Predicting the past

I can predict the future. Although, if that were even remotely true, I probably wouldn't be sitting here writing a blog. Instead, I'd be lounging about on a beach somewhere. However, despite it being a totally inaccurate statement, I hope that it has encouraged you, the reader, to take a few moments to finish reading this article.

The problem with the future is that no one really knows what will happen. I remember when I was a kid. The notion of a phone having a computer in my pocket would have seemed laughable. The idea that computers would be so ubiquitous would simply be beyond my comprehension. Indeed, a similar point about the role of technology in trading was made by my good friend Pierre Lequeux speaking on a panel at the recent TradeTech FX. The difficulty with trying to predict the future doesn't prevent us from trying. Over the past weeks and months, the market has been musing about when the Fed could begin a hiking cycle, it's first in over several decades (ok, not quite, but it has been a long time since the Fed actually started a hiking cycle). What has complicated matters, is that even if the Fed does hike, what will that mean for markets?

A systematic trader does not attempt to predict the future (to an extent). I find it incredibly difficult to forecast when the systematic trading strategy that I've been running will make or lose money from day to day. This is despite the fact that the overall trajectory of returns has been upwards since I started trading my own cash just over 2 years ago. The objective is more about creating a strategy which is profitable over the long term on average.

Systematic traders rely upon patterns from the past persisting into the future, which on average have been profitable and have a good rational explanation. We can also look at the past to try to understand what happened to our trading strategy in similar situations, which might crop up in the future. The great thing about having a systematic trading strategy is that whilst we can't tell the future with certainty, we definitely know the past! I've been in the market for around a decade, and during that time I've run all manner of different systematic strategies. I can create a new trading system and then use historical data to understand how a strategy coped with the start of Fed hikes as an example, well before I even started working in currency markets.

Hence, even though I can't tell you precisely when a Fed hike will be, I can tell you how confident (or not) I would be with a trading strategy to cope with similar historical events. A discretionary trader can look back at their own P&L history to see how they coped with historical events, but unless they have been trading for a long time, they might be a bit stuck when trying to identify events before they started trading. I recently published a Thalesians paper, for example, discussing how CTA strategies have performed at the start of Fed hikes to test this idea.

Of course, there are caveats. The past is never precisely like the future. There will be unusual events that are not in our historical sample, which could impact our portfolio significantly. Indeed, this Fed hiking cycle could be very different to previous ones as an example (the Fed has never begun hikes from such a low level). At the same time, there are likely to be many historical events similar to future ones.

Whilst systematic trading isn't for everyone (just as discretionary trading isn't), the ability to look at historical data, gives us an ability to see how robust our portfolio has been to historical shocks and to check how our strategy has behaved. Even with all the mathematics that goes on behind creating a systematic trading strategy, perhaps the most important thing, is to have a modicum of common sense and understanding of risk!

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Paris 6-9 Oct at the WBS Fixed Income conference, where I'll be hosting a systematic trading workshop.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt, Zurich & San Francisco - join our Meetup.com group for more details here (Thalesians calendar below)

21 Sep - New York - Agostino Capponi - Arbitrage-Free Pricing of XVA (Thalesians/IAQF)
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo
05 Oct - Boston - Saeed Amen - Trading Thalesians Book Talk / PyThalesians Python Interactive Demo (Boston Algorithmic Trading Meetup Group)
09 Oct - Budapest - Taylor Spears - On the Sociology of CVA
14 Oct - New York - Dan Pirjol - Can one price Eurodollar futures in Black-Derman-Toy? (Thalesians/IAQF)
21 Oct - London - Robert Carver - Lessons from systematic trading

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Burger parity

I recently visited Frankfurt and Zurich to help launch Thalesians quant finance talks there (a special thanks goes to Jochen Papenbrock, Adrian Zymolka and Swati Mittal for organising the events there). Travelling from Frankfurt to Zurich, I noticed several major differences.

One difference is the language. I can vaguely understand Hochdeutsch, as it is spoken in Frankfurt and the rest of Germany, owing to a few years studying German, during a period of my life when I could be called young (and importantly, my mind has not yet quite expunged all the German I learnt then). By contrast, my ears have some trouble understanding Schweizerdeutsch, the dialect of German spoken in Switzerland, simply because I am not used to it.

Another difference is the geography. Frankfurt to my untrained eye is relatively flat, making it pretty easy to get around on foot. In Zurich, the hilly terrain makes it somewhat more challenging to navigate to certain neighbourhood, such as the area around ETH, where I gave my Thalesians talk and where I had the opportunity to meet Nassim Taleb, through a combination of randomness and Twitter!

