Hands up, if you’ve heard the words “alternative data” being used in quant circles recently? I can see a lot of hands up! I could ask the same questions for machine learning and artificial intelligence, and probably get the same reaction. The crux of any good trading strategy is using data as an input and…
Category: Data
Data, Foreign Exchange, General
At the chart of the matter & finding market patterns
by Saeed Amen •
I recently retweeted a link to a rather interesting tutorial on machine learning given by Google. One of my Twitter followers (@grodaeu) replied ‘totally missed opportunity to go “Learn machine learning by taking the same machine learning course 10000 times’. Ok, so I chuckled a bit after reading that reply. However, it did make me…
Data, Foreign Exchange, Python, TCA
Why create an open source FX TCA library?
by Saeed Amen •
The idea of transaction cost analysis (TCA) has been around for years. As the name suggests, it is analysis that can be done to understand how much you are paying for your trading. At its simplest level, it can involve calculating the slippage between the market mid and your executed price. If we are doing FX…
Data, Foreign Exchange, Python
Data for analysing cryptocurrencies
by Saeed Amen •
Currencies have been around for a while. For developed markets we have had freely floating currencies since the 1970s, so you have copious amounts of data to backtest. Many emerging markets currencies also have a reasonable history. There are of course complications, such as different currency regimes, where currencies have been pegged for part of…
Data
How much to pay for alternative data?
by Saeed Amen •
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…
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…