The one thing we really want to know when making trading decisions, is the future! Alas, we don’t have that information! All we do have is information up until the point we actually want to trade, and have to somehow use that to make a prediction about the future price. Ok, this is blatantly obvious…
Category: Data
Data, General, Python
Data science in a database?
by Saeed Amen •
If you have a burger, a pretty important part is the patty. If the patty is awful, the rest of the burger is going to be pretty bad. However, just having good beef is not sufficient. You can overcook it, put too little fat in the patty, and ruin the beef. In a sense, data…
Data, Python
Moving from Matlab to Python
by Saeed Amen •
What’s your favourite burger joint? This is probably the question I get asked most. Perhaps a more relevant question I get asked, is what are the best ways to move from Matlab to Python. For many financial firms, it is a very pertinent question. I used Matlab extensively during my career, particularly when I was…
Data
What does a quant need from alternative data?
by Saeed Amen •
Quants like data, in the same way I like burgers. Quants like to consume data to come up with ways of forecasting the market. The most important dataset is usually market data. However, there are all sorts of other interesting datasets that can be used to help forecast those market prices. In recent years, the area…
Data, General, Macro
Crowdsourcing in markets
by Saeed Amen •
What is crowdsourcing? If we ask Wikipedia, it tells us that it “is a sourcing model in which individuals or organizations obtain goods and services. These services include ideas and finances, from a large, relatively open and often rapidly-evolving group of internet users; it divides work between participants to achieve a cumulative result.” Within a trading context, how…
Data, General
Data, trend following and more
by Saeed Amen •
One of the historical bedrocks of many quant funds, in particular those known as CTAs, has been trend following strategies. Funds such as Winton have largely been known as trend followers. Recently Risk.net published an interview with David Harding, the founder of Winton (link here and it’s well worth reading), alongside some of their thoughts. Harding…
Data, General
Where does alternative data fit in?
by Saeed Amen •
I often get asked about where alternative data can be used during the investment process. In practice, I think the key point about alternative data, is that it isn’t an “alternative” to traditional data sources. Furthermore, very often you want to combine various alternative data sources together to generate a signal. This also means combining…
Data, Foreign Exchange, Macro
Want to use machine readable news to trade?
by Saeed Amen •
Before the written word, information flow was severely limited. Whatever, wasn’t in human memory was basically lost. To use a computing parallel, it was as if everything was in volatile memory. By constant, having the written word, meant we could store words on long term storage mediums, such as stone, later paper and now digitally.…
Data
Cleaning data for trading
by Saeed Amen •
Nobody likes doing the boring stuff. We all want to go on holiday, but packing our bags is not the fun bit. We all want to have a nice burger (well, I do), but queuing for ages at an ever popular burger joint is not what we want. Traders all want to have positive P&L,…
Data, Events, Foreign Exchange, Python
QuantCon NYC 2018 review
by Saeed Amen •
John Fawcett, founder of Quantopian with Rich Newman, FactSet A big reason people visit New York is for the burgers, right? You’ve got Shake Shack, Minetta Tavern, the Burger Joint… I could construct quite a long list. OK, that’s probably just a reason which encourages me to visit New York! At the end of…