FINANCIAL ENGINEERING
As part of our comprehensive service portfolio for the capital markets, trading and finance industry, Allied Testing offers financial engineering and testing services to support the design and validation of complex financial models and algorithms.
- Financial Logic Testing
- Verification of inherent financial logic in various business applications
- Recalculation of financial analytics for a set of instruments and complex derivatives
- Verification of risk reports in position keeping systems
- Trading Algorithms and Decision Making
- Expertise in development of trading algorithms, from simple heuristic-based algorithms to fully dynamic valuation or optimization approaches (e.g. ISMA) for sell side traders and their DMA clients
- Experience in the application of Bayesian Learning, Stochastic Dynamic Programming and Multidimensional Co-integration approaches
- Forecasting and Descriptive Modeling
- Statistical modeling of financial risk & return on both tick-by-tick and daily basis
- Market microstructure models (tick-by-tick) for trading algorithms, exchange simulations and pre-trade analysis
- Asset pricing across numerous asset classes to support development and validation of financial instrument pricing model
- Trading and Performance Analytics
- Performance analysis of execution across multiple dimensions: trading desk, trader, algorithm, exchange, client — for single asset and portfolio risk, return, opportunity cost, etc.
- Experience with various performance benchmarks including VWAP, Implementation Shortfall, Participation and Aggressiveness metrics
- Data Mining and Strategy Testing
- Advanced data mining and modeling tools for scenario extraction
- Sophisticated market models for back-testing, behavioral testing and stress testing of real time and close-to-close trading strategies based on user-specified market conditions and behavior scenarios