What we're about

The Thalesians are a group of dedicated professionals with an interest in Artificial Intelligence (AI) / Machine Learning (ML), quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order. We currently run events London, New York, Budapest, Frankfurt and Prague!

Please also visit our main Thalesians web page here too (http://www.thalesians.com) to learn more about us!

The Thalesians are a member of Level39 (http://www.level39.co/) - Europe's largest technology accelerator for finance, retail, cyber-security and future cities technology companies​.

We consult, train, and write software. Our offering can be found on http://ai.thalesians.com/

Our GitHub (https://github.com/thalesians/pythalesians/) page contains our open source Python financial analysis library PyThalesians.

If you are a full-time student, between jobs, or for any other reason would struggle with our Meetup dues, please let us know and we'll mark you as exempt from them!

Upcoming events (1)

Hybrid Event: Sasha Stoikov - Where Market Making Meets Market Microstructure.

IAQF & Thalesians Seminar Series: Where Market Making Meets Market Microstructure. A Seminar by Sasha Stoikov.

To Attend Virtually, Please email [masked] and we will provide the zoom link.

Proof of Vaccination Upon Entry is Required for In-Person Attendees.

Registration is Now Free!

Abstract:
How can a market making algorithm use information in the order book when computing bid and ask quotes? Market making models, such as Avellaneda and Stoikov (2008), compute bids and asks around the midprice, to minimize inventory risk. In practice, the midprice may be a poor estimate of the fair value, particularly for cryptocurrencies, where the tick size is relatively small. Using Bitcoin data, I backtest market-making strategies around the midprice, as well as other microstructure adjusted prices. In particular, a new definition of fair price, which we call the Volume Adjusted Mid Price (VAMP) consistently outperforms the mid price, from the perspective of a market maker.

Bio:
Sasha Stoikov has 15 years of experience at the interface of academia, startups and the finance industry. He is a Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM) and was a VP of High Frequency trading at Cantor Fitzgerald. He has also launched a music tech startup called Piki.

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