I recently retweeted a link to a rather interesting tutorial on machine learning given by Google. One of my Twitter followers (@grodaeu) replied ‘totally missed opportunity to go “Learn machine learning by taking the same machine learning course 10000 times’. Ok, so I chuckled a bit after reading that reply. However, it did make me…
Author: Saeed Amen
Data, Foreign Exchange, Python, TCA
Why create an open source FX TCA library?
by Saeed Amen •
The idea of transaction cost analysis (TCA) has been around for years. As the name suggests, it is analysis that can be done to understand how much you are paying for your trading. At its simplest level, it can involve calculating the slippage between the market mid and your executed price. If we are doing FX…
Events, Foreign Exchange, TCA
Review of TradeTech FX USA 2018
by Saeed Amen •
Markets only go up, right? Well, equity markets, in any case. February proved that perhaps this isn’t that case. However, whilst equity cash and vol markets were rattled, the effects on FX more broadly, were relatively tepid. The USD did strengthen, but only modestly, and since then most of those gains have reversed. Against that backdrop,…
General
Thoughts on the market sell-off
by Saeed Amen •
When I’m hungry, I tend to think of burgers. I should add, that this doesn’t imply that I eat a burger every time I’m hungry (even I recognise that would be a suboptimal solution health-wise!). Similarly, in markets, when there’s a move, particular a large one, market participants want to find a reason. Sometimes there…
Python
Tips and tricks to speed up Python
by Saeed Amen •
I can’t walk 5km that quickly. I could just blame it on my legs. Alternatively, I could instead try running, and hey presto, I can cover 5km a lot quicker! Python isn’t the fastest language out there. It’s certainly quite a bit slower than C++ or Java. If my Python code is slow, I could…
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…
General
A startup as an options trade
by Saeed Amen •
A trader spends inordinate amounts of the day looking at a screen, continually monitoring how assets react to events, seeking a signal amid a considerable amount of noise. At the same time, a successful trader needs to have the ability to correctly scale their risk. In a sense it doesn’t matter how often a trader…
Data, Foreign Exchange, Python
Data for analysing cryptocurrencies
by Saeed Amen •
Currencies have been around for a while. For developed markets we have had freely floating currencies since the 1970s, so you have copious amounts of data to backtest. Many emerging markets currencies also have a reasonable history. There are of course complications, such as different currency regimes, where currencies have been pegged for part of…
Data
How much to pay for alternative data?
by Saeed Amen •
How much is something worth? The simplest definition is the price someone is willing to pay for it. Is a Leonardo da Vinci painting worth four hundred and fifty million dollars? Someone was willing to pay that much for it (and another party was willing to sell it them for that amount). Such a market…
Foreign Exchange
The market and quant views for 2018
by Saeed Amen •
I’ve spent of most of my career thinking about modelling markets. Typically, I develop indicators for estimating economic sentiment, or actual trading models usually with an intraday or daily time horizon. I end up using all sorts of different factors in my models. However, at the same time, I like to follow what’s happening in…