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The Thalesians

For quant/FX commentary check our newly relaunched blog at

Buy the new book, Trading Thalesians - What the ancient world can teach us about trading today, on Amazon by Thalesians co-founder, Saeed Amen & foreword by founder, Paul Bilokon

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 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 Workshop & AlphaScope Conference — Speakers including Bilokon & Amen — Quant trading strategies & much more

Paul Bilokon

Date and Time

3rd - 5th Feb 2015.


InterContinental Hotel, Geneva

To sign up

You can register for this event and pay online at the AlphaScope website:

Members of the Thalesians also have a special discount (please contact saeed who happens to be at for details!)


AlphaScope is the Event That Brings New Thinking In Quantitative Investment Management, Trading & Asset Allocation, from the team which brought you Global Derivatives!

Not To Be Missed At The Only Quantitative & Systematic Investment Event That Matters.

  • The Only Event Of Its Kind To Combine In-depth Scientific Research With Innovative Networking Opportunities And Catering For All Levels Of Technicality: Advanced Thinking & Engaged Conversations.
  • Keynote Interview, Hosted By Maneet Ahuja of CNBC and author of THE ALPHA MASTERS, and exclusive book signing.
  • Not afraid of controversy! Two hot debate topics, as well as Too Hot To Touch closed-door sessions to really pose the big questions.
  • Exclusive Insights And One-to-one Networking Time With Genuine End Investors & Allocators *20+ top investor and allocator names already confirmed to speak*
  • Focus On The Science Behind The Strategy *Hear From Strategists & Portfolio Managers Behind Leading Systematic & Quant Strategies, Including AHL, PANAGORA, FQS and more ...*
  • 'Big-Think' Thinking: Guest Insights From Academic Professor Didier Sornette, Guest Speaker Major-General Jonathan Shaw and Regulator Michael Hume of the BANK OF ENGLAND
  • Academic Insights To Inspire New Ideas & Shed Light On Old Headaches read more

Thalesians Workshop at AlphaScope

The Thalesians will be running a workshop at AlphaScope covering, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. It will cover areas including

  • Systematic trading strategies in both cash and spot
  • News based trading
  • Electronic trading

You can book the workshop at

MathFinance 2015 (Frankfurt - External Event) — Speakers including Wystup & Amen — Quant event

Date and Time

23-24th March 2015


Frankfurt School of Finance & Management

To sign up

You can register for this event and pay online at the MathFinance website: (contact saeed at for a discount code, which is available for Thalesians members)


The MathFinance Conference is the largest quantitative finance event covering the European market. Its unique take on the blending of industry and academia has allowed it to firmly establish itself as one of the top quant events of the year. Renowned speakers from all over the world deliver their talks as part of this two-day event, held in Frankfurt on the 23-24th March 2015.

For over 13 years, the conference has been an influential driver in the dissemination of ideas, information and knowledge. Talks are presented by experts in their field, including distinguished Senior Quantitative Analysts, Traders, Risk Managers and only the top Academics. This ensures that all major developments and issues of this ever evolving marketplace are covered in depth.


Many speakers who have also spoken at the Thalesians will be speaking, including Saeed Amen (co-founder of the Thalesians) and Uwe Wystup.

Recent Events

Thalesian Seminar (London) — Prof. Damiano Brigo — Optimal Execution Comparison Across Risks and Dynamics, with Solutions for Displaced Diffusions

Damiano Brigo

Date and Time

7:30 p.m. on Wednesday, 12 November, 2014.


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

You can register for this event and pay online on


Joint work with Giuseppe Di Graziano.

We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new criterion called "squared asset expectation" (SAE), related to a version of the cost variance measure, are derived and compared. It is well known that displaced diffusions (DD) exhibit dynamics which are in-between arithmetic Brownian motions (ABM) and geometric Brownian motions (GBM) depending of the choice of the shift parameter. Furthermore, DD allows for changes in the support of the mid asset price distribution, allowing one to include a minimum permitted value for the mid price, either positive or negative. We study the dependence of the optimal solution on the choice of the risk aversion criterion. Optimal solutions across criteria and asset dynamics are comparable although differences are not negligible for high levels of risk aversion and low market impact assets. This is illustrated with numerical examples.


Professor Damiano Brigo is Chair of Mathematical Finance and co-Head of group at Imperial College, London, consistently ranked among the top 10 Universities in the world. Damiano is also part of the Stochastic Analysis Group at Imperial and Director of the Capco Insitute in the industry. Damiano’s previous roles include Gilbart Professor and Head of Group at King's College, Managing Director and Global Head of Quantitative Innovation in Fitch, Head of Credit Models in Banca IMI, Fixed Income Professor at Bocconi University in Milan, and Quantitative Analyst at Banca Intesa.

Damiano published 70+ works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, with H-index 24 on Scholar, and books for Springer and Wiley that became field references in stochastic interest rate and credit modeling. Damiano is Editor of the International Journal of Theoretical and Applied Finance, of Mathematics of Control Signals and Systems, and has been listed as the most cited author in Risk Magazine in 2006, 2010 and 2012. Damiano's current interests include valuation, risk measurement, funding, counterparty risk, stochastic models for commodities and inflation, dependence dynamics, liquidity risk, the interaction between the exponential statistical manifold and the dynamic features of stochastic processes laws, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.

Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honours from the University of Padua.


To be published here


To be published here


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


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

[ Solution ]

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