Consulting Services

Services include, but are not limited to:
 
• Customized on-site training, and training of trainers.

• Writing custom software.
• Advising on the design of software.
 
• Market risk management advice and functionality.
• Portfolio optimization solutions.
• Models for financial equities and exchange rates.
 
• Developing genetic algorithms for difficult optimization problems.


Example Projects

A fundamental fund manager:
Install a portfolio optimization system that retains most of the expected returns while reducing both the volatility of the fund and trading costs. Hence delivering more for the investors.

A quantitative hedge fund:
Given predictions as a black box, work on perfecting the trading strategy. Also implement 10-day Value at Risk as a reporting tool to the investors.

A sell-side firm:
Create 1-day prediction of the variance matrix of a large number of equities. This is immediately used to report 1-day Value at Risk of the book. Its subsequent (and more important) use is to automate some of the trading on the program trading desk.

A plan sponsor:
Help to specify mandates for external fund managers.


Consulting may be performed in person or remotely as circumstances warrant. Assignments are treated confidentially. All consulting work is unique and specialized to the client. Topics of general interest will be incorporated into software products, rather than billed as consulting.

Philosophy
Results are what is important. The quality of a solution should be measured by the demands of the particular problem. For example, a highly accurate alternative to a quickly achieved answer should not be sought if the additional accuracy is unnecessary. The best solutions are as simple as possible.

Providing overblown solutions is not only harmful to the client, but delays innovations that are now possible thanks to modern computing.


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