Vienna is one of those places which has somehow largely eluded my travels. The last time I visited it was 25 years ago. However, it has very much stuck in my memory. History is one of those things which you can never escape from in Vienna. The echos of musical history are everywhere, whether it…
Data, Foreign Exchange, General, Macro
Alternative data for FX
by Saeed Amen •
I recently visited the USA. I managed to visit a number of different cities. Whilst I was there primarily for work, I managed to squeeze in a few days to look around the various cities I visited. I visited Philadelphia for the first time, and I saw Independence Hall and the Liberty Bell, both of…
Foreign Exchange, General, TCA
Going with the FX flow
by Saeed Amen •
In this paper, we discuss using CLS intraday hourly flow data to understand FX markets. Using two different trading strategies (daily and hourly) against a generic trend model, we find that CLS’s flow data relating to funds and non-bank financial firms (NBFIs) tends to have a positive contribution to spot returns when viewed on an…
Events, General, Macro
Oracle of Omaha, Berkshire Hathaway 2019
by Saeed Amen •
The Old Market area of Omaha, harks to an earlier time, with its cobbled stone roads and old West architecture. It is the largest city in Nebraska today, and as “The Gateway to the West” it grew with the railways and today it is still home to the headquarters of Union Pacific the largest railroad…
Data, General
Progress in The Book of Alternative Data
by Saeed Amen •
After finishing my first book, Trading Thalesians: What the ancient world can teach us about trading today, I said to myself that I would never write a book again. After a few months, I pretty much forgot saying anything of the sort, and tried to think of something else to write. The difficulty though was…
Foreign Exchange, General, Python, TCA
Learn now, rather than later
by Saeed Amen •
I visited Paris several months ago before Christmas. I had been there many times. Despite that, I had never visited Notre-Dame. There was always some excuse why I hadn’t gone. Too far. Too near. Takes time. And so on. However, finally on this last trip I did take the time to visit. It was truly…
Data, Foreign Exchange, General, TCA
TCA usage across different asset classes
by Saeed Amen •
In London, burger joints have proliferated hugely in recent years. As result, there are simply too many and unfortunately some have closed (including my local favourite, a branch of Gourmet Burger Kitchen, this week). Despite, their proliferation, it seems as though we simply aren’t eating enough burgers, despite the fact, that I’m personally trying to…
Data, General
More words, less code from quants
by Saeed Amen •
LinkedIn often gets derided. Somehow it’s become the home of that motivational post, which usually revolves around the seven traits of successful people. I’ve never quite ascertained, why are there only seven traits for successful people. Why not, for example eight traits, or perhaps nine? The day of a successful person, according to these…
Data, Foreign Exchange, General, TCA
The Beatles.. and TCA for FX options
by Saeed Amen •
I’ve heard many explanations for how the Beatles got their name. I have to admit I never quite put two and two together to realise it could be a pun on the word “beat”, until someone on Twitter pointed it out a few months ago (despite my predilection for coming up with awful puns to…
Data, General, Python
Build or buy for quant tools
by Saeed Amen •
It’s always tempting to do everything yourself. After all, it’s easy to think I know best. I once tried to make macarons. Once my uneven mess of macarons emerged from the oven, I had a much better understanding of what motivated people to buy macarons from Pierre Hermes. Subsequent attempts at baking them proved more…