Personal tools
User menu

Main Page

From Thalesians

Jump to: navigation, search

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

NYC

  • Thursday September 15: TBD
  • Thursday, October 20: TBD
  • Thursday, November 17: TBD
  • Wednesday, December 14: TBD

London


Thalesians Seminar (London) — Scott Cogswell — Initial Margin Model and Regulation for Uncleared Derivatives

Scott Cogswell

Scott Cogswell

Date and Time

7:30 p.m. on Wednesday 20th July 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/232081608/

Abstract

New margin requirements are enforced by Regulators starting on September this year. These requirements will have big impact on the trade decisions faced by large institutions, in particular, regulators expect an increase of Central Clearing while market participants fear of market illiquidity.The talk will describe the new regulation as well as the models used by the Industry to calculate and forecast this bilateral margin as well as the potential implications of the new rules.

Speaker

Scott Cogswell is a Manager at HSBC with more than 10 years of experience in the Industry. Scott has lead HSBC's implementation of the Initial Margin model for uncleared derivatives and is an active member of the industry working group on the topic.


APRM Bootcamp - Advanced Risk and Portfolio Management Bootcamp (NYC - External Event) — Speakers including Attilio Meucci

ARPM Bootcamp

ARPM Bootcamp

Date and Time

15th - 20th Aug, 2016

Venue

New York University

To sign up

Registration is open here. Thalesians members can also obtain a discounted rate, contact saeed@thalesians.com for the discount code!

Abstract

Topics include portfolio construction, factor modeling, liquidity and execution, estimation risk/data mining, risk modeling, optimization, and much more. The program is delivered as theory, live simulations, review sessions and exercises. Plus...

  • Gala dinner and other networking opportunities
  • Renowned guest speakers. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more
  • Internships
  • Access to the ARPM Lab, with code and theory
  • Certifications: 40 GARP CPD, 40 CFA Institute CE credits, academic credit, ARPM Certificate®
  • 2-day Python and MATLAB conferences

Program | Registration | Video


Recent Events

Thalesians Seminar (London) — Steve Hutt — Recent Advances in Deep Learning and Applications to Market Data

SteveHutt

Steve Hutt

Date and Time

7:30 p.m. on Wednesday 29th June 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/231290861/

Abstract

Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data.

Speaker

Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology.


IAQF-Thalesians Seminar (New York) — Dr. Tobias Adrian — Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

Tobias Adrian

Tobias Adrian


Agenda

Thursday, June 16, 2015:


Venue

NYU Kimmel Center, Room 905/907, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX.


Speaker

Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Fed's financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph.D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU.


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.


Thalesians Seminar (Zurich) — Felix Zumstein - Python in Quantitative Finance

Felix Zumstein

Felix Zumstein

Date and Time

7:00 p.m. on Thursday, 9 June, 2016

Venue

Room: PLM - 103/105, Plattenstrasse 14, University of Zurich, Zurich, 8092 Zurich

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/231187380

Abstract

This will be a free Zurich event - special thanks to Prof. Markus Leippold and University of Zurich for providing us with the venue and for Swati Mital for organising. The talk will be at 7.00pm Zurich time. Students, academics and professionals are all welcome to attend.

Felix will demonstrate how to use Python and Excel to develop applications related to Quantitative Finance, for example, portfolio optimisation and derivative pricing. Some prior knowledge of scripting languages is assumed.

Selected Bios

Felix Zumstein is CEO of Zoomer Analytics. Zoomer Analytics provides customized solutions for quant finance and other scientific areas. Our speciality is the connection of Microsoft Excel with Python, a powerful yet easy to use programming language that is very well suited for numerical analysis. We also provide professional support for our open-source solution http://xlwings.org


Thalesians Seminar (London) — Paul Bilokon — How to run electronic market making business?

Paul Bilokon

Paul Bilokon

Date and Time

7:30 p.m. on Wednesday 25th May 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/230629291/

Abstract

Examining the electronic trading business from a practitioner’s perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market maker’s business calculus.

Speaker

Paul A. Bilokon is Director at Deutsche Bank, where he runs the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit.

Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Paul's other academic interests include stochastic filtering and machine learning. He is an expert developer in C++, Java, Python, and kdb+/q, with a special interest in high performance scientific computing.

His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors.

Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forum's SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999); a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society; Associate of the Securities and Investment Institute, and Royal College of Science; and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains.


