Sometimes, it’s obvious what you want to buy. If you go to a burger joint, you probably want to buy a burger, right? No one goes to a burger joint for a salad (or at least I don’t). However, if we take a step back, what type of burger you’ll order, depends on the place.…
Category: Data
Data, General
Predicting the past
by Saeed Amen •
Remembering the past isn’t always easy. I can remember the very worst P&L days of models when I was in a bank (and precisely what triggered the event). Can I remember the best P&L days..? Not a chance. Does that mean there were no good P&L days? Thankfully there were! With burgers, by contrast, I…
Data, Foreign Exchange, General
Decomposing flows in FX
by Saeed Amen •
If you’re busy during the workday, it’s unlikely you are going to take much time choosing where you go to lunch. You just want to get something to fill you up. By contrast if you’re on holiday, then you might take a bit more time about selecting somewhere to eat. You’ve got more time, and…
Data, Foreign Exchange, General, Macro
What everyone else is trading
by Saeed Amen •
When visiting a new place, there are a number of ways of deciding where to eat. One way would be to check a website like trip advisor. However, you might feel that this isn’t the best way to research this. Perhaps a more authentic way to find a nice place to eat is to simply…
Data, General
First steps when exploring data
by Saeed Amen •
It’s exciting travelling to a new place and exploring it. No matter how prepared you might be, it’s always different when your actually there. Photos are useful for points of reference, as might travel guides, yet they always miss parts of the travel experience. Revisiting a place after many years, adds to the mix memories,…
Data, General, Macro, Python
Hundreds of quant papers from #QuantLinkADay in 2021
by Saeed Amen •
Over the past few years I’ve been tweeting a daily quant paper (or quant related library or similar) every day with the #QuantLinkADay tag. The initial objective was to make sure that my Twitter account @saeedamenfx posted at least some useful quant link of information (and to prevent Twitter followers being overrun by burger tweets,…
Data, General
Your data first, then external
by Saeed Amen •
It’s always tempting to look further afield when travelling. I’m not suggesting that we shouldn’t travel further afield, it’s just that we often negate what is sitting right on our doorstep. Over the past year, many of us have spent far more time at home then we would ordinarily or in the area where we…
Data, General
Thematic vs persistent datasets
by Saeed Amen •
In big cities, there is always a flavour of the month. A new restaurant opens, and amid a lot of buzz, it’s impossible to get a table. After a while, the fuss dies down, and it’s suddenly a lot easier to get a table. Then there are other restaurants, which aren’t particularly fashionable, but serve…
Data, General
Free isn’t always free with data
by Saeed Amen •
That burger you like. It looks cheap. But then you have to pay for the cheese. Then you have to pay for an onion ring. Then you have to pay for the chips. Want to upgrade to a “wagyu” patty (and no never do this), another way to extract a few further coins from you.…
Data, Foreign Exchange, General, Python
Backtesting for FX options
by Saeed Amen •
It’s been a while since things were normal, however, in some parts of the world things are slowly opening up. Travel has begun to open up around the world. I thought it would be worth taking advantage of this to travel myself. Some things haven’t changed, like flight delays, queues etc.! Other things clearly have…