Let’s say you had to identify a city you’d never heard of on a map. Let’s take a city chosen at random, Stockton and you wanted to identify which country it is in. You have with you a list of every single town in the world, alongside its country. A simple brute force way to…
Category: General
General, Macro
Isn’t passive, a bit active?
by Saeed Amen •
Over the past few years, passive strategies have increased significantly in popularity compared to active strategies. This is perhaps not surprising given that stocks have been pretty buoyant and as a result passive strategies which track a broad based equity indices have performed relatively well. The argument is that passive strategies have very low fees…
Foreign Exchange, General
Brexit and GBP from here
by Saeed Amen •
Whilst, I mainly focus on markets from a quant perspective, I find it instructive to follow the market, in particular when it comes to understanding big picture events and their impact. At present, perhaps one of the biggest themes in markets is that of Brexit. “What’s done cannot be undone”, Shakespeare wrote in Macbeth. Article…
Events, General, Macro, Python
Quant solutions for macro traders
by Saeed Amen •
Over the past two weeks I’ve been travelling in Asia to Singapore and Japan, my mind simultaneously awash with discovering new places and a sampling of local burgers (yes, I make it a duty to try burgers whichever part of the world I’m in…). The first week was for work, and the second week was…
General
Themes from Newsweek’s AI data conference
by Saeed Amen •
The first time I dabbled in artificial intelligence was nearly 15 years ago. I remember seeing that artificial intelligence was the title of a module at Imperial College in the Department of Computing. The term seemed pretty glamorous, so I took the plunge and did the course. We used various techniques to solve puzzles like sliding tiles and…
General
Solve communication overload by travelling
by Saeed Amen •
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…
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…