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Innovative quant insights

Rome

In late 2013, we started publishing quant strategy notes. Our effort is headed by Saeed Amen, drawing on nearly a decade of his experience creating and later running FX systematic trading models with proprietary capital at major investment banks. If you are interested in purchasing a subscription for the notes, please contact saeed@thalesians.com. Trials are available for a limited period. The notes are for professional investors only. Both subscriptions and individual papers are now available to buy from RSRCHXchange - the marketplace for institutional research

To celebrate the launch of our consulting service, we have made our first published paper available to download Beta'm up - What is market beta in FX?

Publications

All these publications are available to buy for institutional investors through Thalesians subscriptions (or on an individual paper basis) from RSRCHXchange - the marketplace for institutional research. Full versions of sponsored papers are available for free to institutional investors on request to saeed@thalesians.com

2016

  • 18 Apr 2016 - Python for being economical - Using PyThalesians to analyse economic data
  • 13 Apr 2016 - Rating FX - Using rates to trade FX with Thalesians FX rates model
  • 21 Mar 2016 - Where trend come to carry - Using total returns or spot in FX trend signals
  • 09 Mar 2016 - Inflated worth - Understanding asset prices through inflation
  • 29 Feb 2016 - Sunshine currency state - Our thoughts from TradeTech FX USA
  • 02 Feb 2016 - Slick stuff - Crude oil as a product of supply & demand
  • 19 Jan 2016 - Alpha capture - the FX initiative - Diversify CTA strategies with TIM Group alpha capture (sponsored by TIM Group) get abridged version here
  • 04 Jan 2016 - Peg-static - Quant look at USD/SAR peg

2015

  • 17 Dec 2015 - twentysixteen - A year of inflexion
  • 02 Dec 2015 - S-Dr Reserved - Do SDR weight changes predict FX moves?
  • 23 Nov 2015 - Python for a trend - Using PyThalesians
  • 10 Nov 2015 - Cross market hiking - How do different assets react
  • 27 Oct 2015 - Risk Parity like it’s 1999 - Vol targeting for CTAs
  • 12 Oct 2015 - East Coast-ing - Quant thoughts from USA & France
  • 18 Sep 2015 - The age of the Fikings - CTAs at the start of Fed hiking cycles
  • 07 Sep 2015 - A VIXing Situation - Trading VIX futures
  • 25 Aug 2015 - Tropic Funder - How do G10 funders and high yielders behave during risk off?
  • 12 Aug 2015 - Fragile China - How have markets reacted to USD/CNY revals?
  • 23 Jul 2015 - Realpolitik - Trading EMFX using political indicators
  • 14 Jul 2015 - Dove in the deep end - Using text analysis of central banks to trade FX (sponsored by Prattle) get abridged version here
  • 27 Jun 2015 - Greferendum di da - What happened in similar historical situations?
  • 25 Jun 2015 - Donald DAX - Trading cross asset DAX & Nikkei with FX
  • 08 Jun 2015 - Greek to me - Understanding how Greek news impacts EUR/USD
  • 26 May 2015 - Holland Ahead - Our quant thoughts from Global Derivatives 2015 (sponsored by ICBI)
  • 14 May 2015 - Where trends don't fear to trend - Understanding CTA returns using Thalesians CTA index
  • 27 Apr 2015 - How to build a CTA - Creating a proxy for CTA funds
  • 09 Apr 2015 - Once upon an intraday - Understanding FX intraday markets
  • 16 Mar 2015 - My kingdom for a vote - The definitive quant guide to the UK general election
  • 06 Mar 2015 - Heard it on the payrolls gamma vine - FX gamma trading around payrolls
  • 09 Feb 2015 - αlphascope light - Thoughts from Geneva quant investment conference
  • 02 Feb 2015 - Tweeting happy markets - Does happiness move markets?
  • 20 Jan 2015 - Bond over Big Data - Trading bond futures (& FX) with RavenPack news data (sponsored by RavenPack)
  • 05 Jan 2015 - Draghi-ng out the meeting - Systematic trading handbook for ECB meetings

