It takes time to research financial markets. From a quant point of view, the aim is always to build models which are generalised, which can work for many assets, whether they are indicators, trading strategies etc. One such model is a trend following strategy. The same trend following algorithm can be applied to futures across…
Category: Foreign Exchange
Data, Foreign Exchange, General, Macro
Markets and their seasons
by Saeed Amen •
Over the past few weeks, spring has arrived, in what has been a very challenging period across many countries in the world. Looking outside, it’s a time of new beginnings, thankfully making a change from the past few months of winter. Markets have their seasons too. Some might actually mirror the actual seasons outside. …
Data, Foreign Exchange, General, Macro
Mind the gap risk
by Saeed Amen •
Financial markets are not generally open continually. Cryptocurrency markets by contrast, are open all the time. If you want to trade Bitcoin over the weekend you can. There are also various weekend markets on some smaller platforms, where you can speculate on assets like Dow Jones. If a market is closed and a big market…
Foreign Exchange, General, Macro
An option room with a view
by Saeed Amen •
Let’s say I want a burger. The easiest way to have a burger in a restaurant is to order one, right? Alternatively, we could order the whole menu, which happens to have a burger in it. We’ll end up eating a lot more, but I suppose we’ll still get to the same objective. In…
Foreign Exchange, General, Python
Using vaex to do Python calcs with 30x speed up
by Saeed Amen •
Within finance, time series data is usually the bedrock of most analysis. If we’re using Python, what are the best ways to analyse this data? In this article, I discuss the various time series library available in Python. In particular, I focus on the vaex library in Python for dealing with large time series datasets,…
Foreign Exchange, General, Macro, Python
Getting started in FX
by Saeed Amen •
It always difficult to know where to start, when it comes to areas in finance. There is so much to read, so what to start with? Furthermore, the more you read and the more years that pass, it becomes even more obvious that there is less you know. I remember back in 2005, when I…
Foreign Exchange, General, Python
Research impact of delta hedging with Python
by Saeed Amen •
One of the things which I found confusing at first with options, is the fact that lots of the folks trading them, don’t really have a view about whether the spot price will go up and down. They are basically trading the volatility parameter from options pricing models (Emanuel Derman explains the point about trading…
Data, Foreign Exchange, General, Python
Calculating FX total returns in Python
by Saeed Amen •
If you want a train, you have to build a train track. It doesn’t matter, if it’s a steam train or bullet train, or any other train. It’s a prerequisite. No track kind of implies the train can’t run. Obviously, each train needs a different type of track, but ultimately the principle is the same…
Data, Foreign Exchange, General, Macro, Python
Hundreds of quant papers from #QuantLinkADay in 2020
by Saeed Amen •
This has been a challenging year by pretty much any other standard. I remember when I was kid, and heard the year 2020, it sounded very exciting. It’d be like Back to the Future, with hoverboards and flying cars. Instead, 2020 has been all about the coronavirus. Whilst I’ve been lucky enough to be safe…
Foreign Exchange, General
Trading FX for corporates
by Saeed Amen •
Why do folks go to burger joints? I suppose one obvious answer is for burgers. However, that’s not the only reason, right? It’s also to socialise, to chat with your friends and family. Otherwise, you might just choose to sit at home and make your own burger (or at these point for lockdown reasons). Or…