Abstract: In this talk, we introduce the topic of using Big Data and alternative data to trade financial markets. We discuss the general approach which can be used when faced with an unusual dataset in financial markets. We talk about some of the various sources of Big Data and alternative data, which could be relevant for understanding financial markets and we also give examples.
In the main part of the talk, we present a detailed case study using machine readable Bloomberg news for generating signals to trade FX spot. We contrast the use of unstructured news data with that of structured news data. In particular, we outline the various steps needed to convert text to a trading signal for FX. These steps include filtering the news by topic and also through the construction of sentiment indices based upon news. As well as using news to understand markets from a directional perspective, we also seek to understand the relationship between news and FX volatility. In particular, we show how news can be used to model volatility around ECB and FOMC meetings.
In the final part of the talk, we discuss various open source Python libraries, which can be useful for the various stages of financial analysis: ranging from downloading market data, to its analysis and finally to presenting visualisations of our results. We shall also do some live demos of several open source Python finance libraries including finmarketpy, findatpy and chartpy. In particular, we shall demonstrate how to implement a trend following strategy with finmarkepty.
Bio: Saeed Amen is the founder of Cuemacro. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Through Cuemacro, he now consults and publishes research for clients in the area of systematic trading. He has developed many popular open source Python libraries including finmarketpy. His clients have included major quant funds and data companies such as Bloomberg. He has presented his work at many conferences and institutions which include the IMF, Bank of England and Federal Reserve Board. He is also a co-founder of the Thalesians.