Everything is relative. Is this burger any good? Pretty much the only way to judge is to compare it with other burgers. Is it better than a Big Mac (most likely)? How about a different burger, maybe a fancy one? We can make implicit comparisons in our mind, till we have eventually constructed a ranking.…
Author: Saeed Amen
Foreign Exchange, General, TCA
Measuring best execution in FX and customising it
by Saeed Amen •
I’m a bit hopeless at cooking. I can do a bit of baking, in particular chocolate chip cookies, with a secret recipe which I’ve developed over time to make the cookies chewy and particularly sweet, to suit my tastes. Recently, I made Turkish orange cookies (above) for the first time. Whilst they tasted good, I…
General
A decade after my time at Lehman
by Saeed Amen •
There are certain periods of time that cause us to pause: a week, a month, a year. A decade is also one of those periods. Somehow, the passing of a decade seems significant for us, a period to reflect upon for an anniversary, in a way that for example nine or eleven years simply isn’t.…
Data
What does a quant need from alternative data?
by Saeed Amen •
Quants like data, in the same way I like burgers. Quants like to consume data to come up with ways of forecasting the market. The most important dataset is usually market data. However, there are all sorts of other interesting datasets that can be used to help forecast those market prices. In recent years, the area…
General, Python
Developing a trading strategy isn’t trading it
by Saeed Amen •
There is a lot emphasis these days about developing a quantitative skill set for markets. Learning Python for example helps you do number crunching on large datasets. Having a grasp of statistics enables you to decipher the relationship between various market variables. All this stuff is important if you want to develop a trading strategy.…
Data, General, Macro
Crowdsourcing in markets
by Saeed Amen •
What is crowdsourcing? If we ask Wikipedia, it tells us that it “is a sourcing model in which individuals or organizations obtain goods and services. These services include ideas and finances, from a large, relatively open and often rapidly-evolving group of internet users; it divides work between participants to achieve a cumulative result.” Within a trading context, how…
General
Cloud choices
by Saeed Amen •
I used to love browsing in record shops. Sometimes you’d stumble across music, that you would never ordinarily think of buying. Record shops are still with us of course (vinyl in particular is experiencing a renaissance), however, more broadly the way music is delivered to consumers has changes. Today, we don’t seem to own “music” anymore.…
General, TCA
5 years of independence
by Saeed Amen •
This week it’s been 5 years since I became independent. Up until that point I had worked in banking in several firms, including Morgan Stanley, Lehman Brothers and finally Nomura. The past 5 years have gone very quickly. As I wrote on my Twitter status, it’s been a fun, frustrating, but ultimately fruitful 5 years! After…
General, Python, TCA
Cooking up a coding meal
by Saeed Amen •
Which is easier, ordering a takeaway or cooking a meal yourself (for sake of argument, a burger!)? Purely, from a time perspective, clearly, a takeaway is quicker, However, there are drawbacks. It will tend to be more expensive. Furthermore, it’s more difficult to know what’s gone into a takeaway. By contrast, if you cook everything…
Data, General
Data, trend following and more
by Saeed Amen •
One of the historical bedrocks of many quant funds, in particular those known as CTAs, has been trend following strategies. Funds such as Winton have largely been known as trend followers. Recently Risk.net published an interview with David Harding, the founder of Winton (link here and it’s well worth reading), alongside some of their thoughts. Harding…