I end up tweeting a lot. Possibly, far too much of what I tweet is random, about burgers and so on, albeit with a modicum of tweets about markets and Python. Twitter inevitably acts like some sponge, absorbing your attention, which can often be a bad thing, but can actually also be a good thing.…
Category: TCA
Data, General, Macro, Python, TCA
New Year’s Quant resolutions
by Saeed Amen •
So this is Christmas / And what have you done? / Another year over / And a new one just begun, as John Lennon once sung. Whilst Christmas is a time to reflect on the past year, the New Year is instead a time to look forward. This may involve New Year’s resolutions, or possibly…
Data, Foreign Exchange, Python, TCA
How to reduce transaction costs when trading FX
by Saeed Amen •
Winter’s coming. Temperature’s dropping. It’s time to swap light jackets with thick coats. Let’s imagine it’s Black Friday tomorrow and you’re in the market for a new coat. You’d probably wait a day just in case it was discounted. Furthermore, you might check the price in a couple of shops. After all, everyone loves a bargain, and…
Foreign Exchange, General, TCA
Why does bitcoin need TCA?
by Saeed Amen •
It’s been 10 years since Satoshi Nakomoto published his paper on bitcoin (download a copy here). Since then a myriad of cryptocurrencies have emerged alongside bitcoin. The big question I suppose is what are the main use cases for bitcoin? One use case is as a way of easing payments across borders. Another might be as…
General, Python, TCA
Making quant tools accessible to users
by Saeed Amen •
“It’s awesome, I’ve built an amazing market quant model” says a quant (hopefully, more than once in their career). Let’s say this is you, this model can help forecast markets. Is that it? Well, not really. The key point is that any financial model needs to be used in order to actually get any benefit…
Foreign Exchange, TCA
What is the WMR fix and TCA?
by Saeed Amen •
Yesterday, it was reported in the Financial Times that several FX traders who were charged with manipulating the WMR fixing at 4pm LDN were found not guilty in a New York court. Offering a WMR fixing service actually results in a market maker taking substantial risk on a transaction, which seems to have been lost…
Foreign Exchange, TCA
Creating benchmarks for FX
by Saeed Amen •
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.…
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, 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…