IAQF-Thalesians Seminar (New York) — Dr. Luis Seco — Hedge funds: are negative fee’s in the horizon? An option pricing perspective

Luis Seco

Luis Seco


Agenda

Thursday, May 12, 2015:


Venue

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


Registration


Abstract

The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a cost/benefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor.


Speaker

Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis & Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology.


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.


Thalesians/Quant Finance Group Germany (Frankfurt) — Thomas Wiecki — Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests

d-fine

Thomas Wiecki

Date and Time

7:30 p.m. on Wednesday 11th May 2016

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/229753964/

Abstract

FREE event, kindly hosted by PPI

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

The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R² < 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R² = 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives.

Speaker

Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University.


Global Derivatives (Budapest - External Event) — Speakers including Carr & Hull — Trading and risk management / Thalesians Workshop

Peter Carr

Peter Carr

Date and Time

9th - 13th May, 2016

Venue

Hotel Intercontinental, Budapest, Hungary

To sign up

You can register for this event and pay online at the Global Derivatives Europe website: http://www.icbi-derivatives.com/FKN2466TH - Members of the Thalesians receive a 15% discount (click on the link to activate)

Abstract

The World's Largest Quant Finance Conference

  • Join 500+ Quants & Traders From Around The World
  • Over 130+ Sessions Covering 5 Full Days Of Content
  • 120+ Expert Speakers
  • Buy-Side Summit: Quantitative Investment & Portfolio Strategies
  • Fintech & Disruptive Innovation Summit

Speakers

Unmissable speakers for 2016!

  • Peter Carr, Global Head of Market Modelling, Morgan Stanley
  • John Hull, Professor Of Derivatives & Risk Management, University of Toronto
  • Zoltan Eisler, Co-Head of Execution, Capital Fund Management
  • Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse

Thalesians Workshop on Electronic/Systematic Trading at Global Derivatives

The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies.

  • Introduction to algorithmic trading and market microstructure models
  • Foundations of linear filtering with applications
  • Foundations of nonlinear filtering with applications
  • How can we define beta in FX and how can we make it smarter?
  • Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture & news analytics
  • Trading Strategy Focus: How to build a CTA/trend following fund?
  • Python & PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial)
  • Author Talk: Trading Thalesians – What the ancient world can teach us about trading today (Palgrave Macmillan)

External: Emerging Quant Managers (Chicago) — Euan Sinclair — Systematic Vol Trading

Euan Sinclair

Euan Sinclair

Date and Time

3:30 p.m. on Friday 6th May 2016

Tickets

For more information on the event and RSVP/tickets visit Spreadhunter

Venue

BOX Options Exchange

Abstract

Euan will be giving a talk on systematic vol trading.


Thalesians Seminar (London) — Jacob Bartram — Can option trading strategies enhance CTA/trend following - an analysis

Jacob Bartram

Jacob Bartram

Date and Time

7:30 p.m. on Wednesday 20th April 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/228722503/

Abstract

In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities.

Speaker

Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX.


IAQF-Thalesians Seminar (New York) — Dr. Lawrence R. Glosten — Strategic Foundation for the Tail Expectation in Limit Order Book Markets

Lawrence Glosten

Lawrence Glosten


Agenda

Thursday, April 14, 2015:


Venue

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


Registration


Abstract

We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies; each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order.


Speaker

Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets; the relationship between venture capitalists and entrepreneurs; evaluating the performance of portfolio managers; asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph.D. in managerial economics from Northwestern University (1980).


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.


Thalesians Seminar (London) — Robin Hanson — Economics when robots rule the Earth (Book)

Robin Hanson

Robin Hanson

Date and Time

7:30 p.m. on Monday, 21 March, 2016

Venue

Level39, One Canada Square, Canary Wharf, London, E14, UK

Meetup.com

You can register for this event which is free at Meetup.com: http://www.meetup.com/thalesians/events/227552188/

Abstract

FREE event - kindly sponsored by the Level39 - fintech accelerator - http://www.level39.co/

Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here)

Robots may one day rule the world, but what is a robot-ruled Earth like?

Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human.

Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks.

Some say we can't know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems.

While human lives don't change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear.

Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love.

This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em.

Speaker

Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPA's FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling.


MathFinance 2016 (Frankfurt - External Event) — Speakers including Wystup & Dupire — Quant event

MathFinance

Date and Time

21-22st March 2016

Venue

Frankfurt School of Finance & Management

To sign up

You can find out more about this event and register and pay online at the MathFinance website: https://mathfinance.com/conference.html

Abstract

In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community.

