Technology and automation are transforming markets and will create endogenous volatility and new anomalies.
Give portfolio and risk managers views into the positioning and flows of systematic and risk premia-strategies.
Get insights into the liquidity and market risks associated with automated strategies.
Go beyond back-testing to explore and design portfolio and investment strategies over plausible but previously unseen scenarios.
Create and track customised tradable benchmarks.
Predict managers portfolio returns before they report them.
We believe that in order to best understand something we should try and create it. Data science alone, whilst becoming increasingly available and insightful, can be even more useful when augmented by causal models and simulation techniques.
We combine ideas from portfolio and risk management, data science, and agent-based modelling to build simulation environments to better understand the financial world. Our growing platform of apps provides a flight-simulator for investors.
Contact us to learn about our analytics tools »Neuron has been producing market commentary in the form of research whitepapers for several years. Click here to go to the research paper portal and view more articles.
This is an excerpt from Algos and Egos, a book in draft by Robert Hillman. This section describes how during 2002/2003, people at the Bank of England where I worked at the time, began getting concerned about the risks being created by the innovations in long-dated derivatives, designed to attract Asian retail investors trying to find yield in a low-yield environment. ...
Slides given by Robert Hillman to the OECD NAEC Innovation Lab, 28th November 2019. The slides describe Robert's view of the evolution of agent based modelling in the last 30 years, and describes a couple of new use cases related to long horizon simulation and short-term volatility forecasting and stress testing. ...
During the last few years it feels to us that there has been a pick-up in commentary that markets have become harder to extract profits from. Blame has been pointed towards the rise of algorithms. ...