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The Thalesians

Some of our talks

Images from Thalesians events from around the world over the past 6 years

The Thalesians are a think tank of dedicated professionals with an interest in quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order.

Blog / See our new Thalesians blog / Book / Buy our new book, Trading Thalesians - What the ancient world can teach us about trading today (Palgrave Macmillan) by the Thalesians co-founder, Saeed Amen & foreword by founder, Paul Bilokon

Founding / The group was founded in Sep 2008, by Paul Bilokon (then a quantitative analyst at Lehman Brothers specialising in foreign exchange, and a part-time researcher at Imperial College), and two of his friends and colleagues: Matthew Dixon (then a quantitative analyst at Deutsche Bank) and Saeed Amen (then a quantitative strategist at Lehman Brothers).

The opening of Level39

The opening of Level39 in 2013 by Mayor Boris Johnson

The Thalesians are also now a member of Level39 - Europe's largest technology accelerator for finance, retail, cyber-security and future cities technology companies​

Events / Research / Consulting

Events / The Thalesians were originally based in London, UK. In Jan 2011, the organisation became truly global when Matthew Dixon brought it to the United States where he runs the Thalesians NYC seminars with New York Leader Harvey Stein. Attila Agod is the Budapest Leader for our Thalesians Budapest seminars. We are currently in the process of expanding our seminars to Prague and running more workshops.

Research / In late 2013, we started published ground breaking quant strategy notes. Our effort is lead by Saeed Amen, using nearly a decade of his experience both creating and later trading systematic trading models in FX at major investment banks. Visit Research for more.

Consulting / In 2014, we started offering bespoke quant consulting services in markets, signing up our first client, a major US hedge fund and RavenPack, a major news data vendor. Our services includes the creation of bespoke systematic trading models and other quant analysis of financial markets, such as currency hedging and FX transaction cost analysis (TCA). Visit Consulting for more.

Timeline

Our Philosophy

We are named after Thales of Miletus (Θαλῆς ὁ Μιλήσιος), a pre-Socratic Greek philosopher who lived in ca. 624 BC-ca. 546 BC. Thales was a mathematician and is familiar to many secondary school students for one of his theorems in geometry.

But more relevantly to us, he was one of the first users of options:

"Thales, so the story goes, because of his poverty was taunted with the uselessness of philosophy; but from his knowledge of astronomy he had observed while it was still winter that there was going to be a large crop of olives, so he raised a small sum of money and paid round deposits for the whole of the olive-presses in Miletus and Chios, which he hired at a low rent as nobody was running him up; and when the season arrived, there was a sudden demand for a number of presses at the same time, and by letting them out on what terms he liked he realised a large sum of money, so proving that it is easy for philosophers to be rich if they choose, but this is not what they care about."Aristotle, Politics, 1259a.

The morale of this anecdote is that it is easy for philosophers to be rich if they choose; the famous Milesian went ahead and proved it.

We, the Thalesians, admire him for that. But we also share many of his values, for example his core belief that a happy man is defined as one "ὁ τὸ μὲν σῶμα ὑγιής, τὴν δὲ ψυχὴν εὔπορος, τὴν δὲ φύσιν εὐπαίδευτος" (who is healthy in body, resourceful in soul and of a readily teachable nature).

This wiki was created to serve as a source of information on quantitative finance, to collate references to various related resources, and to serve as a convergence point for the Thalesians, our colleagues and collaborators. It grew out of Paul Bilokon's finance wiki, which he started in February, 2007.

We believe that secrecy and fidelity are important in the world of finance. But we also acknowledge the power of information sharing in open societies. Let your business logic remain a closely guarded secret. But release everything else into the public domain. What goes around, comes around; this will ultimately spare you reinventing the wheel.