Speaker

Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference.


IAQF-Thalesians Seminar (New York) — Dr. Alexander Lipton — Modern Monetary Circuit Theory

Alexander Lipton

Alexander Lipton


Agenda

Tuesday, March 15, 2015:


Venue

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


Registration


Abstract

A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a bank’s balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered.

Speaker

Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute.

Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University.

Lipton’s interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering.


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.


Thalesians Seminar (London) — Prof Jessica James — FX Option Trading (Book)

Jessica James

Jessica James

Date and Time

7:30 p.m. on Monday, 29 February, 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/227621237/

Abstract

Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here)

Get the little known yet crucial facts about FX options

Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance.

This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies.

  • Examine the historical payoffs to the most popular and liquidly traded options
  • Learn which options are overvalued and which are undervalued
  • Discover surprising, generally unpublished facts about emerging markets
  • Examine systemic option trading strategies to find what works and what doesn′t

On average, do options result in profit, loss, or breaking even? How can corporations more cost–effectively hedge their exposure to emerging markets? Are cheap out–of–the–money options worth it?

Speaker

Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group.

Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford.

Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her new book ‘FX Option Performance’ was published in May 2015.

She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School.

Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.


IAQF-Thalesians Seminar (New York) — Dr. Harry Mamaysky — Does Unusual News Forecast Market Stress?

Harry Mamaysky

Harry Mamaysky


Agenda

Tuesday, February 16, 2016:


Venue

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


Registration


Abstract

We find that an increase in the "unusualness" of news with negative sentiment predicts an increase in stock market volatility. Our analysis is based on over 360,000 articles on 50 large financial companies, mostly banks and insurers, published in 1996--2014. We find that the interaction between measures of unusualness and sentiment forecasts volatility at both the company-specific and aggregate level. These effects persist for several months. The pattern of response of volatility in our aggregate analysis is consistent with a model of rational inattention among investors.

(Joint work with Paul Glasserman)

Speaker

Harry Mamaysky is the head of research and a founding partner at Osprey Bay Capital Management LLC. He is a visiting research scholar and adjunct professor at Columbia Business School. He was formerly head of the Systemic Risk Group at Citigroup, and a member of the firm's Risk Executive Committee. Previous to that, he was senior portfolio manager in Citi Principal Strategies, where he co-managed the relative value credit book. Before joining Citigroup, he held positions with Old Lane, Morgan Stanley, and Citicorp. He was also an assistant professor of finance at the Yale School of Management during the period 2000–02.


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.


Thalesians/Quantopian Seminar (London) — Saeed Amen/Delaney Granizo-Mackenzie — CTA/Pairs trading

Saeed Amen

Saeed Amen

This is a joint Thalesians/Quantopian event - Location Thomson Reuters and will be free as it has been kindly sponsored by Quantopian. Food and drinks will be available.

Date and Time

6:00 p.m. on Monday, 8 February, 2016

Venue

Thomson Reuters, Canary Wharf

Meetup.com

You can register for this free event on Meetup.com: http://www.meetup.com/thalesians/events/227338613/

Abstract

How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - https://github.com/thalesians/pythalesians

Pair trading strategies (Delaney Granizo-Mackenzie)' - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics.

Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk.

• What is cointegration? • How to test for cointegration? • What is pairs trading? • How to find cointegrated pairs? • How to generate a tradeable signal?

This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: www.quantopian.com/lectures.

Speaker

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 has published Palgrave Macmillan (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. He has presented his research at the Federal Reserve Board in Washington DC and also at the Bank of England.

Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool.

After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaney’s background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning.


Thalesians Séance (Budapest) — Robin Hanson & Panel — Economics when robots rule the Earth

Robin Hanson

Robin Hanson

A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events!

Date and Time

7:00 p.m. on Fri 29th January, 2016

7:00 p.m. - Welcome drinks, 8:00 p.m. - Robin Hanson presentation 9:00 p.m. - Discussion panel 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/227968575/

Abstract

At the 8th Thalesians Séance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (http://ageofem.com/).

Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians)

Speaker

Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPA's FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling.

Video


Thalesians Seminar (London) — Nick Firoozye — Managing Uncertainty, Mitigating Risk (Book)

Nick Firooyze

Nick Firoozye

Date and Time

7:30 p.m. on Wednesday, 20 January, 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/227338313/

Abstract

Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit.

This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability – the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty.

Speaker

Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nick's area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capital's Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone.


