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	1,470

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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454 Comments

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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.
Jul 27	comment	Free paper trading site with an API @Zach I think your data fees are reduced by \$1 for every \$3 of trading fees, so generate at least \$30/month in trading fees if you want to avoid being billed for data fees separately.
Jul 27	comment	How can I learn about the quantitative aspects of market making in illiquid single stock options? @Soham if you are seriously interested in dispersion trading, you can do worse than Bossu's papers
Jul 27	comment	How to model the risk of a CFD @user1122 The RiskMetrics document is just pointing out two equivalent methods of modeling a CFD. The risks are the same. The risk of a futures position is also equivalent to the risk of a stock and a loan.
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 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	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	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	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 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.
Jul 21	comment	What are the advantages of switching platforms/languages between strategy development and implementation? I also looked at each of those other questions, and others, and I do not think any directly address the question of using one versus two languages/platforms for the two stages of development of the same strategy. Most previous questions discuss the relative merits of a complete switch. The closest one is this, but there the focus is more on performance and efficiency, which are less important for medium frequency trading.
Jul 21	comment	What are the advantages of switching platforms/languages between strategy development and implementation? It does not necessarily mean tick-level data, since for a medium frequency strategy it may be enough to get updates every 15, 30 seconds, or whatever, if the tick frequency is very high. I also suspect I'll be fine with Matlab, but the question is whether I am missing anything?
Jul 21	comment	How do I compare implied and historic volatility? @vonjd Thank you for the link! I have been looking for a digital copy of that paper forever!
Jul 21	comment	Free intra-day equity data source It is still not quite free, because you will have to either generate a minimum number of transactions per month or pay the non-pro data fee.