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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Jan 17	comment	Any research paper on stop loss? Hi Siddharth, welcome to quant.SE and thanks for your question. I look forward to seeing you around.
Jan 9	comment	Can a higher P/E ratio be beneficial under certain circumstances? @楊祝昇 Perhaps some day there will be, but at the moment there doesn't seem to be much demand, only 20 followers for Investment Banking (note: this proposal is really more about professionals working at investment banks than banking per se).
Jan 8	comment	Can a higher P/E ratio be beneficial under certain circumstances? @楊祝昇 I wouldn't really consider this question "professional", it may be welcome on money.SE, as it is a personal investing question. Sean, let me turn the question around. Why would the market be willing to pay 20x EPS after earnings rise? If b/c the move was unexpected, then of course the stock will rise. If the move was actually less than expected, the P/E will likely drop quite a bit. The point is that P/Es are unstable, and high P/Es certainly aren't beneficial by themselves.
Jan 6	comment	How do different methods and techniques used in pairs trading compare? Which Johansen paper are you referring to?
Jan 5	comment	How does an option's time value depend on moneyness? @rtybase I re-wrote the question since it was very muddled and confusing as originally written. Nevertheless, I did not get the impression that a misunderstanding of the meaning of moneyness or of time value had anything to do with it.
Jan 5	comment	How does an option's time value depend on moneyness? Great graph, I think this pretty conclusively answers the question. I just switched up the formatting to put the answer to the question at hand first.
Jan 4	comment	Are there quantitative models which can guide one's choice of target risk? Please vote on a topic for next week!
Jan 4	comment	How do you mix quantitative asset allocation with qualitative views? Please vote on a topic for next week!
Jan 4	comment	How can higher co-moments be applied to portfolio optimization in an asset allocation context? Please vote on a topic for next week!
Jan 4	comment	Why do expected return models and risk models use different factors? Please vote on a topic for next week!
Jan 4	comment	How can higher co-moments be applied to portfolio optimization in an asset allocation context? Yes, you certainly can. I do recommend you wait a couple days until people have had a chance to digest this question, though. Or submit your own thoughts on this question first, as an answer.
Jan 4	comment	How can higher co-moments be applied to portfolio optimization in an asset allocation context? This is a good question, although it needed some editing for clarity. This is generally not a problem, so long as you make an effort to express your question as clearly as possible, others can come in later to improve the English.
Jan 4	comment	How to account for jumps in intraday data when calculating beta? This answer is much better than your previous answers. Keep it up.
Jan 3	comment	How do you mix quantitative asset allocation with qualitative views? @SRKX No problem, perhaps I will later after giving some others a chance to answer.
Jan 3	comment	How does an option's time value depend on moneyness? I don't see how linking back to a wikipedia page mentioned in the question helps. We are looking for something more than what is on that wiki page.
Jan 3	comment	How do you mix quantitative asset allocation with qualitative views? Black-Litterman?
Jan 3	comment	How do you remove expected returns from asset allocation strategies? I'm not sure if there are any more besides those we've mentioned in previous questions, such as Choice of prior as a shrinkage target in portfolio construction? and What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework? Still, I look forward to reading others' thoughts.
Jan 3	comment	accumulation/distribution and options to create excessive position to hit the tape with later This practice is (a) illegal, and (b) very difficult to pull off in practice and may require huge sums of capital.
Jan 3	comment	Which indices to use for an equity vs. fixed-income portfolio simulation? @Belmont a question about where to get the data would be a duplicate of this and would be closed. Furthermore, this site is for professionals and academics, who would presumably have access to this data from their employer or university.
Jan 3	comment	What are some of the major quantitative approaches to tactical asset allocation? @olaker I know, I just think that in light of the linked blog post, the SE team feels this is an incorrect practice based on a common misunderstanding. Having made these mistakes in the past is no excuse to keep on making these mistakes.