IAQF-Thalesians Seminar (New York) — Dr. Nick Costanzino — Pricing and Hedging Recovery Risk with Structural and Reduced Form Models

Nick Costanzino

NickCostanzino


Agenda

Tuesday, January 12, 2015:


Venue

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


Registration


Abstract

The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over- or underpricing the default risk portion of the credit spread . In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework.


Speaker

Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R.I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. 

Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto.


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.


External (London) — International Conference on Computational Finance (ICCF2015)

University of Greenwich

University of Greenwich

Date and Time

December 14th - 18th, 2015

Venue

University of Greenwich London

Tickets

You can register for this event at http://cms1.gre.ac.uk/conferences/ICCF2015/

Abstract

The theme of the conference:

  • Linear and nonlinear models for various financial products.
  • Analysis of market models.
  • Modelling futures and commodity tradings.
  • Modelling the energy market.
  • Numerical methods for computational finance: SDEs and PDEs.
  • Optimal control in finance and financial products.
  • Model reduction and Lie group methods.
  • Monte-Carlo simulations.
  • Parallel algorithms, high performance computing, and GPU.
  • Computational tools and software development for computational finance.
  • Qualitative analysis of trading models.

A fuller programme is available at http://cms1.gre.ac.uk/conferences/ICCF2015/ICCF2015_tentative_programme.pdf

Speakers include Saeed Amen (co-founder of the Thalesians).


IAQF-Thalesians Seminar (New York) — Dr. Yakov Amihud — The Pricing of the Illiquidity Factor's Systematic Risk

Yakov Amihud

Yakov Amihud


Agenda

Monday, December 14, 2015:


Venue

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


Registration


Abstract

We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4% over the period 1950-2012. I then test whether the systematic risk (β) of IML is priced in a multi-factor CAPM. The model allows for a conditional β of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML β is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks.


Speaker

Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University.  He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets' trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank M&As, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance.


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.


Thalesians Seminar/Xmas Dinner (London) — Matthew Dixon — Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi

Matthew Dixon

Matthew Dixon

Date and Time

6.30p.m. on Monday, 14 December, 2015

Venue

La Tasca, West India Quay, Canary Wharf, London E14 4AE

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/226280264/

Talk & Dinner

We invite you to our 2015 Thalesians LDN Xmas seminar & dinner by Matthew Dixon on "Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi" followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below).

On Arrival - A Glass of Sangría Tradicional

To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil.

Tapas Selection

  • Christmas Albóndigas (Madrid) - Turkey & pork meatballs, in a rich, sherry and cranberry sauce.
  • Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese.
  • Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine & cream sauce.
  • La Tasca House Green Salad GF V (Navarra)
  • Patatas Bravas con Alioli (España) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise.

Choose from:

  • Paella de Carne GF (Valencia) - With chicken breast and chorizo.
  • Paella Verduras GF V (Valencia) - With seasonal vegetables.

To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce

Abstract

Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs.

Bio

Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd.

He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthew's research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CS/Math at Stanford University and UC Davis.

Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014.

Video


Thalesians Panel (London) — Cudmore/Burroughs & more — Global macro panel

Eric Burroughs

Eric Burroughs

Date and Time

7:30 p.m. on Wednesday, 25 November, 2015

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/225880316/

Abstract

With markets in flux looking towards a Fed hike in the coming months, and the large sell off in emerging markets, our expert panel will discuss how markets are behaving and also will be giving their views for macro markets, in particular for FX and rates.

There will also be a Q&A to bring the audience into the discussion.

Our panellists will include:

  • Eric Burroughs (Reuters - Editor of FX Buzz @ericbeebo)
  • Mark Cudmore (Bloomberg News - First Word EM Strategist)
  • Mick Grady (Aviva - Senior Economist/Multi-asset strategist @fundamentalmac)
  • Jeremy Wilkinson-Smith (Independent FX trader @JeremyWS)

Saeed Amen (co-founder and managing director of the Thalesians @thalesians) will host the panel

Selected Bios

Eric Burroughs is editor and managing analyst of Reuters Buzz, the intraday market intelligence and commentary service. Has covered markets and economics around the world for 15 years with Reuters, including stints in New York, Tokyo and Hong Kong where he previously served as Asia Financial Markets Editor.

