When I have a burger I feel better. I feel that there is some causation here, in particular because of I’ve got lots of statistical data to justify this! However, in practice, if we look away from burgers and at finance, it’s a bit more difficult to answer the conundrum of causation versus correlation. If…
Category: Macro
Foreign Exchange, General, Macro
Fooled by randomness?
by Saeed Amen •
Nassim Talib’s book entitled Fooled by Randomness, is a great read. The central premise is the idea that people mistake randomness for something meaningful. We always want to find an explanation or a cause for something, even if there isn’t one. Markets are inherently noisy. It isn’t always possible to understand “why” a market moved…
Data, Foreign Exchange, General, Macro, Python
Hundreds of quant papers/libraries from #QuantLinkADay
by Saeed Amen •
I tweet a lot, perhaps too much. The question is always what shall I tweet about? Sometimes it’s about burgers, other times it’ll be some puns or there might even be some vastly impressive observation in a tweet I make (well, perhaps not, but we can always hope!). Over the past 2 years, to give me…
Data, Foreign Exchange, Macro
The right type of market forecast
by Saeed Amen •
Every so often when I was working in a bank, someone would ring up, and ask me what our 5 year EUR/USD forecast was. Trying to create such a long term “forecast” is indeed very difficult. One way is to use a valuation model such as PPP, which attempts to gauge long term fair value.…
Data, General, Macro
The gorilla & Radiohead in the backtest room
by Saeed Amen •
A couple of years ago I remember visiting the opening of an art exhibition in Amsterdam, with a few of my friends from university. I can’t really recall many of the paintings, probably more a function of my memory, rather than the art itself. One thing I do recall was a painting a living room,…
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…
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…
Data, Macro
Delving into macro data & US trade deficit with Asia
by Saeed Amen •
Over the past few days, I’ve been in Singapore primarily to speak at TradeTech FX Asia on using Python to replace Excel when analysing FX markets. During the conference, some subjects came up regularly, such as the impact of politics on Asian markets, notably the election of Trump and also Brexit. Whilst, we might have…
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…
Macro
Why has that price moved?
by Saeed Amen •
Why? It’s the most insidious of words in the English language. It is so often easy to ask why, but somewhat more difficult to answer. I kind of like burgers, but ask me why, and perhaps the only way I could answer would be with something mundane like “they taste good”, and elaborate on that…