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Specialists in Risk Analysis and Optimum Decision Making

This is our quarterly newsletter; through this we share with the wider community in the finance sector information about our recent activities.

OptiRisk UK      


OptiRisk India

OptiRisk UK

Training Events

Our 5 day workshop on "Linear Programming, Integer Programming, Stochastic Programming and Financial Optimisation" took place on 4 – 8 November.

We had participation from Switzerland, Italy, Norway and UK, with colleagues from both industry and academia attending. The attendees received

Our offer

1) A soft copy of all the training materials

2) A 9 month trial of AMPLDev + CPLEX (Full Version) for a single user by signing up for the lecture notes and training delivered on line it is still possible to qualify for the above offer until the end of January 2014.

Forthcoming Events

Third Party Events

  • APMOD (Applied Mathematical Programming and Modelling) is a series of conferences which was started in 1991 on the initiative of Prof. Gautam Mitra, Brunel University/ London. OptiRisk Systems is sponsoring APMOD Conference 2014. www.apmod2014.org
  • OptiRisk Systems is an exhibitor at INFORMS Conference on “Business Analytics and Operations Research” in Boston on March 30 – April 1 http://meetings2.informs.org/analytics2014/


Ronald Hochreiter presented Applications of Finance with R webinar on 2 October, 2013. Over 100 people from the finance sector registered for the webinar. The feedback from the participants was extremely positive and they remarked that the webinar was creative and resourceful.


Progress with Tools

Algebraic Modelling Language (AML)

  • The API for AMPL continues to be refined thanks to programmers’ feedback. It is undergoing test on six different platforms (Windows 32/64 bits, OSX, Ubuntu 32/64 bits and Red Hat Enterprise Server 5). Java, MATLAB, NET, R and Python are the 5 languages supported by the API versions. Development is progressing steadily.
  • AMPL IDE has gone through the beta test. We received feedback from interested users and all the users comments have been taken care of. AMPL Optimization will make the first release during December 2013.
  • The software downloads procedure has been automated and registered users can easily request a trial version with an online form that immediately puts our sales team in direct touch with them. A software download link is then sent directly via email to the registered user.
  • FortSP and AmplDev manuals are going through a thorough rewrite. Our development work on stochastic optimization is progressing. The FortSP manual and in particular SP section of the AMPL Dev manual are going through a revision and rewrite.

News Analytics

  • The News Analytics toolkit is going through an overhaul. Further work is taking place in UK, India and Italy to research and develop new strategies and the addition of Social Media feeds. In particular Twitter feed is supplied by FSWire will be added to the NAT Toolkit.

Website Updates

The website Registration page has been redesigned and users can create accounts based on their professional background. We have also provided an account type for individual users who are not affiliated with any organisation. Registered users can download various software for trial and will get personal assistance on the software, if required.

We have also set up a forum on Google Groups for AMPLDev users to post questions and discuss topics relevant to the software suite. We will be adding tutorials and FAQs soon so keep a look out. www.optirisk-systems.com/forum.asp "

Whitepaper Updates

Title: "Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-day setting"

Authors: Gautam Mitra, Keming Yu, Xiang Yu

A novel study on the impact of news sentiment on asset behaviour has been carried out by our sponsored student Miss Xiang Yu under Prof. Mitra’s supervision. This paper explores the predictive power of news sentiment on stock return, volatility and liquidity in 1 minute intervals. To better reflect the reaction of stock prices to news, an innovative measure, impact score is formed. Empirical results show that volatility and liquidity predictions are improved with the addition of news sentiment, but little effect occurs on the prediction of return. In fact, out-of-sample fitting for volatility gave forecasts that were improved by almost tenfold. This paper is available to download at: http://ssrn.com/abstract=2296855 (Click here)

Title: "Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading"

Authors: Gautam Mitra, Dan diBartolomeo, Ashok Banerjee, Xiang Yu

Computer trading in financial markets is a rapidly developing field with a growing number of applications. Automated analysis of news and computation of market sentiment is a related applied research topic which impinges on the methods and models deployed in the former. In this review we have first explored the asset classes which are best suited for computer trading. We present in a summary form the essential aspects of market microstructure and the process of price formation as this takes place in trading. We critically analyse the role of different classes of traders and categorise alternative types of automated trading. We introduce alternative measures of liquidity which have been developed in the context of bid-ask of price quotation and explore its connection to market microstructure and trading. We review the technology and the prevalent methods for news sentiment analysis whereby qualitative textual news data is turned into market sentiment. The impact of news on liquidity and automated trading is critically examined. Finally we explore the interaction between manual and automated trading. (Click here)


During this quarter OptiRisk Systems has entered into a partnership with FSWire; we are extracting our News Analytics toolkit with Twitter feed.

OptiRisk India

Forthcoming Events


S No Date Location
1 23rd November 2013 Chennai
2 20th December 2013 Mumbai
3 7th December 2013 Delhi


Optirisk India has developed “OptiRisk Route Planning and Scheduling Software (ORPSS) a scheduling software capable of handling real life constraints: such as multiple carriers, split deliveries, time windows, heterogeneous fleets, different transportation modes, multi commodity and multi warehouse dispatch. A video on the product demo is located at: ORPSS

For further information please contact

Web:www.optirisk-systems.com Email:info@optirisk-systems.com
Tel:+44 (0)1895 819 486/488 Twitter:@OptiRiskSystems LinkedIn:OptiRisk Systems

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This Newsletter was compiled by Aqeela Rahman