Mark Cudmore recently joined Bloomberg as an Emerging Market Strategist, focusing predominantly on the CEEMEA region and with FX as a core product focus. He has spent over a decade in financial markets, mainly as an EM FX sell-side trader but also has worked in sales and on the buy-side. Mark graduated from Trinity College Dublin with a first class honours degree in Mathematics and Economics.

Mick Grady (@fundamentalmac) recently joined Aviva Investors as Senior Economist and Multi-asset Strategist, responsible for global macro markets. Previously he was Senior Economist at COMAC Capital, a global macro hedge fund, following over a decade in a variety of roles at the Bank of England. He began his career in Australia as an economist at the Treasury department. He holds an Honours degree in Economics (Macquarie University Australia).

Jeremy Wilkinson-Smith (@JeremyWS) is an independent trader. He has spent the 5 years, trading FX and interest rates from a global macro perspective. He is currently reading finance at the University of Warwick.

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 has published Palgrave Macmillan (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. He has presented his research at the Federal Reserve Board in Washington DC and also at the Bank of England.

Video


Thalesians Seminar (Zurich) — Thomas Schmelzer - Portfolio Optimization, Regression and Conic Programming

Thomas Schmelzer

Thomas Schmelzer

Date and Time

6:15 p.m. on Thurday, 26 November, 2015

Venue

Room: PLM - 103/104, Plattenstrasse 14, University of Zurich, Zurich, 8092 Zurich

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/225880103/

Abstract

This will be a free Zurich event - thanks to Prof. Dr. Markus Leippold, Direktor Master of Advanced Studies UZH in Finance for kindly hosting this event and for Swati Mital for organising. The talk will be at 6.15pm Zurich time. There will also be post-events drinks (location tba).

Using examples from portfolio management and quantitative trading we illustrate the power and flexibility of conic programming. We point to various common mistakes in setting up portfolio models and in solving them algorithmically. Several Python code fragments are given.

Selected Bios

Dr. Thomas Schmelzer is Head of Quantitative Research at a Geneva based wealth manager. He has a PhD. in Mathematics from University of Oxford where he was a Rhodes Scholar at Balliol College. In his previous roles he has held key positions in the UK, Liechtenstein and Switzerland including Senior Researcher at Winton Capital Management and a Quantitative Portfolio Manager at Oxford Asset Management.


IAQF-Thalesians Seminar (New York) — Dr. Andrey Itkin — Efficient solution of structural default models with correlated jumps and mutual obligations

Andrey Itkin

Andrey Itkin


Agenda

Thursday, November 12, 2015:


Venue

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


Registration


Abstract

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two- and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time; in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects.

Speaker

Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.


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.


Thalesians Seminar (London) — Robert Carver — Lessons from Systematic Trading

Robert Carver

Robert Carver

Date and Time

7:30 p.m. on Wednesday, 21 October, 2015

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/224130063/

Abstract

It's my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes I've made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically.

Speaker

Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of "Systematic Trading", a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment.

Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL , one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHL's fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013.


IAQF-Thalesians Seminar (New York) — Dr. Dan Pirjol — Can one price Eurodollar futures in the Black-Derman-Toy model?

Dan Pirjol

Dan Pirjol


Agenda

Wednesday, October 14, 2015:


Venue

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


Registration


Abstract

Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model.


Speaker

Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance.


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.


Thalesians Séance (Budapest) — Taylor Spears & Panel — The Sociology of CVA

Taylor Spears

Taylor Spears

A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events!

Date and Time

7:00 p.m. on Fri 9th October, 2015

7:00 p.m. - Welcome drinks, 8:00 p.m. - Taylor Spears presentation 9:00 p.m. - Discussion panel 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/225264939/

Abstract

At the 7th Thalesians Séance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologist’s point of view. After Taylor's talk a panel of practitioners will challenge his ideas.

Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead)

Speaker

Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh.


Thalesians Seminar (New York) — Creating trend following fund: How to build a CTA? / interactive Python PyThalesians demo

Saeed Amen

Saeed Amen

Date and Time

6:00 p.m. on Thursday, 1 October, 2015

Venue

Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY

Meetup.com

You can register for this event and pay for tickets at Meetup.com: http://www.meetup.com/thalesians/events/224534116/

Abstract

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 has published Palgrave Macmillan (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. He has presented his research at the Federal Reserve Board in Washington DC and also at the Bank of England.


Thalesians Seminar (London) — Stephen Pulman — Multi-Dimensional Sentiment Analysis

Stephen Pulman

Stephen Pulman

Date and Time

7:30 p.m. on Wednesday, 23 September, 2015

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/223986866/

Abstract

All sentiment analysis systems can deliver positive/ negative/neutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere.

