It’s been exactly a decade since I attended my first QuantMinds event. At the time, it was called Global Derivatives, and as the name suggests, it was very much focused towards option pricing and its associated areas. It was held for a number of years in Amsterdam, at the Okura Hotel (whilst I

If you follow me on Twitter (@saeedamenfx), you’ll notice that I post a lot of stuff about burgers (yes, I do like them). In an effort to make sure that I at least regularly post quant content (as opposed to burger based tweets), I started posting a daily link under the #QuantLinkADay hashtag.

There are buzzwords and there are buzzwords. The buzziest (if that indeed is a word) of buzzwords in technology is that of machine learning, whether it’s using machine learning to improve image recognition, natural language processing etc. Although, I’ve got to admit, there’s still a long way

Over the past few years I’ve been tweeting a daily quant paper (or quant related library or similar) every day with the #QuantLinkADay tag. The initial objective was to make sure that my Twitter account @saeedamenfx posted at least some useful quant link of information (and to prevent Twitter

The above photo is of Montjuïc Castle which has one of the best views over the city. The view from there kind of explains why the location was chosen from a strategic perspective. As a city Barcelona has many places which punctuate the skyline, whether it’s that castle, or the (still unfinished)

So where’s the best place to get a burger? I get asked that a lot. I’ll try to give my best answer, but if you live in a place I haven’t visited, I’ll probably draw a blank. Yes, you can read reviews, but the only real way to tell if a burger joint is good, is to try it. Everyone has their

One of the things which I found confusing at first with options, is the fact that lots of the folks trading them, don’t really have a view about whether the spot price will go up and down. They are basically trading the volatility parameter from options pricing models (Emanuel Derman explains the

If you want a train, you have to build a train track. It doesn’t matter, if it’s a steam train or bullet train, or any other train. It’s a prerequisite. No track kind of implies the train can’t run. Obviously, each train needs a different type of track, but ultimately the principle is the

This has been a challenging year by pretty much any other standard. I remember when I was kid, and heard the year 2020, it sounded very exciting. It’d be like Back to the Future, with hoverboards and flying cars. Instead, 2020 has been all about the coronavirus. Whilst I’ve been lucky enough to

What’s the most important thing we need to have in order to follow financial markets? Burgers… ok, I made that up, the real answer is market data! Whilst there are many other datasets including those drawn from alternative data, which are becoming increasingly important, having a handle on the

Just imagine that every time you went into a shop, you had to change your clothes, because they had a different dress code? Say your grocer would insist on only people wearing yellow, whilst your supermarket would require red clothes only.. Ok, that’s a somewhat ridiculous example, which would

The question I get asked most is, what is your favourite burger joint? The answer.. well, you’ll have to ask me! The second question I get asked a lot, particularly in recent months, is how can I learn Python if I’m working in finance? I will endeavour to answer that question, updating and

It is challenging to understand how to model external shocks when trading financial markets. However, in recent years, it has become particularly notable that these risks, such as Brexit, the election of Trump, or coronavirus can greatly impact markets. Hence, we need to have a way to model them. In

It’s a difficult time at present around the world. You obviously don’t need me to tell you that. Let’s hope that we can conquer the coronavirus soon and we all give thanks for those on the front lines, working in hospitals caring for the sick, those working in supermarkets and all those

I probably tweet too much. Some tweets are on burgers (well, they are pretty important I suppose). Other tweets will constitute puns, which I find mildly amusing, but most term as “dad jokes”. Among all of these tweets, there is also stuff about Python and quant more generally. In particular, I

AIDST has quickly established itself as one of the most important finance based data science conferences in the calendar. I recently attended and presented at the recent AIDST London event in September. The conference featured a mixture of both high-level talks and also more technical sessions. The

Vienna is one of those places which has somehow largely eluded my travels. The last time I visited it was 25 years ago. However, it has very much stuck in my memory. History is one of those things which you can never escape from in Vienna. The echos of musical history are everywhere, whether it is

I recently visited the USA. I managed to visit a number of different cities. Whilst I was there primarily for work, I managed to squeeze in a few days to look around the various cities I visited. I visited Philadelphia for the first time, and I saw Independence Hall and the Liberty Bell, both of

