Let’s say you want to have a Whopper, but there’s a shortage of some of the ingredients, let’s say tomatoes. To increase your chance of getting a full burger without any missing tomatoes, you could try going to multiple Burger King restaurants. However, this is probably going to be a futile exercise if there’s a…
Author: Saeed Amen
Data, General
Dealing with rare events in financial models
by Saeed Amen •
Harold Macmillan, the British prime minister between 1957-1963, was once asked, what was the most challenging thing he faced. His reply was “events, dear boy, events”. It may well be an apocryphal, and it has been suggested that he instead said “the opposition of events”. Politics is obviously not the only place, where events have…
Data, General, Macro
When should you release a model in production?
by Saeed Amen •
What’s the general process for buying a burger from a restaurant? You look at a menu, you order, and the waiter or waitress returns to your table, with a burger, ready for you to eat. They might offer some additional condiments, and then you can enjoy your burger. Next time you go to the restaurant,…
General, Macro, Python
ChatGPT and forecasting macro
by Saeed Amen •
First off, and possibly this might disappoint some, this post is written by a human, who has a certain penchant for burgers, as opposed to ChatGPT, who prefers to digest CPU cycles and TCP packets. Twitter and LinkedIn are awash with examples of questions for ChatGPT and their answers. I have to admit some of…
Data, Foreign Exchange, General, Macro, Python
Hundreds of quant papers from #QuantLinkADay in 2022
by Saeed Amen •
If you follow me on Twitter (@saeedamenfx), you’ll notice that I post a lot of stuff about burgers (yes, I do like them). In an effort to make sure that I at least regularly post quant content (as opposed to burger based tweets), I started posting a daily link under the #QuantLinkADay hashtag. Usually these…
Events, General
QuantMinds 2022 Barcelona
by Saeed Amen •
It’s been thirty years since Barcelona held the Olympics. Whilst I never visited the city before the Olympics, it’s difficult not to notice the impact of the event. You can see this in many areas of the city, such as in the seaside, where the beachfront was developed. The legacy of the Olympics in Barcelona…
Events, Foreign Exchange, General
TradeTech FX in Amsterdam
by Saeed Amen •
Amsterdam is a city that I haven’t visited for a while. I’m glad to say not much has changed since my last visit: the rain (yes, I seem to pick the worst days to visit), the canals and more. It’s one of those large cities, which somehow manages to retain a small town feeling, and…
Data, General, Macro
The importance of independent forecasts
by Saeed Amen •
Sometimes we can really predict the future. These days weather forecasters ingest massive amounts of data to come up with their forecasts. Admittedly, they are not always 100% accurate, but they are noticeably more accurate than they were say 20 years ago. In financial markets, the likelihood of being extremely accurate in predicting the…
Data, General
What is “good” for a model?
by Saeed Amen •
If we have no reference, we have no way to compare. If you’ve never had a burger before, there’s no point of reference for what a burger tastes like. Of course, there will be other points of reference, maybe a steak you’ve had before? Or if it’s a veggie burger, then perhaps tofu? It isn’t…
Data, General
Machine learning for data cleaning
by Saeed Amen •
Every data scientist wants to do the fun stuff, ie. building models! You might be forecasting a variable. Perhaps you are classifying a variable into a specific group. Machine learning is usually part of this, whether it’s a simpler linear model or something more complicated that can take into non-linear relationships, whether that is a…