However, the difference I'd like to focus on is price. Perhaps, it is not an understatement, to note that Zurich and Switzerland in general feels expensive for visitors. One of the easiest ways to test this is to use the Big Mac index, maintained by the Economist, which gives you the relative cost of a Big Mac in a number of different countries. The idea is that you can work out how overvalued (or undervalued) a certain currency by assessing the price of similar goods in different countries. In practice, you would aim to choose a basket of goods, rather than a single item, like a Big Mac in such an index, which is referred to as a Purchasing Parity Power index,. As an aside, how much do this the burger costs at the top, which I had in Zurich (clue: it was rather more expensive than I would have liked...)? Using the Big Mac index, we note that in Switzerland, a Big Mac costs 6.82 USD. By contrast in the UK, it is 4.51 USD and in the Eurozone it is 4.05 USD.

We are now going to use this information to work on a little problem. Let's say, we had 5 USD and we wanted to share out Big Macs in Zurich, London and Frankfurt, as prizes. Whilst, in London and Frankfurt, we could give people a whole Big Mac and still have change. However, in Zurich, we would end up giving out less a full Big Mac. This would be kind of unfair, a prize in Zurich would be far less.

Yet, this is exactly what people can do when they invest, based on notional amounts of different assets. However, the "risk" that such an approach buys is unequal. A dollar worth of bonds is less risky than a dollar of equities. If you have a fund which runs a multi-asset strategy, trading all manner of different assets, if they scale purely by notional, rather than risk, the portfolio could have considerably different exposures to those intended.

There has been much in the press recently, talking about the recent performance of risk parity, which basically attempts to allocate in this fashion based on risk, rather than purely notional. Of course any strategy is not going to outperform all the time. What has been lost in the argument is why risk parity is used, namely that assets do not all have the same risk profiles. For example for trend following funds, if they had no method to adjust for the risk differences in their portfolios, they would end up being dominated by the highest volatility assets, like crude oil, whilst having little exposure to lower risk assets like bonds.

So yes, strategies might not always outperform all the time. But it is important to consider, what the alternatives are. In the meantime, parity is just as important for burgers as it is for risk...

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Paris 6-9 Oct at the WBS Fixed Income conference, where I'll be hosting a systematic trading workshop.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt, Zurich & San Francisco - join our Meetup.com group for more details here (Thalesians calendar below)

21 Sep - New York - Agostino Capponi - Arbitrage-Free Pricing of XVA (Thalesians/IAQF)
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo
05 Oct - Boston - Saeed Amen - Trading Thalesians Book Talk / PyThalesians Python Interactive Demo (Boston Algorithmic Trading Meetup Group)
09 Oct - Budapest - Taylor Spears - On the Sociology of CVA
14 Oct - New York - Dan Pirjol - Can one price Eurodollar futures in Black-Derman-Toy? (Thalesians/IAQF)
21 Oct - London - Robert Carver - Lessons from systematic trading

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Fed (mountain) hikes

The market has been awash with speculation about when the Fed might hike, continually watching for clues from Fed communications. The recent symposium of central bankers at Jackson Hole, organised by the Kansas Fed, presented the market with another opportunity to search for clues. Comments at Jackson Hole struck a hawkish tone. Fed vice chair Fischer suggested that inflation did not need to pick up for a Fed hike to happen. If we consider the start of previous Fed hiking cycles, whilst growth and employment levels might have been similar, for the most part, inflation was a lot higher than it is at present. For a wrap up of what happened at Jackson Hole, I'd recommend have a look at Sam Ro's write up at Business Insider. If you're interested in understanding central bank communications from a systematic viewpoint I'd have a look at my recent Thalesians quant paper on the topic for Prattle, where I show how patterns in central bank sentiment gauged from communications can be used to trade FX.

Whilst the market has been obsessing about when the Fed is likely to hike, perhaps a more pertinent question is what the market will do, when a hike actually happens? A recent tweet by Emanuel Derman got me thinking precisely about this point. (Incidentally if you don't follow him on Twitter you should do!). Derman suggested that:

Raising rates 25 bp is actually going to be a massive non-event. There will be a brief positive reaction by markets, then back to business - Emanuel Derman @EmanuelDerman

By the time the Fed actually does hike, the market will have had such a long lead time, that a considerable amount of market adjustment to the hike will have already occurred. Let's consider the dollar rally from July 2014 till just before January's ECB meeting. The Fed had not hiked during any of this period, nor had the ECB actually announced full blown QE. However, the market was primed to expect both these scenarios. The market was essentially adjusting to expectations, rather than significant changes in monetary policy.

