I recently attended the Open Data Science Conference (ODSC) in London. The very first presentation was given by Gael Varoquaux. One of the first questions he asked was an obvious one, at such an event: what’s data science? In a nutshell, Gael, described data science as a combination of statistics plus coding. Whilst the term data…
Author: Saeed Amen
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…
Python
New Python open source financial libraries
by Saeed Amen •
I’ve been using Python for several years and have built up a large amount of code for analysing financial markets. A year ago, I decided to open source PyThalesians, which became the no 2 Python trading library in GitHub with over 1000 stars and over 100 forks on GitHub. This week I merged PyThalesians into a…
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…
Python
Which language for quant analysis?
by Saeed Amen •
I put up a poll on Twitter asking how people do their quant analysis of markets this week. The choices were R, Python, Excel and Other. In the end, the poll got over 130 votes. I also got a few other responses including “soothsaying” (well, it worked for the Romans I guess, so might be…
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…
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…
Foreign Exchange
What drives FX?
by Saeed Amen •
The title of this post seems simple enough. However to answer the question of what drives FX is somewhat more complex. I remember one of my colleagues at Lehman Brothers, used to describe FX as an amalgamation of other markets. When a portfolio manager buys stocks in a foreign country, this results in an FX…