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…
Category: General
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…
Data, General
Where does alternative data fit in?
by Saeed Amen •
I often get asked about where alternative data can be used during the investment process. In practice, I think the key point about alternative data, is that it isn’t an “alternative” to traditional data sources. Furthermore, very often you want to combine various alternative data sources together to generate a signal. This also means combining…
Foreign Exchange, General, Python, TCA
Some perspectives on FX TCA
by Saeed Amen •
At Cuemacro, we’ve been developing a FX TCA (transaction cost analysis) Python library over the past year. We are hoping to open source parts of the library, provided we can find sponsorship for the TCA library. By open sourcing the basic framework of the library, we hope we can unlock the benefits of crowdsourcing from community to…
General
It’s coming home: market failure to success
by Saeed Amen •
Football’s coming home. As I’m writing this, we still don’t know, if football will really come home (although I have to admit to hoping it does), as semi-finals (and of course the final) has yet to be passed. What is certain however, is that England have finally got to a semi-final at the World Cup…
General
World Cup trading
by Saeed Amen •
It’s that time again, the World Cup is here. I’ve lost count of the number of games I’ve watched at this stage, and we haven’t even got to the knockout games. At the moment, it’s half time, in the Belgium vs Tunisia group game. I’ve just seen Belgium go in front with Lukaku scoring two…
General
Is startup life for you?
by Saeed Amen •
I’ve been working in startup territory for nearly 5 years. Initially I spent 3 years full time at the Thalesians a company I co-founded. For the last 2 years my full time focus has been Cuemacro. The whole startup experience has been mostly about learning. Coming from the corporate world of banking, it has been somewhat…
General, Macro
Correlations and the market
by Saeed Amen •
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…
Foreign Exchange, General, Python, TCA
What I’ve learnt from developing a FX TCA library?
by Saeed Amen •
Reading is a great way to learn. However, it’s the practice of that knowledge which is a key part of the process. For example, you can read a lot about an area in mathematics, but it’s only once you’ve sat there for hours struggling to solve some problems that you begin to understand it. It’s…