2014

  • 17 Dec 2014 - Market Fed hike-ups? - Lessons from 2014 & thoughts for 2015 in markets
  • 03 Dec 2014 - Got milk? - How does NZD/USD behave around milk auctions?
  • 24 Nov 2014 - Quant thoughts from Chicago: trading in a cold climate - A summary of Global Derivatives USA
  • 05 Nov 2014 - Flash people - A short introduction to high frequency trading
  • 24 Oct 2014 - Vol's at a premium - Understanding patterns in FX volatility
  • 09 Oct 2014 - Just a minute - How does the market react to FOMC minutes?
  • 15 Sep 2014 - Fed up of vol? - Understanding pricing of Fed meetings in FX vol market
  • 02 Sep 2014 - Carry the news trade - Filtering FX carry using RavenPack news analytics (sponsored by RavenPack)
  • 21 Aug 2014 - Jackson Hole in one - Historical market moves during Jackson Hole
  • 12 Aug 2014 - Introducing the Thalesians TRaViC FX model - Creating a monthly G10 FX factor based model
  • 22 Jul 2014 - UK Corale! - Exploring how to trade UK data releases with GBP/USD
  • 02 Jul 2014 - Realise my volatility? - Does using 4pm fixing impact FX vol swaps?
  • 16 Jun 2014 - That's news to me - Trading markets with Bloomberg News data
  • 03 Jun 2014 - Jules Rimet still gleaming - Impact of World Cup on financial markets
  • 23 May 2014 - Quant thoughts from Amsterdam: Less performance "clogs" - Includes our quant survey results
  • 02 May 2014 - Seas-onal the day - Understanding seasonality in market volatility
  • 23 Apr 2014 - Tues the day - Are there day of the week patterns in markets?
  • 14 Apr 2014 - Gamma, gamma, gamma - Explaining gamma trading in FX markets
  • 03 Apr 2014 - Tokyo-yo - Japanese market moves at the start of the fiscal year
  • 25 Mar 2014 - Send it like Beckham - Hedge GBP risk for UK banker bonuses ex/importers
  • 18 Mar 2014 - Survival of the month-est - Investigating intramonth market moves
  • 11 Mar 2014 - Taking on risk at 4pm - Estimating cost of 4pm fix for market makers (featured in Wall Street Journal)
  • 04 Mar 2014 - Correlation of the problem - Can we create a broad based USD trend signal?
  • 25 Feb 2014 - Transaction time - how do transaction costs impact trend strategies
  • 17 Feb 2014 - Holiday in the currency (& equity) sun - What is the impact of holidays on FX & S&P500?
  • 11 Feb 2014 - Trend is not your enemy - ideas to filter trend based trading
  • 04 Feb 2014 - Consensus-ing fear - What happens to start of the year moves in FX
  • 28 Jan 2014 - Surprise me! - Examining growth surprise indices
  • 20 Jan 2014 - Rate check - using relative rates to trade FX
  • 14 Jan 2014 - Forecasting a spell - How accurate are quarterly consensus FX forecasts?
  • 07 Jan 2014 - Matters maketh man - Does price action in the first week of the year matter?
  • 03 Jan 2014 - When it rolls, it payrolls - Trading payrolls with USD/JPY

2013

  • 16 Dec 2013 - The T-word was no longer Treasuries - Lessons from 2013 & thoughts for 2014 in markets
  • 09 Dec 2013 - Employee of the month - Patterns in monthly returns across the markets
  • 03 Dec 2013 - What you implying? - Using implied vol to trade cash
  • 29 Nov 2013 - Lifestyle before wicket - Do Ashes test matches impact intraday vol in AUD/USD?
  • 25 Nov 2013 - A windy, Empire city state of mind - Quant thoughts from New York and Chicago
  • 18 Nov 2013 - Wrapping up the books - Investigating price action in December
  • 11 Nov 2013 - Risky volatility business - Trading markets using the volatility risk premium
  • 04 Nov 2013 - What's in an event - Understanding FX implied vol event add-ons
  • 29 Oct 2013 - It is the season - Seasonality in major markets
  • 21 Oct 2013 - A rebalancing act - A cross-asset month end flow style model
  • 15 Oct 2013 - Thalesian in a China shop - Using Chinese data to trade Asian FX and stocks
  • 08 Oct 2013 - How long’s a piece of trend? - Which parts of a trend are most profitable in FX?
  • 01 Oct 2013 - I’ll be back (after US government shutdown) - Markets in previous US government shutdowns
  • 30 Sep 2013 - Dr Copper - The relationship between copper and other markets
  • 26 Sep 2013 - Hedge Way - Understanding flows related to currency hedging
  • 20 Sep 2013 - Better taper than never? - Impact of changes in bond yields on FX strategies
  • 16 Sep 2013 - School's out for Summers - Price action around Fed meetings and new appointees
  • 11 Sep 2013 - Stop! - What are best, closing, trailing or intraday stops?
  • 04 Sep 2013 - Mind the gap - Are weekend moves reversed in the following week?
  • 03 Sep 2013 - Read all about it - Bloomberg News and Google data to trade risk
  • 30 Aug 2013 - Beta'm up - What is market beta in FX?

List of published gold notes (paid subscription only)

  • 24 Sep 2013 - Golden times? - Discussing gold in the context of rates and flows

Quant Packages

We offer a range of quant packages to access our services, all of which offer cost effective way of bringing quant trading insights to your institution. We offer a customisable mix of consulting and quant note subscriptions to suit all clients. We also offer a bronze subscription which gives professional investors access to shortened versions of our quant notes on a complimentary basis (ask for conditions).

Diamond Package Platinum Package Palladium Package Gold Package
Bespoke consulting projects on agreement / on-site on agreement / on-site on agreement / off-site no
Bespoke trading algorithms via code/spreadsheet on agreement on agreement on agreement no
Client contact extensive extensive regular occasional
Quant notes per year 24 (min) none 24 (min) 24 (min)
Cost per month (GBP) competitive! competitive! competitive! competitive!
  • This page was last modified on 6 May 2016, at 15:12.
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