The rapid growth of technology has made computational finance and algorithmic trading more accessible to both smaller firms and individual investors. There are a wide range of tools available, from simple Excel spreadsheets, to full trading systems provided by online brokers. While the off-the-shelf tools are fine for the amateur investor, most need more powerful and flexible solutions.
We can help you develop complex strategy back-testing systems, portfolio optimization, full algorithmic trading systems, or anything in between. Our team generally works with R, Interactive Brokers, or raw C++ as needed. However, we are open to developing financial models and systems within your preferred platform.
Modern Portfolio Theory, introduced by Markowitz in the 1980′s has been a standard in the financial industry for decades. Recently, research has moved beyond MPT to better ways of maximizing profit while reducing risk. We have worked with Monte Carlo based portfolio optimization, and an optimal Kelly fractional portfolios, both of which tend to perform better than MPT. Another key issue is that of asset variance, which all portfolio optimization algorithms need. We’ve innovated new dynamic estimating tools that use discrete time sliding windows to better measure variance.
Algorithmic trading involves the use real-time computation to estimate the direction of an asset, a pair of assets, a derivative, or an index. We have developed numerous systems to implement client strategies while connected directly to a broker’s data and trading API. Some systems have been interesting combinations of traditional technical indicators, while other systems have involved our own dynamically calculated derivatives and measures of market or asset factors.
Calls and puts are standard options most are familiar with. There is an entire universe of futures and derivatives far beyond these two. We have worked with futures, options on futures, index options, index futures, commodity futures contracts, and even energy derivative trading. Pricing both simple and exotic derivatives is usually done via Markov Chain Monte Carlo methods, a tool we have much experience with. Our advance parallel computing platform allows for very rapid future price calculation, enabling trade decisions to made quickly.