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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

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

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 29 April, 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/221147156/

Abstract

Global markets are in a flux. The dollar has rallied significantly over recent months against both developed and emerging markets, as the Fed approach potential "lift off", spurring the rise in market volatility. The ECB has started full blown quantitative easing. In the UK, the general election is approaching and could have profound impact on markets. An expert panel will be discussing these market developments and giving their views on the future. It promises to be a very exciting discussion, at a pivotal point in global markets!

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)
  • Jordan Rochester (Nomura - FX strategist)
  • 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.

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 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.

Video

To be published here

Slides

To be published here

Resources

To be published here


IAQF-Thalesians Seminar (New York) — Dr. Lasse Heje Pedersen — Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Lasse Heje Pedersen

Agenda

Wednesday, April 22, 2015:

Venue

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

Registration

Abstract

In a new book and accompanying research, I demonstrate that markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new way to analyze investment strategies, including equity strategies, macro strategies, and arbitrage strategies. These ideas are illuminated further by interviews with leading hedge fund managers Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros. More information is available at http://www.lhpedersen.com/efficiently-inefficient

Speaker

A professor at Copenhagen Business School and NYU and a principal at AQR Capital Management, Lasse Heje Pedersen is a distinguished academic and an asset manager. He has published a number of influential research papers on asset pricing, liquidity risk, and trading strategies, which have been cited by Ben Bernanke and other central bank governors around the world and in thousands of academic and industry papers. He has won a number of awards, including the Bernácer Prize to the best E.U. economist under 40 years of age. Further, he has served in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues during the global financial crisis, the New York Fed's Monetary Policy Panel, the Economic Advisory Boards of NASDAQ and FTSE, as a Director of the American Finance Association, and on the editorial boards of several journals such as the Journal of Finance and Quarterly Journal of Economics. He received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford University.

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) — 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.


2nd Big Data Quant Finance Conference (London - External Event) — Speakers including Albanese and Amen

Claudio Albanese

Date and Time

10th-12th June 2015

Venue

London

To sign up

You can register for this event and pay online at the WBS Training website: http://www.wbstraining.com/php/conferences/?id=103 (contact saeed at thalesians.com for a 25% discount code, which is available for Thalesians members!)

Abstract

This conference will showcase some of the latest progress made in financial data:

  • Deutsche Börse: Big Data Enabling Technologies – A Financial Market Perspective
  • Bloomberg will explore Newscasting - Forecasting Global Macro Economic Data from News and Events
  • UBS discuss High-Frequency Beta Estimation in Practice
  • ABN AMRO Analyze Large Volume Transactions on Capital Markets
  • Natixis will present Anomaly Detection in Sensitivity Computation by Machine Learning Techniques
  • Global Valuation Limited present on the latest develoements on Capital Simulations for OTC books
  • RavenPack open the conference with Tales from the Front Line; The Quant Market for Big Data
  • The Python Quants look at How Open Source Revolutionizes Financial Analytics

Speaker

  • Maurizio Luisi: Senior Quantitative Strategist, Bloomberg LP
  • Dragos Crintea: External IT Consultant, Deutsche Börse
  • Tobias Preis: Associate Professor of Behavioural Science and Finance, Warwick Business School, University of Warwick
  • David Jessop: Managing Director – Global Head of Equities Quantitative Research, UBS
  • Jose Luu: Head of Scientific Computing, Natixis
  • Yves J. Hilpisch: The Python Quants
  • Igor Stojkovic: Business Advisor Big Data Scientist, ABN Amro
  • Hugh Taggart: Director of Business Development, RavenPack
  • Claudio Albanese: CEO: Global Valuation Limited
  • Saeed Amen: Managing Director & Co-founder: THE THALESIANS
  • Bas van Schriek: Risk Manager: ABN Amro
  • Other presenters to be confirmed

Pre-Conference Workshop Day: Wednesday 10th June: Exploring Themes in Systematic Trading by Saeed Amen: Managing Director & Co-founder: THE THALESIANS

Recent Events

Thalesian Seminar (London) — Matthew Dixon — Financial Modelling on Parallel Computers using High-Level Programming Languages

Matthew Dixon

Date and Time

7:30 p.m. on Wednesday, 25 March, 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/220689390/

Abstract

As quants, how do we write a single code that can be efficiently deployed on a variety of commodity hardware and accelerator platforms without the need to program in unfamiliar low level programming environments such as CUDA, OpenMP or OpenCL? Software design patterns are well understand but tell us nothing about how software can be efficiently mapped to parallel architectures such as a GPU, the Intel Xeon Phi, or clusters of multi-core computers. Parallel design patterns are an extension of software design patterns and guide the discipline of separating out the domains of concerns from the modeling and the efficient mapping of the computations to the hardware. This leads to portability, flexibility, modularity and scalability of the code. Focusing on derivatives modeling and risk, we present collaborative work with UC Berkeley, Old Dominion University and Xcelerit, demonstrating how parallel design patterns enable Python, R or C++ code to run efficiently on GPUs, multi-core CPUs and clusters of multi-core CPUs. Finally we discuss how parallel design patterns can be applied to Quantlib to enable the compute intensive routines to run on both a multi-core CPU or an Intel Xeon Phi co-processor.

Speaker

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

He is also a Term Assistant Professor in the MS in Analytics Program at the University of San Francisco and consultant of analytics and financial risk. He has taught computational analytics, data acquisition and financial applications of analytics using R and Python. He is the author of severals papers in high performance computational finance in collaboration with the UC Berkeley EECS Parlab and Old Dominion University CS Department and chairs the Workshop on High Performance Computational Finance at SC. He has held visiting professorship and postdoctoral research appointments in computational and applied mathematics at UC Davis and Stanford University.

Dr. Dixon began his career as a quantitative developer in the structured credit trading group at Lehman Brothers in London before pursuing academics and consulting in the finance and IT industry for many years. One of his most recent projects included consulting for the private equity firm Silver Lake to develop predictive analytics for identifying investment opportunities. He holds a Ph.D. in Applied Mathematics from Imperial College in London and a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading.

Video

To be published here

Slides

To be published here

Resources

To be published here

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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