Whilst the market were busy discussing Jackson Hole over the past few days, I was busy hiking in the Alps. The process of the mountain hike can very much be seen similar to the way the market is approaching the Fed hike. We're currently in that phase, getting closer and closer to the top. When the Fed finally does hike, it'll be like getting close to the mountain peak. Most of the hard work of climbing will be done by then, and the market will be moving on to other issues.

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Frankfurt 7 Sep, Zurich 8 Sep and Paris 6-9 Oct.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt, Zurich & San Francisco - join our Meetup.com group for more details here (Thalesians calendar below)

07 Sep - Frankfurt - Saeed Amen/Jochen Papenbrock/Miguel Vaz/Adrian Zymolka - Quant Evening (Thalesians/Quant Finance Group Germany)
08 Sep - Zurich - Saeed Amen - How to build a CTA? / interactive Python demo
10 Sep - San Francisco - Steven Pav - Portfolio Inference and Portfolio Overfit
21 Sep - New York - Agostino Capponi - Arbitrage-Free Pricing of XVA (Thalesians/IAQF)
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo
14 Oct - New York - Dan Pirjol - Can one price Eurodollar futures in Black-Derman-Toy? (Thalesians/IAQF)
21 Oct - London - Robert Carver - Lessons from systematic trading

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All along the watchtower

In days past, I had compact discs (or even cassette tapes). I'd listen to albums from end to end. With the advent of music compression such as MP3 and subsequent innovations like Spotify and Apple Music, we digest our music in very different ways. I've noticed that I listen to a much more eclectic array of music genres with streaming. No longer do I simply restrict myself to listening to albums from end to end, by artists I already know. Instead, I dip into the unknown and hear whatever Apple Music might throw at me. At times, it fails (hey, Apple, I don't like teenage pop bands). However, other times, I stumble upon music that I actually like, helped along by some weird algo concoction.

Recently, I came across some of the music of Bob Dylan. I'm sure we've heard of a lot of his music, whether it's in the original or in the many covers of his works. What struck me, when you listen close to the lyrics of tracks such as All Across the Watchtowers, is that interpretation, very much depends on the listener. It's just often, sometimes the lyrics go over my head, because I tend to hear the music first and the lyrics later. Try Google-ing the lyrics, and you'll find many conflicting interpretations. It also depends at what level we seek to interpret a song. The same approach applies to images. Take the image above, we could either interpret as 5 hoops, or more likely, it is related to the Olympic movement and Hungary's place in it. One anonymous interpreter of the song noted, rather comically a quotation by James Joyce:

I've put in so many enigmas and puzzles that it will keep the professors busy for centuries arguing over what I meant, and that's the only way of insuring one's immortality.

The many ways we can interpret song lyrics and images more broadly, got me thinking about the market. The way in which we are always trying to read something into it. Unlike of course, songs, there is no writer of the market. Instead, we have traders individually "writing" to the market, with differing views (after all, without differing views, you would have no market) - each them interpreting the potential future in a differing ways and with different time horizons. When traders' views about the future coalesce, markets trend. When there is disagreement, we see markets without a clear direction. Show a chart to two technical analysts and you can often get different answers about what they think it might all mean.

So who is right? In a sense, it is not so much about having the "right" or "wrong" interpretation about markets. It is more about understanding which interpretation the market will have. Furthermore, we need to recognise that some strategies might well be wrong more than they are right.. is it the size of the winning trades that matter, which is the case with trend following strategies.

But hey, it's Saturday evening, as I'm writing this, time we are went to listen to some Bob Dylan.

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Frankfurt 7 Sep, Zurich 8 Sep and Paris 6-9 Oct.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt, Zurich & San Francisco - join our Meetup.com group for more details here (Thalesians calendar below)

07 Sep - Frankfurt - Saeed Amen/Jochen Papenbrock/Miguel Vaz/Adrian Zymolka - Quant Evening (Thalesians/Quant Finance Group Germany)
08 Sep - Zurich - Saeed Amen - How to build a CTA? / interactive Python demo
10 Sep - San Francisco - Steven Pav - Portfolio Inference and Portfolio Overfit
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo
21 Oct - London - Robert Carver - Lessons from systematic trading

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Give your ideas a Proust

I've started reading Proust's epic In Search of Lost Time. It's my project to try to finish reading it by the end of this year. The work consists of 7 volumes and 1,267,069 words when written in the original French. In an age, where messages consist of 140 characters and words stream at us from every which direction, on the web, on Twitter, on our phones, it can sometimes seem quaint, the notion of spending months on end, reading a substantial work of literature. In the modern day, I'd argue the rationale for reading longer pieces of literature is even stronger, to contrast with the usual diet of abbreviated English, which we are often exposed to on the web.

