How much is something worth? The simplest definition is the price someone is willing to pay for it. Is a Leonardo da Vinci painting worth four hundred and fifty million dollars? Someone was willing to pay that much for it (and another party was willing to sell it them for that amount). Such a market…
Category: Data
Data, Foreign Exchange, General, Macro, Python
Hundreds of quant papers/libraries from #QuantLinkADay
by Saeed Amen •
I tweet a lot, perhaps too much. The question is always what shall I tweet about? Sometimes it’s about burgers, other times it’ll be some puns or there might even be some vastly impressive observation in a tweet I make (well, perhaps not, but we can always hope!). Over the past 2 years, to give me…
Data, Events, General
Interpretation talks at NIPS
by Saeed Amen •
“I model for a living”. If I had said that to my friends, I suspect it would be greeted by laughter. The closest I’ve been to a catwalk, is seeing, well a cat walk. Obviously, when I say, model, I mean quantitatively model. Without any sort of context, most people would likely interpret it from…
Data, General
Time series workshop at NIPS
by Saeed Amen •
I was recently at NIPS, a week long conference on machine learning. With over 8000 attendees, a new record for the event, it is one of the biggest conferences dedicated to machine learning. In the coming weeks, I’m looking forward to writing about the various subjects discussed at the event, including my general takeaways. In…
Data, General
Machine learning the mundane
by Saeed Amen •
Try to think of the “buzziest”, buzzwords you can think of. Support vector machines? No. Random Forests? No. However, group these together (and much more) under the umbrella of “machine learning”, and suddenly we have created a buzzword! The basic idea of many of the techniques which underpin machine learning is find relationships between variables. In particular,…
Data, General
Crowdsourcing alpha (with consultants?)
by Saeed Amen •
San Francisco is nearly 2000 miles further away from London than New York. However, despite that, San Francisco sometimes feels closer to home. Whilst there are some high rise buildings in San Francisco, these are restricted to a relatively small area around the financial district. Much of the city consists of low rise housing, just…
Data, General
Mies, hard work, simplicity & trading
by Saeed Amen •
“Architecture starts when you carefully put two bricks together. There it begins.” That’s a quotation from Ludvig Mies van der Rohe, the famous German-American architect. I recently visited one of his buildings, his famous Barcelona Pavilion, which is partially pictured above. Whilst the scene might look exceptionally modern, the original building was erected in 1929…
Data
Learn from data scientists everywhere
by Saeed Amen •
It is claimed that the burger was invented in 1895, in a restaurant called Louis’ Lunch in New Haven in Connecticut. There are of course other counterclaims (my own personal belief, for which I’ve found very little evidence, is that it has something to do with the city of Hamberg). However, what is certain is…
Data
An alternative data meal needs to be cooked
by Saeed Amen •
Cooking is perhaps not my forte. My culinary abilities do not extend much beyond extremely simple dishes, but I’m nevertheless trying to improve, with the help of Jamie Oliver (well, his new book “5 ingredients” which seems to have been written for people like myself). I can rustle up a simple omelette. I can bake…
Data, Foreign Exchange, Macro
The right type of market forecast
by Saeed Amen •
Every so often when I was working in a bank, someone would ring up, and ask me what our 5 year EUR/USD forecast was. Trying to create such a long term “forecast” is indeed very difficult. One way is to use a valuation model such as PPP, which attempts to gauge long term fair value.…