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Bespoke trading algorithms - VWAP, Participation, Implementation Shortfall, etc.
Expertise in developing trading algorithms, from simple heuristic-based algorithms to fully dynamic valuation/optimization based approaches
For brokers and their DMA clients
Modelling
Statistical modelling of financial risk and return. Sound risk management and trading experience
Market microstructure models for trading algorithms, exchange simulations and pre-trade analysis
Asset pricing model. Experience across numerous asset classes in developing and validating financial instrument pricing models
Trading and Performance Analytics
Execution analysis - for analysing performance across multiple dimensions - trading desk, trader, algorithm, exchange, client, etc in terms of both single asset and portfolio risk, return, opportunity cost, etc.
System performance - multiple stage latency breakdown for assessing speed bottlenecks in trading systems
Data Mining and Strategy Testing
Advanced data mining and modelling tools for scenario extraction
Sophisticated market models for backtesting real-time trading strategies based on user-specified market conditions
Two major approaches
Bespoke product research and / or development (fixed price)
Outsourced research - modellers integrated into team (hourly rates)
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