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Why Thalesians for consulting?

Rome

Creating systematic trading strategies requires a lot of time and expertise spanning a multitude of different areas. We enable clients to build these strategies quicker and in a cost effective manner, using our bespoke consulting services.

Saeed Amen, who spearheads our consulting effort, has significant experience creating systematic trading models and also providing specialised quantitative analysis of financial markets. Since 2013, Saeed Amen has run his own proprietary systematic trading portfolio, which has had a Sharpe ratio of over 2.

In 2014, we signed our first client for our bespoke analysis, a major US hedge fund and later in the year we added RavenPack as a client, a major data vendor for news analytics. We present some selected client case studies below. Please contact saeed@thalesians.com for more information about our consulting services.

Client Case Studies

RavenPack

We worked with RavenPack, a major news analytics vendor to investigate how their news data product could be used to systematically trade a number of different markets including FX, equities and bond futures. Our collaboration resulted in some groundbreaking papers, of which excerpts were published in Automated Trader. Some of our work will be featured in the updated book Handbook of Sentiment Analysis in Finance. Full papers are available on request for potential clients.

Peter Hafez, Head of Quantitative Research at RavenPack endorsing the Thalesians

In my capacity as Head of Quantitative Research at RavenPack, I had the privilege to work with the Thalesians on a project focusing on the applications of news analytics in the forex and fixed income markets. The outcome of the project was two papers proposing how news volumes and sentiment could be used to enhance traditional carry strategies, or to create sentiment-driven long/short baskets of government yields. Both papers were very well received by our clients, and we saw a lot of interest coming from the papers. In addition, in 2014, I had the privilege of attending one of Saeed Amen's presentations at the Global Derivatives conference in Chicago, something I found particularly inspiring. Overall, I would be happy to engage the Thalesians in future projects at RavenPack.

Plotly

We showed how to analyse price action around UK elections in a systematic fashion using Python and Bloomberg's API to access data. We presented our results using Plotly's innovative charting framework, which allows users to share graphs and data easily on the web. Our project can be seen on Plotly's blog.

Accenture

We were tasked to come up with an innovative introduction to high frequency trading and dark pools. Our study discussed the impact of high frequency trading on markets over the past few years. Our work was presented to the entire UK team of the capital markets division of Accenture during their annual conference.

Areas of quant expertise

Below is a summary of the areas which Saeed Amen has investigated over nearly a decade in researching systematic trading strategies.

  • CTA style strategies
    • Comprehensive study of systematic trading with a huge array of technical indicators
    • Methods of identifying trend vs. mean-reversion
    • Creating proxies for popular CTA strategies
  • Transaction cost analysis
    • Understanding how to optimise execution of trades
    • Creating a sensitivity analysis for trade execution
  • FX beta
    • Methods of identifying what constitutes FX beta
    • Also published chapter in Wiley book on subject
  • Currency hedging
    • Ways of hedging currency risk when purchasing foreign bonds and equities
    • Active currency hedging strategies
  • Carry
    • Huge amount of work on FX carry
    • Ways of filtering FX carry to reduce drawdowns
    • Using news data to filter FX carry
  • Macro
    • Creation of macro based indicator to trade systematically including growth surprise indices
    • Understanding link between FX and rates
    • Using other macro data to trade FX systematically
    • Terms of trade indices
  • News analysis
    • One of the first researchers to publish work on trading models using Google Trends (at Lehman Brothers in 2008!)
    • Since then created trading models based on Google Domestic Trends and Bloomberg News
    • Carried out bespoke projects on RavenPack news analytics data (creating news based economic sentiment indicators and news FX carry filters)
    • Used Twitter based data to create sentiment indicators
  • Positioning Data
    • Constructing high frequency proxies using publicly available CFTC data
    • Creating systematic trading models using positioning data
  • Intraday trading models
    • Investigating spot behaviour around events such as NFP
    • Creating trading models >1 minute holding period
  • Modelling Liquidity
    • Using tick data to analysis intraday volume in FX markets
    • Creating metrics to effectively proxy liquidity
  • Vol
    • Extensive work on FX systematic vol trading strategies
    • Understanding impact of scheduled events on FX volatility
  • Managing risk
    • Helped to implement models which were run internally by major investment banks
    • Trade my own cash using systematic trading models (Sharpe ratio >2 since summer 2013)
  • Creation of index products
    • Co-developed MarQCuS at Lehman Brothers which had $2bn AUM
    • Worked on creation of G10 and EM FX total return indices
  • This page was last modified on 18 June 2015, at 13:22.
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