M O D E L S

*"It can scarcely be denied that the supreme goal of all theory is to make irreducible basic elements as simple and as few as possible without having to surrender the adequate representation of a single datum of experience."*

- Albert Einstein, from his 1933 lecture *On the Method of Theoretical Physics*

As long-time users of models ourselves, we understand there's an inevitable trade-off between the simplicity of a model and its ability to adequately represent the data. Over the years, we've developed a number of models that are both straightforward and particularly effective at identifying trading opportunities in the financial and commodity markets and in quantifying the risks and returns inherent in those opportunities.

We make many of these models available to clients, either as bespoke implementations or as applications delivered via the Bloomberg App Portal.

Examples

** Fixed Income**

- Fitted Bond curves
- Bond futures delivery options

** Commodities**

- Commodity curve analysis
- Realized volatility forecasting
- Implied option densities

** Statistical**

- Principal components analysis
- Stochastic processes (mean reverting, trending, and hybrid