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	1,473

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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Jul 24	comment	Can the futures market's open interest predict commodity, treasury, and equity returns? I've traded models with $R^2$ of under 3% (on individual instruments) and they can make quite compelling strategies if you have enough independent instruments. It is not clear whether Hong and Yogo's paper would lead to a viable quant trading strategy or not, but the $R^2$ alone does not present much evidence either way. Regardless, $R^2$ has virtually no bearing on transaction costs (i.e. trading frictions).
Jul 24	answered	Why would an investor trade a variance swap over a volatility swap?
Jul 22	asked	How should I calculate the implied volatility of an American option in a real-time production environment?
Jul 22	comment	Papers about backtesting option trading strategies @vonjd: The third one (Goyal and Saretto (2007)) is probably one of the best references in this area, IMO.
Jul 22	answered	Papers about backtesting option trading strategies
Jul 22	answered	What programming languages are most commonly used in quantitative finance?
Jul 22	comment	Can the futures market's open interest predict commodity, treasury, and equity returns? Your contention that low $R^2$ implies high trading frictions is simply untrue. The size of the effect (which, when they say it is "economically large," they mean it is greater than typical trading costs) is more important. Furthermore, 3% is actually fairly high for a regression involving a single instrument on the LHS.
Jul 22	revised	Currency Hedged ETFs elaboration and correction
Jul 22	awarded	Scholar
Jul 22	comment	What is the ideal ratio of in-sample length to out-of-sample length? Thanks for pointing out the reference to Aronson. It seems like a very thorough and well-written work, even though I would not have looked at it otherwise because the title is rather off-putting to one who prefers to make scientific investment decisions, whereas technical analysis is typically associated with subjective chart patterns.
Jul 22	accepted	What is the ideal ratio of in-sample length to out-of-sample length?
Jul 22	answered	Currency Hedged ETFs
Jul 22	answered	Are there any standard MBS coupon stack models?
Jul 22	answered	Should Sharpe ratio be computed using log returns or relative returns?
Jul 22	answered	Do low volatility stocks outperform high volatility stocks over the long run?
Jul 22	revised	What are the advantages of switching platforms/languages between strategy development and implementation? clarified question
Jul 22	comment	What is the ideal ratio of in-sample length to out-of-sample length? Thank you for your answer. I am generally a fan of Ernie Chan's book, and his blog as well. He gives good guidelines, but at least in this case he does not provide any justification for his recommendation. If no one else comes up with anything, then I think this would be the accepted answer.
Jul 22	revised	How we can forecast stock prices using chaos theory? Fixed link
Jul 21	awarded	Supporter
Jul 21	comment	Option trading API other than Interactive Brokers Anyone have any further information on Lightspeed? Seems cheap if you've got the $$ to invest, but I haven't seen much mention of this name before.