It is challenging to understand how to model external shocks when trading financial markets. However, in recent years, it has become particularly notable that these risks, such as Brexit, the election of Trump, or coronavirus can greatly impact markets. Hence, we need to have a way to model them. In this paper we investigate the…
Category: Foreign Exchange
Data, Foreign Exchange, General, Python, TCA
Using Python to explore FX market microstructure
by Saeed Amen •
I am sure like most readers, I’ve lost count of the number of weeks since things were “normal”. When will things get back normal? Maybe weeks or more likely months? I suppose that using a Python function random.random(), might be the best approach here! However, in the meantime, I’ve been trying to work hard at…
Data, Foreign Exchange, Python, TCA
How to do TCA with tcapy in Python
by Saeed Amen •
Over the past few years, I’ve been working on tcapy, a transaction cost analysis library in Python, which I’ve recently open sourced. As a result I’ve been thinking about TCA for a long time. Why is it important to do transaction cost analysis on your trades? Ultimately doing TCA can save you money on your…
Data, Foreign Exchange, General, Python, TCA
How to speed up Python and TCA
by Saeed Amen •
Somewhat abusing a quotation by Dickens, coding is the best of times and also the worst of times. The worst of times are those hours spent debugging, what appears to be some innocuous code, that throws an exception for some totally inexplicable reason. When you find the problem it is usually something which was incredibly…
Data, Foreign Exchange, General, Python, TCA
Cuemacro’s TCA software is now open sourced
by Saeed Amen •
It’s a difficult time at present around the world. You obviously don’t need me to tell you that. Let’s hope that we can conquer the coronavirus soon and we all give thanks for those on the front lines, working in hospitals caring for the sick, those working in supermarkets and all those keeping society going…
Foreign Exchange, General
Correlations and trading
by Saeed Amen •
Correlation not causation. Ok, we’ve heard that thousands of time before. The difficulty is that we cannot simply ignore correlation if we are trading financial markets. The relationships between different assets and other data is often crucial to forecasting the market. If we were forced to ignore it, you’d end up ignoring so much data…
Data, Foreign Exchange, General, Python
Hundreds of quant papers from #QuantLinkADay in 2019
by Saeed Amen •
I probably tweet too much. Some tweets are on burgers (well, they are pretty important I suppose). Other tweets will constitute puns, which I find mildly amusing, but most term as “dad jokes”. Among all of these tweets, there is also stuff about Python and quant more generally. In particular, I tweet out #QuantLinkADay, which…
Foreign Exchange, General, TCA
Get FX TCA for a one off transparent cost
by Saeed Amen •
Nostalgia. Ah yes, things were always better before. Well, sometimes, but perhaps not always. The key thing which was different in the past, is of course us: we were younger. Perhaps a yearning for past isn’t so much for a world that existed before, but for our younger selves? When it comes to markets,…
Foreign Exchange, General, TCA
Cutting the huge costs of eTrading desks with tcapy
by Saeed Amen •
If you read my column, you’ll probably know I like burgers and make any excuse to mention them. Today is no exception! Let’s say that today, I wanted to open a burger joint. Ok, I’m no chef, but I think I can probably make a burger. Rather than simply buying a ready made building to…
Data, Foreign Exchange, General, Macro
Read the Fed through NLP
by Saeed Amen •
It’s easy to miss things. However, we simply don’t have enough time to do everything. I like burgers, and I usually use this blog as an excuse to talk about them. Bear with me for a moment, there is a point to this! Let’s say I wanted to find out the best burger in my…