Quants like data, in the same way I like burgers. Quants like to consume data to come up with ways of forecasting the market. The most important dataset is usually market data. However, there are all sorts of other interesting datasets that can be used to help forecast those market prices. In recent years, the area of alternative data has exploded. There are many datasets now available from alternative data vendors. Obviously a quant wants a dataset which can make them money! But before that stage, the question is, if you’re a quant, which datasets are worth investigating for alpha?
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.