# Tal Fishman

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bio website lordabbett.com location New York age 33 member for 3 years, 8 months seen Jan 7 at 15:59 profile views 2,064

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.

 Mar13 comment how to identify similar assets based only on a few price samples Are you trying to do performance attribution on this fund? This may be problematic, as they are a TAA fund and the exposures can be expected to change unpredictably over time. Without in-depth conversation with the managers, I think it is impossible to know what they are really doing. If you are familiar with the industry, though, you can often read between the lines in their public marketing messages. Mar12 comment Is it possible to demonstrate that one pricing model is better than another? +1 for the hedging comment. Black-Scholes may be convenient as a pricing tool, but if the goal of your model is to come up with accurate deltas, different models may make a huge difference, and these models should be judged based on how well they explain market movements. Mar12 comment Is it possible to demonstrate that one pricing model is better than another? @QuantGuy Good point, but to be fair to athos, realized volatility, measured as quadratic variation, has also been shown to be inversely related to price (known as the leverage effect). Feb10 comment How to calculate cumulative loss from two factors that have negative correlation? Where did you get that? What does that formula even mean? Feb10 comment What's the connection between implied vol curve of SPX and SPY? The differences will be driven by technical details in the differences between the two markets, such as interest rates and dividend yields. Not a very interesting quant question, more of an annoying practical trading problem, kinda like the headache that is adjusting for day count conventions in fixed income. Feb10 comment How to calculate cumulative loss from two factors that have negative correlation? I don't get it, what do you mean "anticipated loss"? If you mean expected loss, the answer is simple, investing in both equally would lead to an expected loss of 40%. Expected returns are linear in the weights. Feb7 comment What weights should be used when adjusting a correlation matrix to be positive definite? @AdAbsurdum your thinking sounds pretty solid to me, both liquidity and variability seem like decent weighting functions, but I haven't seen anything objective on that point. I agree, not really a new question, but could be added to the current question. Feb7 comment What weights should be used when adjusting a correlation matrix to be positive definite? @AdAbsurdum can you be more specific about the correlation pairs? Perhaps post a new question, if you feel it is worthy of its own question. Feb7 comment Where can I find data on the interbank lending market? @JoshuaUlrich Can this data be obtained via some pro service, for a fee? If so, then I agree, off-topic. If not, then let's edit the question to get rid of the "freely available" and keep it. Feb7 comment Where can I find data on the interbank lending market? @JoshuaUlrich We should not necessarily encourage data questions to be posted as "answers" on the data wiki question. Besides, this seems like the kind of data only a pro would care about, and wouldn't necessarily know where to find. The purpose of the data wiki question, IMHO, is to provide a community service for novices and non-pros. Feb7 comment Where can I find data on the interbank lending market? I think this may be a decent pro-level data question. Feb6 comment How to model the daily return using intraday data? Are you looking for an unconditional expectation or an expectation as of some specific time? Why would $E[r_t]=r_T$? This question sounds rather confused, and as currently stated appears to be "not a real question." Feb1 comment Home/hobbyist quant trading - possible to profitable or just an intellectual hobby? This is not a discussion forum. Please only ask answerable questions which have some hope of a reasonably objective "correct" answer. Jan30 comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? Thanks for your \$0.02. Problem with what you're saying is: #1 you can only sit down and chat with so many managers, plus only so many will even be willing to sit down and chat with you. For #2, that doesn't sound like a very sound systematic long-term metric. The point of the question (and the whole site, for that matter) is to get beyond vague generalizations and intuition and use some math to solve these problems. Your answer basically amounts to saying we should give up on trying to answer this question using quant techniques. Jan18 comment Python library for Portfolio Optimization Hi banjanxed, I followed the links you posted and neither have anything to do with portfolio analysis or MVO. Rather, this seems to be a general purpose library for handling time series and the like. Unless you can make the case that these links have something to do with the question, they will be deleted as SPAM. Jan18 comment Can duration gap analysis be applied to mortgages? Are you referring to individual loans or to mortgage backed securities? Is this from the perspective of the borrower or the lender? For MBS, calculating duration is a common but rather complex task. Jan17 comment Do bond credit ratings suffer from “ratings inflation”? Hi Investeem, welcome to quant.SE and thanks for offering your answer. Jan17 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. Jan9 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). Jan8 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.
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