Of course, it seems hopelessly optimistic that I'll finish reading this epic, in such a short time (or whether I'll even finish it at all). Whilst reading it, what becomes quickly apparent to the reader, is that very little appears to happen. Yet despite this, it is peculiarly engrossing. There's a certain deliciousness in revelling in the way, Proust is able to envelope the reader in layers of description. The act of sleeping, could just be described in a single sentence. Instead, Proust engages the reader for pages upon pages of prose, to engage the reader in the most visual way possible. That is the power of language when used properly. Writing is not simply a way to furnish a reader with facts, but a way to make the reader view the world differently.

In finance, the importance of writing is sometimes overlooked. If an article makes a good point about the market, yet is written sloppily, readers will simply turn off. I'm not saying, we should spend hundreds of words engaging in prose like Proust to describe something. It is just that having clear and entertaining language, can aid a reader to see your viewpoint, as opposed to have dry monotonous language, which sends them to sleep. 

We can also learn from Proust, if we think about the way he visualised his thoughts. I love maths. At the same time, I recognise that bombarding people with tables filled with numbers, is not going prove my point, about a trading strategy or a certain idea I have about the market. Having a well thought out visual way to present your thoughts can be extremely powerful. Furthermore, it can encapsulate a very complicated market dataset in one single chart. In my open source Python library, PyThalesians, I have spent quite a bit of time building easy to use wrappers for a number of visualisation libraries (which I'd encourage you to check it out on GitHub here) for this very reason. A picture really does say a thousand words, plus a picture is quick to interpret! Just like the picture which gives you a sense of the landscape immediately, in a way, that would be more difficult when simply relying on a few words.

Will I finish reading Proust, I don't really know.. what I do know, is that I've learnt a lot from starting on this journey. What will you learn from Proust? Hopefully he'll give your ideas a Proust...

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Frankfurt 7 Sep and Zurich 8 Sep.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt & Zurich- join our Meetup.com group for more details here (Thalesians calendar below)

07 Sep - Frankfurt - Saeed Amen/Yves Hilpisch (tbc)/Thomas Wiecki/Jochen Papenbrock/Miguel Vaz/Adrian Zymolka - Quant Evening (Thalesians/Quant Finance Group Germany)
08 Sep - Zurich - Saeed Amen - How to build a CTA? / interactive Python demo
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo
21 Oct - London - Robert Carver - Lessons from systematic trading

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Football's coming home

"Some people believe football is a matter of life and death, I am very disappointed with that attitude. I can assure you it is much, much more important than that." Bill Shankly, former Liverpool manager. 

It's the first day of the football season in Britain. Tomorrow, the newspapers will be awash with goals scored, players booked and fans agonising. I've picked my Fantasy Football team, which I've entered into a league with a few friends. I have little doubt that I'll end up being at the bottom of the league. I really don't know enough to make any educated judgements about the players. Which striker will score the most? I've got no idea. Which keeper will save the most goals? I've got no idea. That doesn't matter though. To enjoy the game of football, you don't need to have an encyclopaedic knowledge, you just need to take part and watch as part of the crowd.

What I do know about football is that it makes memories, some joyful, some less so. I can remember Zidane running rings around his opponents and his last sending off. I can remember Cantona, winning the FA Cup and his kung-foo kick. I can remember Messi, slipping past defenders on his way to goal and walking past the World Cup trophy, unable to hold it aloft. Success and failure. You cannot have one without the other. The fear of failure is what makes the joy of success so palpable. When success is assured, what point is there in trying?

Like football, markets are made of memories, some joyful, some less so. There's the market's joy when equities are rallying. The market is making money. Then there are the lows, the crises and the uncertainty which surrounds them. Traders are glum, their screens are awash with the colour red, signalling losses in their portfolios. If anyone tells you trading is easy, it's clear they have little idea what actually impacts markets. Yet, just as with football, it is failure and the risks of losses, that make markets a more exciting place to be, even if it never feels like it at the time. If markets were not challenging, if markets were seemingly "easy", would you learn as much? Would you appreciate it quite as much, when times are good? Likely not. Certainly not. Something which I've written about repeatedly, is that the "pain" from losing cannot be backtested. Whilst, it is not something you would welcome, it is at the very least something to learn from. A failure to learn from a failure, is probably the biggest failure of all.