Some of our talks

More of our speakers at Thalesians events over the past 6 years


Forthcoming Events

Behavioural Models & Sentiment Analysis: Applied to Finance (London - External Event) — Speakers including Hafez & Amen

Peter Hafez

Peter Hafez

Date and Time

15-16th July 2015

Venue

London

To sign up

You can register for this event and pay online at Unicom's website at http://conferences.unicom.co.uk/sentiment-analysis/programme.php

Abstract

Sentiment analysis has developed as a technology that applies machine learning and makes a rapid assessment of the sentiments expressed in news releases. News (events) move the market and are measured quantitatively. Analysts and investors digest financial news and their perceptions impact the market and move stock prices. This conference presents the current state of the art in this fast-emerging field. This is the 5th conference on this topic organized by UNICOM Seminars Ltd. The programme focuses on the application of Sentiment Analysis to the respective models of trading, fund management and risk control. Specialists in the domain present their recent research results, case studies and technology overviews. In particular the topic of Algorithmic Trading is addressed. Special features of this year’s conference are the inclusion of Social Media data (Twitter, blogs, Google Trends, online searches); how trustworthy these are and how they influence market sentiment, sentiment analysis for multiple asset classes.

Speakers include

  • Saeed Amen: Managing director and co-founder of the Thalesians.
  • Cristiano Arbex Valle: OptiRisk
  • Ashok Banerjee: Dean of New Initiatives and External Relations at IIM Calcutta
  • Svetlana Borokova: Associate professor of Quantitative Finance at the Vrije Universiteit Amsterda
  • James Cantarella: Global Proposition Manager for Enterprise Analytics at Thomson Reuters
  • Asher Curtis: Assistent Professor at University of Washington
  • Elijah DePalma: Quantitative research analyst for Thomson Reuters Machine Readable News group
  • Giuliano De Rossi: Head of European Quantitative Research team at Macquari
  • Dan diBartolomeo: President and founder of Northfield Information Services, Inc
  • Armando Gonzalez: President & CEO of RavenPack
  • Ilya Gorelik: CEO & Founder of Deltix, Inc.
  • Peter Hafez: Quant Research at RavenPack
  • Gary Kazantsev: R&D Machine Learning group at Bloomberg
  • Adrian Letchford: Research Fellow in Data Science at Warwick Business School
  • Raphael Markellos: Professor of Finance at Norwich Business School, University of East Anglia
  • Gautam Mitra: Founder and the MD of OptiRisk Systems
  • Richard Peterson: CEO of MarketPsych Data
  • Stephen Pulman: Professor of Computational Linguistics at the Department of Computer Science, Oxford University
  • Rajib Ranjan Borah: co-Founder and Director of iRageCapital Advisory Private Limited, and QuantInsti Quantitative Learning Private Limited
  • Xiang Yu: Business Development Techno Executive at OptiRisk Systems

Thalesians/Quant Finance Group Germany (Frankfurt) — Quant Evening

Yves Hilpisch

Yves Hilpisch

Date and Time

6:00 p.m. on Monday, 7 September, 2015

Venue

PPI AG Office, Wilhelm-Leuschner-Straße 79, Frankfurt Am Main

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/223304563/

Abstract

FREE evening of talks, kindly hosted by PPI AG

Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI AG for hosting.

  • History, Mission Statement and Future of the Group & Welcome from PPI Host
  • Saeed Amen (Thalesians) - Quant trading in FX
  • Yves Hilpisch (Python Quants) - Python
  • Thomas Wiecki (Quantopian) - Crowd-sourced hedge funds
  • Jochen Papenbrock (PPI) - Correlation Networks
  • Miguel Vaz (D-Fine) - Networks with Python/Spark
  • Adrian Zymolka (Axioma) - Multi-Period Optimization

Event finish and drinks!

You can access the Thalesians/Quant Finance Germany (Frankfurt) LinkedIn Group page here.

Selected Bios

TBC


Thalesians Seminar (Zurich) — How to build a CTA? / interactive Python PyThalesians demo

AHL

Saeed Amen

Date and Time

6:00 p.m. on Tuesday, 8 September, 2015

Venue

ETH Swiss Federal Institute of Technology Zurich, Raemi Street 101, 8092 Zurich

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/223572550/

Abstract

This will be a FREE event and our first event in Zurich - thanks to ETH for kindly hosting this event and for Swati Mital for organising. The talk will be at 6pm Zurich time.

