The stock market has rallied since the US presidential election in November, on the back of expectations that Trump will cut taxes and will increase spending. The reflation theme has seen US Treasury yields rise, accompanied by a stronger dollar. Whilst the dollar has come back lower over the past few weeks, UST 10Y yields…
Category: Foreign Exchange
Data, Foreign Exchange
Burgers, human and machine learning in trading
by Saeed Amen •
OK, I admit it I quite like burgers. However, what makes a good burger? I’ve had many (perhaps, some would speculate too many) burgers over the years. First, there is not necessarily a linear relationship between the price of a burger and the quality. Admittedly, the quality of beef in a fast food burger is generally…
Foreign Exchange
What’s the fair price for FX volatility?
by Saeed Amen •
The concept of long term fair value in FX is a somewhat difficult concept (indeed, you could extend the same comment to pretty much any other asset class), as we can define it many different ways. Perhaps we are thinking about what the long term fair value of a currency using some model, or perhaps,…
Data, Foreign Exchange, General, Macro, Python
Over 300 quant links from #QuantLinkADay
by Saeed Amen •
I’ve been tweeting regularly over the past few years, usually around quant finance, coding and also a bit on burgers. Last December I decided to regularly start tweeting a quant link every day, for which I used the imaginative hashtag #QuantLinkADay (yes, that hashtag took a lot of thought…!), to flag interesting quant papers (generally…
Foreign Exchange, General
The market & quant views in 2017
by Saeed Amen •
Quants spend a lot of time putting our long term views on what drive markets into trading models. It might takes weeks, it might take months, to build a trading strategy. Once deployed, the model takes market views. Quants then need to spend time to monitor to the model. Are the returns in line with our historical…
Data, Foreign Exchange
That’s more news to me
by Saeed Amen •
The field of alternative data is growing at a rapid rate. One of the most established forms of alternative data is that of machine readable news. The amount of news available is expanding very quickly. By making it machine readable, it is possible to digest much more news than would be possible for a human.…
Data, Foreign Exchange
Elections, markets and alternative data
by Saeed Amen •
I was in New York during election week. The timing had been more of a coincidence than anything else. The main reason I had gone to New York was to meet clients. I wanted to better understand how investors were thinking about alternative data and quant approaches to markets (and of course, to try out…
Foreign Exchange
Implications of a Trump Victory on FX Markets
by Saeed Amen •
Iain Clark (author of Foreign Exchange Derivatives Pricing: A practitioners guide – Wiley) and I, took a quant approach to analysing the US presidential election in the below short article, which was featured in the Sunday Telegraph. The big question is of course who’s going to win the US presidential election? That’s obviously a difficult question!…
Foreign Exchange
Modelling the Fed for macro traders
by Saeed Amen •
The closest I’ve been to Jackson Hole, Wyoming, is walking past a burger joint called Jackson Hole in New York City. However, this article is about the Fed! Annually, at this time of year, the Federal Reserve Bank of Kansas City, organises a economic policy symposium at Jackson Hole, which often features a speech from…
Foreign Exchange
Capital flows and FX
by Saeed Amen •
When data is irritating to get hold of, guess what, folks don’t bother looking at it (or at the very least fewer people take a look at it). When it comes to FX, one dataset which seems to suffer from this is capital flow data. First what are capital flows? To quote that arbiter of all…