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The Thalesians

For quant/FX commentary check our newly relaunched blog at http://thalesians.blogspot.co.uk/

Read our Thalesians paper on 4pm FX here, which was featured in the Wall Street Journal, Why FX Traders Trade: A Reminder, by Katie Martin (11 March 2014)

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.

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 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 both the Thalesians NYC seminars with local organizer Harvey Stein and the Thalesians SF seminars.

Systematic trading publications - In late 2013, we started published ground breaking quant strategy notes. Our effort was 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. The Thalesians were also mentioned in the national press for the first time in the Independent in Sep 2013.

Systematic trading consulting - In Jan 2014, we started offering bespoke consulting services in FX markets, signing up our first client, a major US hedge fund. 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. For more information on our quant strategy consulting services and quant strategy notes, please contact saeed@thalesians.com and visit Quant Strategy.

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.

Forthcoming Events

Thalesians Séance (Budapest) — Detlev Schlichter — Paper Money Collapse: The Folly of Elastic Money

Hungarian Parliament

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 Friday, 21st November, 2014.

7:00 p.m. - Welcome drinks, 8:00 p.m. - Detlev Schlichter, Paper Money Collapse: The Folly of Elastic Money 9:00 p.m. - Panel discussion with Gustav Anderson, Zsolt Bihary, Imre Koncz & Zsolt Simon, 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest, Hungary

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/211616852/

Abstract

The evening will consist of a talk by Detlev Schlicter on the subject of Paper Money Collapse: The Folly of Elastic Money. Later, a panel will discuss the subject, which comprises of Gustav Anderson, Zsolt Bihary, Imre Koncz & Zsolt Simon.

Slides

Download the slides (to add)

Speaker

Detlev Schlichter is the author of the bestseller "Paper Money Collapse". Today, he is an independent economist, market commentator and investment strategist. Detlev had a 19-year career in international financial markets as a trader and portfolio manager, including stints at J. P. Morgan, Merrill Lynch, and Western Asset Management. For more info visit http://detlevschlichter.com/

Thalesians Seminar (London) — Saeed Amen — Trading Thalesians LDN Book Launch

Saeed Amen

Date and Time

7:30 p.m. on Monday, 3 November, 2014.

Venue

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

Registration

You can register for this event on Meetup: http://www.meetup.com/thalesians/events/203222312/

Abstract

What can the ancient world teach us about modern money markets? How can we use examples from the ancient world, philosophers and writers to better understand the markets? Just as historians such as Herodotus living in ancient Greece examined the past, can traders look to their past to learn something new? In this exciting new book, Saeed Amen looks to the ancient world to help us better understand modern money markets, demonstrating what ancient philosophers can teach us about trading markets today, and showing readers how to maximize their returns. Based on the rationale that if your primary objective is purely to make money from trading quickly, you can make decisions that perversely increase the likelihood of losing; this book demonstrates how successful trading can actually be achieved as a byproduct of good trading. Relating concepts from the ancient world, such as water and risk, diversified knowledge, Herodotus and historical bias to the modern world money markets, Amen demonstrates that by focusing on goals that go beyond making money, lateral thinking, targeting risk adjusted returns, and keeping drawdowns in check, investors will indirectly make more money in the long run. Investors might be fooled by randomness on occasion, but luck can never be derided as an important factor, which helps investors succeed. Instead repeated success in investing capital over an extended period seems to be less a product of randomness, but instead a product of a profound understanding of markets.

Further details on the book can be found on the Amazon page at http://www.amazon.co.uk/Trading-Thalesians-Saeed-Amen/dp/113739952X

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 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.

Thalesians Seminar (New York) — Saeed Amen — Trading Thalesians NYC Book Launch

Saeed Amen

Agenda

Wed 12th Nov, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

6:45 PM Q/A

Venue

New York Public Library- Science, Industry, and Business 188 Madison Ave, New York, NY.

Enter and leave the building at 188 Madison Avenue. Signs will direct you to the lower level and conference room 014/015.

Registration

You can register for this event on Meetup: http://www.meetup.com/thalesians/events/202322572/

Abstract

What can the ancient world teach us about modern money markets? How can we use examples from the ancient world, philosophers and writers to better understand the markets? Just as historians such as Herodotus living in ancient Greece examined the past, can traders look to their past to learn something new? In this exciting new book, Saeed Amen looks to the ancient world to help us better understand modern money markets, demonstrating what ancient philosophers can teach us about trading markets today, and showing readers how to maximize their returns. Based on the rationale that if your primary objective is purely to make money from trading quickly, you can make decisions that perversely increase the likelihood of losing; this book demonstrates how successful trading can actually be achieved as a byproduct of good trading. Relating concepts from the ancient world, such as water and risk, diversified knowledge, Herodotus and historical bias to the modern world money markets, Amen demonstrates that by focusing on goals that go beyond making money, lateral thinking, targeting risk adjusted returns, and keeping drawdowns in check, investors will indirectly make more money in the long run. Investors might be fooled by randomness on occasion, but luck can never be derided as an important factor, which helps investors succeed. Instead repeated success in investing capital over an extended period seems to be less a product of randomness, but instead a product of a profound understanding of markets.

