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 modvels 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 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.
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 Algorithms and Decision Making
Expertise in development of trading algorithms, from simple heuristic-based algorithms to fully dynamic valuation or optimization approaches for sell side traders and their DMA clients.
Experience in the application of Bayesian Learning, Stochastic Dynamic Programming and Multidimensional Co-integration approaches.
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