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…
Category: Foreign Exchange
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…
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…
Foreign Exchange
FX volatility – a panel view
by Saeed Amen •
There are several stories explaining how Chicago has come to be known as the Windy City. The most obvious explanation is related to the ice cold winds blowing in from Lake Michigan. Another explanation is that it has something to do with the somewhat colourful political scene in Chicago in the 19th century. I recently…
Foreign Exchange, General
Bitcoin, cryptocurrencies and burger queues
by Saeed Amen •
The noise, the light, the buzz. Locals look forwards, visitors look up. Yellow cabs zigzag along sweeping avenues. Steam rises from sidewalks. Ice rinks throng the winter. Golden leaves sweep past the autumn. Pastrami greets visitors to Katz. Morning awakened by the sun rising over Long Island. Evening, framed by skyscrapers, the sun leaves over the…
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.…
Foreign Exchange, General
What price action do you remember from memory?
by Saeed Amen •
Over the years, you begin to build up a mental historical picture for price action. It seems reasonable to expect that we might remember certain market moves better than others and also what were the events which accompanied them. However, which ones do we remember? 2008.. let’s just say I remember the price action quite well…
Events, Foreign Exchange
FX Papers from International Finance 2017
by Saeed Amen •
It can often be easy (and wrong) as a market practitioner in FX to think of moves from purely a speculator’s point of view. However, as probably seems blatantly obvious, the behaviour of speculators in the FX market is not conducted in some vacuum. It is an amalgamation of many other transactions which are not…
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…
Foreign Exchange
FX will still be here tomorrow
by Saeed Amen •
There are many places for which our minds have already constructed a detailed image. In most cases, that image is hopelessly inaccurate, a mishmash of everything we have heard about a place. Some carefully dissected patchwork, sewed by sources as diverse as friends, films and Facebook. It is never quite the same as visiting a…