So in the year ahead of this new football season, your team might well top the table, or it may not. Whatever happens, on the football field or in markets, best of luck! It's better to be lucky, than be bored of the result.

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Frankfurt 7 Sep and Zurich 8 Sep.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt & Zurich- join our Meetup.com group for more details here (Thalesians calendar below)

07 Sep - Frankfurt - Saeed Amen/Yves Hilpisch (tbc)/Thomas Wiecki/Jochen Papenbrock/Miguel Vaz/Adrian Zymolka - Quant Evening (Thalesians/Quant Finance Group Germany)
08 Sep - Zurich - Saeed Amen - How to build a CTA? / interactive Python demo
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo (tbc)
21 Oct - London - Robert Carver - Lessons from systematic trading

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Who wants to be a rock star?

Please forgive me. I am going to quote some lyrics from Nickelback's hit "Rockstar" below. I realise these Canadian rockers do not occupy a position in that rarefied space called "cool", but they do have a knack for the occasionally snappy riff and memorable, and somewhat catchy lyrics (this view might not be one shared by you the reader).

'Cause we all just wanna be big rock stars
And live in hilltop houses driving fifteen cars
- lyrics from Rockstar by Nickelback

The rest of the song continues in a similar vein, espousing the benefits of being a rock star. But do we all want to be big rock stars and drive a car like the one above? I suspect many of us wouldn't scoff at the notion (myself included). In my case, I can't sing, I can't play the guitar (although I can play the violin, to what I would term screeching standard), and I can't write music. I like to write, so perhaps I could write a few lyrics. Unfortunately, being a lyricist is not the same as being a rock star. So perhaps the delta, to use option trader lingo, of me becoming a rock star is close to zero.

When it comes to finance, we also have the notion of being a rock star, albeit it doesn't involve catchy riffs or singing. A rock star is the trader who makes the big call and profits from it. A rock star is the strategist who makes the big call and gets the market's adulation when he or she gets it right.

So do you want to be the financial rock star? I certainly don't want to be! I don't want my entire portfolio to be beholden to the whims of one massive trade that could make or break me. Even if your success rate is exceptional (say 55%), that means there's a 45% chance you could be utterly ruined. To me those type of probabilities are not acceptable, whether or not I am trading my own money or anyone else's. By all means make a big call... but if it's too big, you need to think about the consequences of it all going wrong.

I don't want to be the exciting rock star trader, the one with all the adulation. I want to be the "boring trader", the financial equivalent of the bass player in a rock band. The "boring trader" is one who takes many views, in many assets, diversifying my risk as much as possible. True, no trade will make me a "rock star", but hopefully, the downside from every trade will be sufficiently small to prevent too much harm, if any of them go wrong. Slow and steady, rather than quick and aggressive profits.

Maybe it might be better to be the bass player or the lyricist, rather than the rock star out in front, playing lead guitar and singing the lead vocals? What do you think? Do you still want to be a financial rock star, now? I worked at Lehman Brothers. That proved to me that sometimes boring is better than exciting, when it comes to trading.

If you're on the US East Coast, I'll be in Washington DC 27 Sep, NYC 29 Sep-3 Oct and Boston 5 Oct if you'd like to meet me and hear more about systematic trading! If you're in mainland Europe, I'll be in Frankfurt 7 Sep and Zurich 8 Sep.

Like my writing? Have a look at my book Trading Thalesians - What the ancient world can teach us about trading today is on Palgrave Macmillan. You can order the book on Amazon. Drop me a message if you're interested in me writing something for you or creating a systematic trading strategy for you! Please also come to our regular finance talks in London, New York, Budapest, Prague, Frankfurt & Zurich- join our Meetup.com group for more details here (Thalesians calendar below)

22 Jul - London - Paul Bilokon - Stochastic Filtering
07 Sep - Frankfurt - Saeed Amen/Yves Hilpisch/Thomas Wiecki/Jochen Papenbrock/Miguel Vaz/Adrian Zymolka - Quant Evening (Thalesians/Quant Finance Group Germany)
08 Sep - Zurich - Saeed Amen - How to build a CTA? / interactive Python demo
23 Sep - London - Stephen Pulman - Multi-Dimensional Sentiment Analysis
01 Oct - New York - Saeed Amen - How to build a CTA? / interactive Python demo (tbc)
21 Oct - London - Robert Carver - Lessons from systematic trading

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