found any good alternatives to the ones you've mentioned.
Jul 29	comment	How can I learn about the quantitative aspects of market making in illiquid single stock options? @Soham, lucky for you, this has already been answered on English Stack Exchange! I just meant that I wouldn't trust the "guide" posted above. It looks riddled with errors and is sloppily written.
Jul 29	answered	What are the advantages of switching platforms/languages between strategy development and implementation?
Jul 29	comment	What are the advantages of switching platforms/languages between strategy development and implementation? You are right that speed is not a concern, and I am aware that there are plenty of other downsides besides those I mentioned. I am looking to flesh out the disadvantages before I commit to using the same language for implementation.
Jul 29	asked	How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Jul 28	awarded	Critic
Jul 27	comment	What data sources are available online? @chrisaycock Thanks for the info. Was it a good service overall (reliable, accurate, any issues)?
Jul 27	comment	How to model the risk of a CFD @user1122 which risk are you referring to? I believe the RiskMetrics document is only interested in the market risk. The market risk of CFD = future = stock (except for dividends, which I think RiskMetrics is mistakenly ignoring). They each have their own sets of liquidity and counterparty risks. Since CFD does not expire, they recommend modeling as future with 1 day to expiration to eliminate interest rate risk.