Everything is connected. As each year passes, this becomes even more true. I’ve lost count of the number of the devices I own, which are connected to the web, my computer, my phone, my watch, my printer etc. Skype skyping (if that is a verb), phones phoning, Twitter tweeting, e-mails e-mailing, IB chats chatting.. it’s got…
Category: General
General
What I’ve learnt from trading
by Saeed Amen •
Over the past decade, whilst I’ve always been a quantitative strategist and developed many strategies primarily for research purposes, I’ve had quite a bit involvement in creating models which have also been traded with real cash. At Lehman Brothers, I was involved in the creation MarQCuS product, which had over 2bn USD under management. I created…
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…
General, Python
Should I learn new programming language Julia?
by Saeed Amen •
Throughout the years, I’ve learnt many programming languages, starting with BASIC and its variants over two decades ago. Since then, I’ve done projects in numerous other languages, including perhaps more unusual languages like Haskell and Prolog, and more common ones such as Java and C, when I was at university. Through my working career, I’ve dabbled…
General
And Now for Something Completely Different
by Saeed Amen •
I usually write blog articles about the market or the quantitative aspects of analysing them including Python. As a bit of an experiment, I ran a Twitter poll, asking whether I should try something a bit different for a blog post, should I write my next blog post about burgers? Somewhat to my surprise, a…
General, Python
Building a quant platform
by Saeed Amen •
I recently went to a talk at the Python for Quants group in London started by Yves Hilpisch, which featured a talk by Mark Higgins, the co-founder of Washington Square Technologies. Mark’s talk was about the benefits of a quant platform, which can help when it comes to working together in a team. The general idea…
General
What It Was Like To Work At Lehman Brothers When It Collapsed
by Saeed Amen •
This article first appeared in Business Insider on 30 Sep 2014 It has been six years ago this week, when I could say that green was our color. It wasn’t a bright green, but a dark, somewhat dignified green, like the shade which adorned British racing cars for much of the twentieth century. It was…
General
Macro markets after Brexit
by Saeed Amen •
Watching the price action during Thursday evening brought back memories of the Lehman bankruptcy. This was especially true when observing GBP. A move in any currency of 10% within a short period is highly unusual, with GBP/USD moving from a high of 1.50 to a low of 1.32. In a paper, by Iain Clark and myself,…
General
Brexit expectations
by Saeed Amen •
I kind of like burgers. Yes, it’s true. (Please do bear with me, there will be a pertinent market related point to his discussion, by the next paragraph). I also would speculate that most people like burgers. Admittedly, this is a broad generalisation. However, for the sake of our example, we’ll simply make that assumption. However, perhaps the more…