Speaker

Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut für Maschinelle Sprachverarbeitung, University of Stuttgart; and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI International's Cambridge.

Video


IAQF-Thalesians Seminar (New York) — Dr. Agostino Capponi — Arbitrage-Free Pricing of XVA

Agostino Capponi

Agostino Capponi


Agenda

Monday, September 21, 2015:


Venue

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


Registration


Abstract

The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks).

In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim.

This leads to defining buyer's and seller’s XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbarg's model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels.


Speaker

Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph.D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009.

His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks.


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.


Thalesians Seminar (San Francisco) — Steven Pav - Portfolio Inference and Portfolio Overfit

StevenPav

Steven Pav

Date and Time & Schedule

6:00 p.m. on Thursday, 10 September, 2015
6pm: Reception in Julia's Lounge
7pm: Talk in the Member's Lounge
8pm: Networking*

Venue

Berkeley City Club, 2315 Durant Ave, Berkeley, CA

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/224519949/

Abstract

By using a little known matrix equation, we derive the asymptotic distribution of the Markowitz portfolio, taking into account common practical tweaks. This allows inference to be performed in a wide variety of asset allocation problems. We also discuss a fundamental bound on portfolio quality when the goal is to maximize the Sharpe ratio. This bound, which can be seen as a quantification of 'overfit', helps solve some puzzles in asset allocation: why diversification can hurt, why portfolio managers do not (or should not) make more than 5 decisions at a time, etc.

Bio

Steven Pav served as a quantitative strategist at Cerebellum Capital for 7 years where he designed and implemented backtest, execution, and research infrastructure in Matlab and C for a daily trading system on equities and volatility futures. His contributions also include designing machine learning quantitative strategies and devising methods to correct for overfit bias in the backtesting and strategy development process. Steve holds a Ph.D. in Math from Carnegie Mellon.

Acknowledgements

The Thalesians are delighted to acknowledge the sponsorship of this event by Voleon Capital Management.

  • Please note the bar in Julia's Lounge will remain open to the public until 8:30pm, but the Member's Lounge will remain open to the Thalesians until 9:30pm.

Thalesians Seminar (Zurich) — Creating trend following fund: 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

Room G 43, Building HG, ETH Hauptgebäude, Rämistrasse 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 has published Palgrave Macmillan (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. He has presented his research at the Federal Reserve Board in Washington DC and also at the Bank of England.


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

Yves Hilpisch

Saeed Amen

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 & PyThalesians
  • Jochen Papenbrock (PPI & Firamis) - 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 talk abstracts

Saeed Amen (Thalesians) - Quant trading in FX & PyThalesians - We shall present how to use the open source PyThalesians Python library to analyse FX markets, plot data and also to create FX trading strategies.

Jochen Papenbrock (PPI & Firamis) - Correlation Networks - On the rise: correlation networks experience a vibrant time. They are currently emerging due to their ability of capturing systemic risk and extrinsic fragility. They help to create antifragile portfolios which actually gain from crisis and also do well in calm market times. This is because of their higher order diversification properties which systematically harvest the risk premiums of multiple assets. Also, risk managers, regulators and auditors appreciate correlation networks due to their simplicity and effectiveness - and their ability to scan portfolios for risk and to visualize portfolio fragility. In the talk I will give an overview on all these aspects of correlation networks.

Adrian Zymolka (Axioma) - Multi-Period Optimization - Modern optimizers can handle complex portfolio construction problems with many realistic requirements. In practice - particularly in production environments - such tasks usually focus on immediate decisions to take ('the next portfolio/trade list') which makes them myopic by nature. In contrast, multi-period optimization tackles an entire portfolio evolution through time and determines the optimal allocations/trades for the current as well as subsequent rebalancings at once. This allows to exploit better trade-offs between short- and long-term effects as well as between averaging and accumulating measures, leading to better informed decisions in view of expected future developments.

In this talk, I briefly introduce our approach to multi-period optimization, differentiate it against other time-referenced portfolio construction concepts, and present some typical application cases, like trade scheduling, tracking around benchmark reconstitutions, alpha factor selections, or multi-horizon alpha integration.

(A longer presentation on the topic and the application cases is planned for a future Thalesians seminar.)

Selected Bios

TBC

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 ]

  • This page was last modified on 5 July 2016, at 12:08.
  • This page has been accessed 660,850 times.