In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors.

Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub). Amongst other things we shall investigate the properties of intraday FX volatility, where we'll be accessing live market data via Bloomberg and also creating customised plots using Matplotlib.

Selected Bios

Saeed Amen is a Managing Director and a Co-founder at Thalesians Ltd.

Saeed is currently publishing ground-breaking quant strategy notes at Thalesians Ltd., drawing upon nearly a decade of experience both creating and running systematic trading models successfully with real cash. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX. He is currently also writing a book on trading which is due to be published by Palgrave Macmillan (preliminary title: Trading Thalesians - What the ancient world can teach us about trading today)

Saeed started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic FX prop trading book and conducted research around high frequency FX including economic events. Later he was at Nomura as an Executive Director in Quantitative Strategy, also in FX, developing their model infrastructure and also running systematic FX prop risk. He graduated from Imperial College with a first class honours master's degree in Mathematics and Computer Science.

Recent Events

IAQF-Thalesians Seminar (New York) — Dr. Andrew Kalotay — Tax-Efficient Trading of Municipal Bonds

Andrew Kalotay

Andrew Kalotay

Agenda

Thursday, May 14, 2015:

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

Abstract

Although tax-loss selling is widely recognized as a potential enhancer of after-tax return, it is usually employed opportunistically, rather than as part of a comprehensive investment strategy. In particular, little attention is paid to determining the optimum time to execute, given transaction costs.

Municipal bonds provide an ideal asset class to appreciate the benefit of active tax management, because the tax-exemption of interest by itself does not guarantee tax-efficient performance. We will present a dynamic approach to maximize after-tax return, which includes structuring of the portfolio and optimizing the timing of trades. The key insight is that the right to make a tax-driven trade is a (tax) option, which is acquired automatically and at no cost with any purchase. The value of this option can be rigorously determined. Selling and reinvesting entails swapping the associated options. Thus the sale decision should factor in the net loss of option value. Our dynamic strategy is expected to improve after-tax return over buy-and-hold by 30-80 basis points annually, depending on the duration of the portfolio and on investor-specific considerations. The approach can be adapted to other asset classes, including common equity.

Speaker

Andrew Kalotay is a leading authority on the valuation of bonds and interest rate derivatives. He is a prolific contributor to the literature on topics ranging from advance refunding to tax-neutral valuation and tax management of municipal bond investments. His firm licenses fixed income valuation software and provides debt management advisory services.

Before establishing Andrew Kalotay Associates in 1990, Dr. Kalotay was with Salomon Brothers. Prior to Wall Street, he was at Bell Laboratories and AT&T. On the academic side, he was the founding director of the graduate Financial Engineering program at Polytechnic University (now part of NYU).

Dr. Kalotay holds a B.Sc. and M.Sc. from Queen's University and a Ph.D. from the University of Toronto, all in mathematics. He was inducted into the Fixed Income Analyst Society’s "Hall of Fame" in 1997.

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.

For older events, please see The Thalesians Quantitative Finance Seminars.

Puzzles

Masses and Buckets

You have M masses,  m_1, m_2, \ldots, m_M which you want to distribute across N buckets "as uniformly as possible". By this I mean that you are trying to minimise  \sum_{i=1}^N \sum_{j=i}^N (b_i - b_j)^2 , where bk is the sum of the masses in the k-th bucket. How would you achieve this?

To make this a little bit more concrete, suppose that I give you 20 masses, e.g. 23, 43, 12, 54, 7, 3, 5, 10, 54, 55, 26, 9, 9, 43, 54, 1, 8, 6, 38, 33. There are 4 buckets. How would you distribute the masses?

Please send your answers to paul, who happens to be at thalesians.com.

[ Solution ]

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