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…
Category: Data
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.…
Data, General, Python
Quant skills for discretionary traders
by Saeed Amen •
Fashion is one of those things I think I might follow. In practice, the only times I end up being fashionable, is when the fashion world somehow meanders back to my taste. I used to wear a Casio G-Shock watch for many years, which I admit was hopelessly unfashionable for most of that time. Then…
Data, General, Macro
The gorilla & Radiohead in the backtest room
by Saeed Amen •
A couple of years ago I remember visiting the opening of an art exhibition in Amsterdam, with a few of my friends from university. I can’t really recall many of the paintings, probably more a function of my memory, rather than the art itself. One thing I do recall was a painting a living room,…
Data, General
Mistakes when backtesting trading strategies
by Saeed Amen •
You know how it feels. Time has come and gone, and still no progress. Then hours later, you’ve found the mistake, and you’re absolutely kicking yourself. Coding is very much a case of trial and error. You just need enough stubbornness not to give up to get your code to run properly. Most of the…
Data, General
Quant trading strategies which float
by Saeed Amen •
I had many different types of toys. My favourite was Lego. It was kind of cool (and even cooler these days judging by the ever wackier Lego sets you can buy these days). You can create a new toy each day out of Lego. All you needed was some imagination. However, there was always an…
Data, General
Know what you don’t know with data
by Saeed Amen •
Let’s say you had to identify a city you’d never heard of on a map. Let’s take a city chosen at random, Stockton and you wanted to identify which country it is in. You have with you a list of every single town in the world, alongside its country. A simple brute force way to…
Data
Calling corporates, monetise your data!
by Saeed Amen •
I’ve been looking at markets for over a decade. Throughout my career, I’ve always been looking to find unusual and exciting datasets to shed new light on markets and find alpha. Back in 2008, I published an article for Lehman Brothers FX Research examining the use of Google Trends to trade currencies, which was a…
Data
Painting in the colour of alternative data
by Saeed Amen •
I must preface what I’m about to write, by stressing I know very little about art. I like photography, but in terms of “creating” art, I haven’t strayed beyond that. I might just about be able to pick out a Picasso, recognise a Rembrandt or memorise a Mondrian, but that’s about it. However, what little I do…
Data, Macro
Delving into macro data & US trade deficit with Asia
by Saeed Amen •
Over the past few days, I’ve been in Singapore primarily to speak at TradeTech FX Asia on using Python to replace Excel when analysing FX markets. During the conference, some subjects came up regularly, such as the impact of politics on Asian markets, notably the election of Trump and also Brexit. Whilst, we might have…