In this paper, we discuss using CLS intraday hourly flow data to understand FX markets. Using two different trading strategies (daily and hourly) against a generic trend model, we find that CLS’s flow data relating to funds and non-bank financial firms (NBFIs) tends to have a positive contribution

A lunch break is probably more of a necessity from a break perspective than anything else. You could make the “break” aspect as short as possible, by getting a ready made takeaway. However, that kind of negates the whole break aspect of it all. I end up going through various cycles of what I

As regular readers of my posts may have realised, I kind of like burgers. It’s a simple meal, but somehow very satisfying. There’s obviously vast differences between the burgers on sale, in terms of quality. It isn’t necessarily the case that the most expensive burger will be best. In

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. A

If you do any sort of analysis of markets, you need market data and related datasets. Without data, you are kind of stuck! There are of course many market datasets which are available to purchase from data vendors. However, what type of datasets are available for free (aside from crypto markets,

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 not. On the personal

I tweet quite a bit! It can involve random subjects such as burgers. However, the main objective of my Twitter account is to tweet about all thinks quant related, whether it’s trading strategies or the market or coding (in particular Python). To make sure I actually did this, several years ago, I

It’s 50 years since the Beatles released the White Album. To celebrate it has been reissued with new mixes of the original tracks. I have to admit, it’s rarer these days to listen to an album the whole way through. Instead, I invariably listen to playlists on iTunes which select tracks from all

Nobody likes doing the boring stuff. We all want to go on holiday, but packing our bags is not the fun bit. We all want to have a nice burger (well, I do), but queuing for ages at an ever popular burger joint is not what we want. Traders all want to have positive P&L, but well negative P&L

Lisbon sits wedged between the Atlantic on the West and the river Tagus on the south. It’s buildings seemingly tanned to deep pastel shades, reflect a sun, which seems forever present. Whilst is it the history of the city, which appears to greet the visitor at first, whether it the Tower of Belem,

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

A big reason people visit New York is for the burgers, right? You’ve got Shake Shack, Minetta Tavern, the Burger Joint… I could construct quite a long list. OK, that’s probably just a reason which encourages me to visit New York! At the end of every April, there’s also another reason, namely

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

I like burgers. I suspect I start most of my blog articles with a similar sentence. Most burgers are sufficiently large, such that a single burger will suffice for a meal. However, occasionally you get burger sliders, mini burgers of different flavours, which are also easier to share. It is an

You know how it feels. Time has come and gone, and still no progress. Then hours later, you’ve found the mistake, and you’re absolutely kicking yourself. Coding is very much a case of trial and error. You just need enough stubbornness not to give up to get your code to run properly. Most of the

I used to play the violin. I really enjoyed it. However, there was something that was very clear to anyone listening to me playing, who perhaps would not have enjoyed it quite as much. The sound which came out of the violin, might have been technically “similar” to the music on a sheet in front

had many different types of toys. My favourite was Lego. It was kind of cool (and even cooler these days judging by the ever wackier Lego sets you can buy these days). You can create a new toy each day out of Lego. All you needed was some imagination. However, there was always an Achilles heel to

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

Let’s say you had to identify a city you’d never heard of on a map. Let’s take a city chosen at random, Stockton and you wanted to identify which country it is in. You have with you a list of every single town in the world, alongside its country. A simple brute force way to find the country,

Over the past few days I've been in New York, meeting with clients. I also attended and presented at QuantCon NYC 2017, Quantopian's annual conference. It was my first time at QuantCon, and I had been expecting a relatively small affair. With several hundred attendees and multiple streams,

Let’s say you send a letter from London to Tokyo. How long would it take to get a reply? At the bare minimum, it takes 12 hours for a letter to fly there, and then another 12 hours for a reply to fly back, so 1 day at least (and this ignoring the time it takes for your letter to be read, the time

I’ve been tweeting regularly over the past few years, usually around quant finance, coding and also a bit on burgers. Last December I decided to regularly start tweeting a quant link every day, for which I used the imaginative hashtag #QuantLinkADay (yes, that hashtag took a lot of thought…!),