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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453 Comments

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May 16	comment	GJR-GARCH Model In R Please note that, according to our faq, such questions are off-topic and should be directed to CrossValidated.
May 10	comment	Where to find introductory material on leveraged loans? @BobJansen I think asking for a tutorial on, say, corporate bonds, or even on mortgage-backed securities, might be off topic, but having worked on them myself, I think leveraged loans are sufficiently obscure and exclusively the domain of professional investors to make a simple request for a tutorial on-topic.
May 8	comment	Where to find introductory material on leveraged loans? Hi SQLCurious, welcome to quant.SE. I suggest you separate your questions about leveraged loans and commingled funds into two, and the tutorials you mention could easily be added to third and fourth questions that you can answer yourself. I've answered below regarding loans, as I don't know anything about commingled funds.
May 4	comment	Using volatility cycles to switch between trend following & range bound trading? -1 As always, this depends on the specific trend following system. Do your own testing. There is no substitute.
May 2	comment	Has high frequency trading (HFT) been a net benefit or cost to society? -1 Even if it is an engineering product (which is debatable) doesn't mean the economics of it cannot be studied. Economic studies of eBay abound.
May 1	comment	Has high frequency trading (HFT) been a net benefit or cost to society? Nice paper, thanks for posting (and for writing it, of course).
May 1	comment	How to annualize intra-day volatility on minute data? First, let me take the chance to say welcome and thanks for contributing to the site. Great contributions overall, and it is certainly OK to post links to your other answers. However, if you are not addressing the specifics of this question, it is best to leave these remarks as comments.
May 1	comment	Arbitrage between markets @Lirik you seem very confused about the definition of short selling. Please consult wikipedia. Some people have also found the money.SE helpful for such beginner questions regarding definitions.
Apr 27	comment	Arbitrage between markets @Lirik that presumes you have something in market A with which to buy X. Otherwise, you're still selling something short, Y or Z, in market A in order to buy X.
Apr 27	comment	Arbitrage between markets @Lirik No, you need to be able to sell short in order to do practically any sort of arbitrage.
Apr 27	comment	What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer? @BrianB Where on Bloomberg can I get these numbers? I know there are also some reduced-form models out there, and I just want to get a sense for a typical average hedge ratio.
Apr 27	comment	What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer? @SpeedBoots great paper on the theory, I just wish they discussed the actual numbers that came out of their analysis a bit.
Apr 27	comment	Arbitrage between markets The idea behind pairs trading is that you never actually exchange Y in one market for Y in another market, you just wait for the prices to cross.
Apr 26	comment	Why in general is the variance of volume changes higher than variance of price changes? @LazyCat just because you can doesn't mean you should.
Apr 26	comment	definition for “the viscosity” in financial market data series I see where they use it as an analogy, but it still looks like they do not directly apply the terms "viscosity" or "ease-of-movement" to financial time series. Also, your definition of ease of movement seems arbitrary. I do not understand why you would look at the absolute price change divided by volume. Also, since no trading takes place overnight, perhaps you should look at close - open? Perhaps look at log price changes? Perhaps log volume, too?
Apr 26	comment	Why in general is the variance of volume changes higher than variance of price changes? @babelproofreader while we cannot meaningfully compare the level or volatility of price and volume, the product still has a meaning, specifically it is the "dollar volume", and that is the basis of the money flow index. OBV refers only to the sign of changes in price, which is not so bad. In short, comparing price to volume directly BAD, taking the product of price and volume OK.
Apr 26	comment	Calculate a discount rate given a PV at some point in the future I'm afraid that was bad advice. I'm not sure where on SE you could get an answer to your question. Perhaps on some future marketing SE site.
Apr 25	comment	Calculate a discount rate given a PV at some point in the future This site is for professionals engaged in quantitative finance. This looks off-topic here.
Apr 25	comment	definition for “the viscosity” in financial market data series Did you make up this concept yourself? Is there any source for the use of the term "viscosity" in a financial context?
Mar 26	comment	Creating a financial market Those truly interested in this topic should also check out intrade.com, which hosts a variety of bets on all sorts of publicly verifiable events. If you have a bright idea, they even accept suggestions.