OptiRisk Systems UK
   AML Family of Products
   Equity Trading Product
   Eurostar Project
   New Whitepapers
   OptiRisk India
   Staff & Interns
AML Family of Products
A brand new version of AMPLDev is in the works; this version is due to be released later this summer. In this version the way the user interacts with the models will change altogether; using the running instances of the models the data editing and data visualisation are done on the fly. AMPLDev can therefore be used as a BI and analytic platform for AMPL data views.
An updated version (Version 3.5) of AMPL IDE is released this year, which comes with major user interface improvements and bug fixes. Development of IDE is carried out by AMPL Optimization in partnership with OptiRisk-Systems.
AMPLAPI is now available for six languages/frameworks: C++, Java, .NET, MATLAB, R (beta) and Python. The Java and MATLAB versions have been updated to use the C++ core. This leads to improvement of speed and reliability; some important functions for model and data export have been added across all versions.
Equity Trading Product
Sentiment Enhanced Signals (SES)
OptiRisk is proud to announce that our Sentiment Enhanced Signals (SES) is now LIVE and trading on the Indian stock market and US stock market. The product is being utilized for the construction of portfolios from stocks belonging to NIFTY50 in India and S&P500 in US, as well as the index futures. Based on the optimization technique of second order stochastic dominance, this strategy beats the performance of global indices whilst reducing drawdown as well as days to recovery; it takes into account market sentiment as derived from news wires and other news sources. To find out more and see for yourself the outstanding performance of this strategy, visit our newly developed interactive website:
TRADE-SES http://ses.optirisk-systems.com:333/
Eurostars Project
We continue to work on the development of a risk assessment tool for sovereign and corporate bonds; this project is in cooperation with our European partners PS Quant in Austria, Acatis and Fraunhofer ITWM in Germany. We have developed routines to forecast risks; these forecasts are enhanced using news sentiment and news volume. We model switching market regimes by detecting switching correlation structures with news time series. This leads to predictions of bond spreads taking into consideration current market states. Our SENRisk DSS prototype will deliver a news-enhanced Fixed Income risk tool for portfolio managers and analysts.
New Whitepapers
1. Macroeconomic news: Enhanced risk assessment for sovereign bond spreads
2. Zryan A Sadik, Paresh M Date and Gautam Mitra. (2018) News augmented GARCH(1,1) model for volatility prediction, IMA Journal of Management Mathematics, dpy004, https://doi.org/10.1093/imaman/dpy004
Results from experiments on predicting bond spreads through ARIMAX models taking into account external news and sentiment variables can be found in our new whitepaper.
Forthcoming Events:
Workshop: Techniques and Strategies for Intraday Trading, London on 25 June 2018
Workshop: Introduction to Deep Learning: Overview, tools and applications on 26 June 2018
Conference: AI, Machine Learning and Sentiment Analysis Applied to Finance, London on 27 – 28 June 2018
Conference: Financial Revolution – Sentiment Analysis, AI and Machine Learning, 30 October 2018, Zurich
Presented at other events
OptiRisk presented the latest developments on SENRisk at the Strata Findata Conference in London, 22 May 2018.
OptiRisk (India)
Sales and Delivery Management System (SDMS)
In April, 2018, OptiRisk (India) successfully completed the trial of SDMS and SDMS went live for one of our clients. SDMS is a Cloud and Mobility based application, which has the capacity to capture inventory in stores, place orders, generate invoices and print them from the vehicle itself. Such automation helps our clients to improve productivity and reduce the order-to-cash cycle and working capital requirements. More details are available here and here
Tyre Pressure Monitoring System
OptiRisk (India) has developed hardware and software for a Tyre Pressure Monitoring System (TPMS) for a leading tyre manufacturer.
Staff and Interns
OptiRisk is hiring research staff and interns at multiple geographies. Visit our Jobs webpage https://optirisk-systems.com/jobs_1.asp to find out more.
Summer Interns:
1. Jin Won Choi, UCL, Department of Computer Science - Duration: June to September 2018
2. Jia Lin Li, UCL, Department of Computer Science - Duration: June to September 2018
3. Yulu Qiu, UCL, Department of Computer Science - Duration: June to September 2018
4. Yan Jun Wu, UCL, Department of Computer Science - Duration: June to September 2018
5. Anthony Luciani, University of Leicester, Department of Mathematics - Duration: June to September 2018
6. Tracy Tan, University of Toronto - Duration: June to December 2018
Doctoral Interns:
7. Douglas Castilho, University of Sao Paolo & University of Porto - Duration: May 2018 to May 2019
8. Tomasso Adami, University of Bergamo – Duration: July 2018 to July 2019
Share this Credits
This Newsletter was compiled by Aqeela Rahman and supported by Xiang Yu and Julie Valentine.