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 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.
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.
More of our speakers at Thalesians events over the past 6 years
Thalesians/Quant Finance Group Germany (Frankfurt) — Quant Evening
Date and Time
6:00 p.m. on Monday, 7 September, 2015
PPI AG Office, Wilhelm-Leuschner-Straße 79, Frankfurt Am Main
You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/223304563/
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
- Yves Hilpisch (Python Quants) - Python
- Thomas Wiecki (Quantopian) - Crowd-sourced hedge funds
- Jochen Papenbrock (PPI) - Correlation Networks
- Miguel Vaz (D-Fine) - Networks with Python/Spark
- Adrian Zymolka (Axioma) - Multi-Period Optimization
Event finish and drinks!
You can access the Thalesians/Quant Finance Germany (Frankfurt) LinkedIn Group page here.
Selected talk abstracts
Jochen Papenbrock (PPI) - 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.)
Thalesians Seminar (Zurich) — Creating trend following fund: How to build a CTA? / interactive Python PyThalesians demo
Date and Time
6:00 p.m. on Tuesday, 8 September, 2015
Room G 43, Building HG, ETH Hauptgebäude, Rämistrasse 101, 8092 Zurich
You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/223572550/
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.
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 (London) — Stephen Pulman — Multi-Dimensional Sentiment Analysis
Date and Time
7:30 p.m. on Wednesday, 23 September, 2015
Ginger Room, Marriott Hotel, Canary Wharf, London, UK.
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/223986866/
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.
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.
Thalesians Seminar (London) — Robert Carver — Lessons from Systematic Trading
Date and Time
7:30 p.m. on Wednesday, 21 October, 2015
Ginger Room, Marriott Hotel, Canary Wharf, London, UK.
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/224130063/
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.
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. Andrew Kalotay — Tax-Efficient Trading of Municipal Bonds
Thursday, May 14, 2015:
NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY
Although tax-loss selling is widely recognized as a potential enhancer of after-tax return, it is usually employed opportunistically, rather than as part of a comprehensive investment strategy. In particular, little attention is paid to determining the optimum time to execute, given transaction costs.
Municipal bonds provide an ideal asset class to appreciate the benefit of active tax management, because the tax-exemption of interest by itself does not guarantee tax-efficient performance. We will present a dynamic approach to maximize after-tax return, which includes structuring of the portfolio and optimizing the timing of trades. The key insight is that the right to make a tax-driven trade is a (tax) option, which is acquired automatically and at no cost with any purchase. The value of this option can be rigorously determined. Selling and reinvesting entails swapping the associated options. Thus the sale decision should factor in the net loss of option value. Our dynamic strategy is expected to improve after-tax return over buy-and-hold by 30-80 basis points annually, depending on the duration of the portfolio and on investor-specific considerations. The approach can be adapted to other asset classes, including common equity.
Andrew Kalotay is a leading authority on the valuation of bonds and interest rate derivatives. He is a prolific contributor to the literature on topics ranging from advance refunding to tax-neutral valuation and tax management of municipal bond investments. His firm licenses fixed income valuation software and provides debt management advisory services.
Before establishing Andrew Kalotay Associates in 1990, Dr. Kalotay was with Salomon Brothers. Prior to Wall Street, he was at Bell Laboratories and AT&T. On the academic side, he was the founding director of the graduate Financial Engineering program at Polytechnic University (now part of NYU).
Dr. Kalotay holds a B.Sc. and M.Sc. from Queen's University and a Ph.D. from the University of Toronto, all in mathematics. He was inducted into the Fixed Income Analyst Society’s "Hall of Fame" in 1997.
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.
Masses and Buckets
You have M masses, which you want to distribute across N buckets "as uniformly as possible". By this I mean that you are trying to minimise , 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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