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The Thalesians

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

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 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

Thalesian Seminar (London) — Alexander Denev — (Probabilistic) Graphical Models for Risk Management and Asset Allocation"?

Alexander Denev

Date and Time

7:30 p.m. on Monday 23rd Februrary

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/219979417/

Abstract

(Probabilistic) Graphical Models have only recently found their way to Finance, mainly for creating stress scenarios and finding optimal portfolios. This talk will provide the audience with the most up-to-date research in the field and will show how this relatively neglected technique can be of invaluable help when decomposing complex problems, frequently encountered in practice, into coherent, smaller and solvable parts.

Speaker

Alexander has more than 10 years of experience in Finance in different countries across Europe and is currently Founder of GraphRisk, a company aimed at promoting the use of graphical models in Risk Management and Asset Allocation. He is currently involved in projects preparing major US and European banks for the CCAR/EBA stress testing exercises. Alexander led the wholesale modelling team responsible for Stress Testing of The Royal Bank of Scotland until January 2014.

Alexander holds degrees in Mathematical Finance (University of Oxford). He also holds a BSc & MSc in Engineering Physics (University of Rome).

He is co-author (with Riccardo Rebonato) of the book "Portfolio Management under Stress” published by Cambridge University Press and author of the forthcoming book “Probabilistic Graphical Models in Finance”. He is currently editing a book on Machine Learning Methods in Trading and Investment.

Video

To be published here

Slides

To be published here

Resources

To be published here


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

MathFinance

Date and Time

23-24th March 2015

Venue

Frankfurt School of Finance & Management

To sign up

You can register for this event and pay online at the MathFinance website: https://mathfinance2.com/Conferences/2015 (contact saeed at thalesians.com for a discount code, which is available for Thalesians members)

Abstract

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.

Speaker

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

Thalesians Séance (Budapest) — Tamas Blummer & Panel — on Impact of Bitcoin and the blockchain technology on our future

Tamas Blummer

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, 17th April

7:00 p.m. - Welcome drinks, 8:00 p.m. - Tamas Blummer on Impact of Bitcoin and the blockchain technology on our future 9:00 p.m. - Panel discussion with Izabella Kaminska (FT), Barnabas Debreczeni, Peter Isza and Geza Bohus 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/220503859/

Abstract

The evening will consist of a talk by Tamas Blummer on Impact of Bitcoin and the blockchain technology on our future. Later, a panel will discuss the subject, which comprises of Izabella Kaminska, Barnabas Debreczeni, Peter Isza and Geza Bohus.

Slides

Download the slides (to add)

Speaker

Tamas Blummer is the founder of Bits of Proof, a technology leader company in blockchain technology. He delivered a merchant solution for Bitcoin payments, a real-time auditable exchange of Bitcoin for institutional investors, the first hardware Bitcoin wallet backend used by tens of thousands worldwide, and operated one of the biggest Bitcoin mining facility of the world.


Global Derivatives Europe (Amsterdam - External Event) — Speakers including Hull — Trading and risk management

Saeed Amen

Date and Time

18th - 22nd May, 2015

Venue

Hotel Okura, Amsterdam, The Netherlands.

To sign up

You can register for this event and pay online at the Global Derivatives Europe website: http://www.icbi-derivatives.com/FKN2428THW

Members of the Thalesians also have a special 10% discount (please contact saeed who happens to be at thalesians.com for details - clicking the link above will also activate this discount)

Abstract

The World's Leading Quantitative Finance Conference: Cutting Edge Strategies & Practical Techniques For Advanced Derivatives Pricing, Hedging, Trading & Risk Management

Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:

  • Hear technical details of the latest research being done by leading financial minds
  • Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
  • Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
  • Meet and learn from hundreds of senior derivatives professionals

What Topics Will Be Covered At Global Derivatives Trading & Risk Management 2015?

  • Now in its 22nd year, Global Derivatives brings together senior practitioners from banks, asset managers, hedge funds, pension funds, propr trading firms, private equity firms, exchanges as well as academics and regulators to discuss the key issues facing quants all over the world.

The event will address topics in 4 key areas:

  • Derivatives Pricing
  • Regulation, Risk Management & Capital Optimisation
  • Quantitative Investment Strategies & Portfolio Optimisation
  • Algorithmic Trading

Speaker

Speakers include many well known figures from the finance community, such as Riccardo Rebonato, John Hull, Darrell Duffie and Emanuel Derman. Saeed Amen, a co-founder of the Thalesians is also speaking on FX vol & Big Data trading strategies.

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.

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/215856292/

Abstract

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.

Speaker

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.

Video

To be published here

Slides

To be published here

Resources

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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