Saeed
@saeedamenfx
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FX quant macro/Python/burgers. Co-founder: @turnleafan forecasting inflation with ML. Founder: @cuemacro . Books: Trading Thalesians, Book of Alternative Data.
London
Joined July 2009
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received final cover for The Book of Alternative Data which Alexander Denev & I have written. Wiley publishing in July! Pre-order at Amazon
#altdata
#datascience
#nlp
#quant
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this sounds like a conspiracy Thierry
What if Thierry Henry was a French spy in the Belgian camp all along?
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@Birdyword
I was kind of disappointed when I had a Philly cheesesteak in Philly.. Myabe it's better in Tokyo?
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@SMTuffy
I wonder whether the AI will work out I never want to store stuff in OneDrive, I never want to use Edge etc. despite repeatedly defaulting to it. Probably not.
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bought “Trading Fixed Income & FX in Emerging Markets”, learnt a lot from it, has lots of stuff that’s typically not in books (more stuff you learn on the job). Got lots of ideas for trading strategies from it.
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There've been lots of great threads on vol trading recently on fintwit from the likes of
@VolQuant
,
@bennpeifert
& many more! I thought I'd give it a go explaining how to backtest FX options + include Python code samples! 1/n
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learn Python
Forget Chinese or Hindi. If you want to learn a language which is truly global, learn French
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can't believe it's exactly 5 years since I quit my job at Nomura to work independently. It's been a fun, frustrating, but ultimately fruitful 5 years!
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there are two types of people: the folks that type EUR Curncy<GO> & the others that type EURUSD Curncy<GO>
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FinLlama: Financial Sentiment Classification for Algorithmic Trading Applications
#QuantLinkADay
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I've published paper with
@FT
, using FT machine readable news to understand macro markets. Download report from FT at & blog - includes analysis of
@RobinWigg
&
@elerianm
FT articles.. their sentiment tracks hedge fund returns!
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@GZuckerman
It was extremely sad what happened in Iraq, really don’t want the same thing to repeated anywhere else. The Middle East needs peace.
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excited to announce that The Book of Alternative Data by Alexander Denev & I is now out to read on Kindle, get the eBook at
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Been writing Jupyter notebooks for a Python, alt data/NLP + large datasets course. As a result been using many libraries for large datasets.. here are a few takeaways on large datasets in Python 1/8
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@VolQuant
@TheTerminal
@Refinitiv
You should try my findatapy library, has wrappers for BBG and Eikon 😀 Has lots of extra features like multi threading, ticker mappings (whole vol surface is 1 line), use of JSON to make requests if you want etc. -
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I met an interesting guy next, Gabriel, to Canary Wharf station, who’s looking for a graduate role (and he’s doing several masters!) - you can contact him on his QR codes
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Machine Learning Applied to Active Fixed-income Portfolio Management: A Lasso Logit Approach
#QuantLinkADay
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Technical Analysis with Machine Learning Classification Algorithms: Can it Still ‘Beat’ the Buy-and-Hold Strategy?
#QuantLinkADay
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@guan
@felixsalmon
Tony Blair must be happy, he is no longer the most unpopular ex-prime minister
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Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market
#QuantLinkADay
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C++ Design Patterns for Low-latency Applications Including High-frequency Trading
#QuantLinkADay
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Stock Price Prediction using Sentiment Analysis and Deep Learning for Indian Markets
#QuantLinkADay
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I’m gonna start a company Beyond Vegetables, synthesising carrots from beef burgers - funding secured
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Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
#QuantLinkADay
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excited to be co-authoring a new finance book, contract signed.. details soon :-)
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finally got my hardback copy of The Book of Alternative Data by Alexander Denev & me! Hardback available on Amazon US at & worldwide on Kindle.
#altdata
#datascience
#python
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The Book of Alternative Data by Alexander Denev & I has been released on hardback today on Amazon UK at
#altdata
#datascience
#python
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probably the most important Excel tip... Start Exce; by Start / Run and typing "excel /x" so it starts a separate instance for each xlsx.. when it (inevitably) crashes, it'll bring down only 1 spreadsheet, rather than every single sheet you're working on...
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Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
#QuantLinkADay
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Ordered
@donnelly_brent
book, and got it today in the post! Already started reading, has lots of great hints and tips for trading markets.. great for discretionary & systematic traders alike!
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Linking microblogging sentiments to stock price movement: An application of GPT-4
#QuantLinkADay
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there’s a dude extolling the virtues of cryptocurrencies with a megaphone in Canary Wharf shopping centre hmmm..
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Detecting data-driven robust statistical arbitrage strategies with deep neural networks
#QuantLinkADay
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Linkages among the Foreign Exchange, Stock, and Bond Markets in Japan and the United States
#QuantLinkADay
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"we use machine learning to trade"
usually I'm thinking this is what the code looks like -> "from scipy.stats import linregress"
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currently co-authoring "The Book of Alternative Data" with Alex Denev out on Wiley in 2020.. any alt datasets which you'd particularly like us to look at?
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Deep Reinforcement Learning Approach for Trading Automation in The Stock Market
#QuantLinkADay
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I've been a fan of
@ManQuantTech
Arctic database.. they've now released ArcticDB with local/cloud backend for versioned time series. I've added support to use ArcticDB in my findatapy library for market data! Jupyter NB demo at
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impressed with
@vaex_io
out-of-core DataFrames Python library, very quick to do computations on 100GB of tick data! Part of the trick.. decent parallel processing, maxing out every core (but not running out of RAM...!)
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just got the first publishing proofs for The Book of Alternative Data from Wiley which Alexander Denev & I have written.. getting closer to publication!
#altdata
#datascience
#quant
#python
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I talked on
@bloomberg
TV about alt data, trend and some of the studies Alex Denev & I are doing in our forthcoming alt data book
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pleased to announce that The Book of Alternative Data by Alexander Denev & I will be used as a course textbook for Gene Ekster's class on alt data on M.S. in Mathematics in Finance
@nyuniversity
Courant
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it's a very good characteristic of a medium of payment like a currency to move 35% on a fake tweet
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Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model
#QuantLinkADay
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Causal Discovery in Financial Markets: A Framework for Nonstationary Time-Series Data
#QuantLinkADay
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I can't believe it's exactly 12 years today since I started working full time in finance. Thanks everyone who helped me on the way!
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A quick thread on intraday binary option trading... can you make money from it (like all the spam messages suggest...)? The short answer is probably not, and the vast majority of retail lose money on it. 1/n
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my finmarketpy open source Python library for backtesting trading strategies has now been forked 400 times on GitHub and has over 2300 stars! Download it from
#opensource
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Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years
#QuantLinkADay
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"If you build models you are short vol, because when the world changes it breaks"
@EmanuelDerman
#GDERIVS16
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Just got my copy of
@GZuckerman
new book on Jim Simons and RenTech. I’m already hooked.. a great book, thoroughly recommended!
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inspired by
@LorcanRK
&
@TheStalwart
, I’m going to do “1 like = 1 burger 🍔 recommendation” (well, till I get bored)
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Lead-lag detection and network clustering for multivariate time series with an application to the US equity market
#QuantLinkADay
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@nntaleb
I remember one of my maths professors at university saying virtually the same thing “the best mathematicians are the worst at arithmetic”
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