Further details on the book can be found on the Amazon page at http://www.amazon.co.uk/Trading-Thalesians-Saeed-Amen/dp/113739952X

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 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.

Disclaimer

This is not an instructional program of the New York Public Library.

Global Derivatives USA (Chicago - External Event) — Speakers including Bodek — Trading and risk management

Saeed Amen

Date and Time

17th - 21st Nov, 2014.

Venue

Swissotel, Chicago, USA

To sign up

You can register for this event and pay online at the Global Derivatives USA website: http://www.globalderivativesusa.com/

Members of the Thalesians also have a special 10% discount (please contact saeed who happens to be at thalesians.com for details)

Abstract

Global Derivatives USA - The Leading Quantitative Finance & Derivatives Event In The Americas

What Makes Global Derivatives USA 2014 The Must-Attend Event For All Quants, Traders & Derivatives Practitioners?

  • Over 80 Speakers From Leading Financial Firms
  • Hear senior practitioners from firms including Morgan Stanley, Aurora Investment Management, Ford Motor Company, Bank Of America Merrill Lynch, Barclays, Bluefin Trading, Caisse De Dépôt Et Placement Du Québec, Chicago Trading Company...
  • The Only Event To Offer In-Depth Coverage Of All Asset Classes Of Derivatives Under One Roof In Four Days with a full 5 day program, 90 sessions and 9 separate streams to choose from...
  • Meet 200+ senior traders, portfolio managers, derivative strategists, quantitative analysts from all over the world read more
  • The Most Diverse Speaker Line-Up Ever - Learn from senior quants, portfolio managers and traders from asset managers, hedge funds, pension funds, prop trading firms and banks.

Fascinating Market Insights - Gain invaluable insights from our keynote speakers including

  • Neal Soss, Vice Chairman, Research, CREDIT SUISSE who will examine the global economic outlook for 2015 and beyond
  • Haim Bodek, Managing Principal, DECIMUS CAPITAL MARKETS who will discuss market structure and the problem of high frequency trading
  • Ray Iwanowski, Founder & Managing Principal, SECOR ASSET MANAGEMENT – former Head of Quantitative Investment at Goldman Sachs Asset Management – unique perspective to offer

Speaker

As well as the above, speakers include many well known figures from the finance community, such as John Hull, Peter Carr, Bruno Dupire and Jim Gatheral. Saeed Amen, a co-founder of the Thalesians is also speaking on FX beta.

Recent Events

IAQF-Thalesians Seminar (New York) — Dr. Olympia Hadjiliadis — Drawdowns as insurance and as measures of risk

Olympia Hadjiliadis

Agenda

Wednesday, October 22, 2014:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

In this talk we examine analytical properties of drawdowns as path dependent measures of risk. To this effect we derive analytical formulas of the joint law of drawdowns and the speed with which they are realized. We also examine the problem of valuation of drawdown insurance in the form of digital contracts based on drawdown events. We demonstrate that it is possible to replicate the payoff of such contracts by actual trade instruments. We also consider the problem of valuation of such insurance contracts through a continuously paid risk premium and the optimal termination strategy of such a contract under appropriate conditions.

Speaker

I was born in Athens Greece. All my undergraduate studies were completed in Toronto, Canada, where I studied Statistics. I then completed a Master's degree in Mathematics with specialization in Statistics and Finance at the University of Waterloo in Waterloo, Canada. I worked as an intern for Citibank Canada and as an Associate Financial Engineer at Algorithmics Inc. in Toronto, Canada. I then completed my PhD at the Department of Statistics of Columbia University in 2005 with distinction under the supervision of Jan Vecer and the mentorship of G.V. Moustakides. I finally joined the group of Dean H. V. Poor as a postdoc at Princeton's Department of Electrical Engineering for two years before assuming my position at the City University of New York. My research interests began in the area of quickest detection and sequential analysis. In my earlier years as a researcher I have addressed fundamental problems arising in the area of quickest detection and sequential analysis. For this work I received the NSA Young Investigator's award by the Division of Mathematical and Physical Science in the area of Probability in 2009. Since then, in my attempt to seek further applications of quickest detection and statistical surveillance, I got involved in the development of algorithms for online detection and classification of objects in point clouds of urban scenes, a problem in computer vision. This work has led to further external funding by the NSF. I have also been involved in the area of financial engineering through the study of drawdowns and drawdown insurance and more recently in the applications of detection algorithms in algorithmic trading.

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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