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: General
Data, General
The unknowns in markets and alt data
by Saeed Amen •
Every year that passes, it seems to become clearer that there is even more I don’t know, in particular those areas where I’ve worked the most, financial markets. If it’s a new area, then it’s a lot easier to assume you know than you know, because you are shielded from a lot of the complexities.…
Data, General, Macro
So what can NLP do for financial firms?
by Saeed Amen •
There’s more than one meaning for NLP, which you might encounter. If you Google it, one of these is Neuro Linguistic Programming, and techniques of communicating with other folks. Well this post is absolutely nothing to do that! Instead, it’s to do with the NLP, which occupies more of my time, natural language processing. In…
Data, General, Python
Working with time series in Python
by Saeed Amen •
In the dim and distant past (let’s call this 2007!) if you wanted to work with time series, you might have to resort to writing your own time series library. When I say a “time series library”, I’m not really talking about any sophisticated techniques for manipulating time series. Instead, I’m talking about ways of…
Data, General, Macro
Quantifying Politics
by Saeed Amen •
We all know that politics impacts markets. However, it can be tricky to understand how to quantify political risk and use it as an input in the investing process. Here we take an updated look at the returns from applying Thorfinn’s political indices to trade a basket of macro assets. During our sample period from…
General
Investing as football
by Saeed Amen •
It’s Euro 2020. Suddenly, everyone (including myself) is temporarily a football expert. I pretty much know nothing about tactics when it comes to football, but I do know something. You have to score goals to win. However, even that needs the caveat that, this needs to be done, whilst preventing the opposition from scoring. Ok,…
Data, General, Python
Downloading Bloomberg data with findatapy
by Saeed Amen •
If I say burger, you’ll probably think of several things, maybe McDonald’s or Burger King for starters. They are the ubiquitous purveyors of all things burger related wherever you are in the world. Sure, there are other burger joints, but they don’t have the same wide reach as the massive chains like Burger King. I…
Data, General
Budgets and alternative data
by Saeed Amen •
We all have budgets in mind for certain things. If someone offered me a burger for 1000 GBP, well, I’d probably have to politely decline. If someone offers me a house for 1000 GBP, well, that seems like good value! Our budgets are related to what we perceive as being “good value”. Ok, that’s fairly…
Data, General, Macro
Forecasting or nowcasting?
by Saeed Amen •
We all want to forecast what’s around the corner? However, perhaps a more pertinent question, which we might seek to ask is the following, is this actually a corner? In a nutshell, that is the difference between forecasting and nowcasting. Forecasting is all very well and good, but it isn’t particularly easy. Nowcasting is more…
Data, General, Python
S3 less Audi more Amazon
by Saeed Amen •
When I hear S3, I still think of the Audi S and RS models, those high performance variants and Audi’s versions of the BMW’s M series. I’ve got to admit, there is something a bit more special about a BMW M5 compared to an RS6, but I’ve never driven either to confirm that (any comments…