ARBLab

ARBLab - the Arbitrage Laboratory,  provides real world analysis of holding period P&L and risk for optimal trading strategies in market making, prop trading, structuring and risk management by combining the power or ART's decades of trading experience with possibly the most sophisticated trading analysis software (request more information here).   

Click these links to see examples where ARBLab Solutions for trading, sales, and risk- or senior-management apply.

Click here for a peek at some results  ARBLab Samples

Obtain the analysis alone, the software alone, or a combination of both.  The analysis  is performed by an extremely sophisticated strategy analysis software package by ART's senior staff, each of whom has at least 15 years of "on the trading" floor experience (typically as head of trading).  This means that the analysis is efficient, real world, and you gain the benefit of this deep trading/risk management experience set.  A typical basic analysis may involve 

Forward testing (against expected market behaviour) of trading strategies under different market conditions, and with different rebalancing assumptions.

Backward testing (against real market conditions) of trading strategies under different market conditions, and with different rebalancing assumptions.  

May account for as much reality impact as is desired, including funding, transactions cost, liquidity (or lack of), credit etc etc., as well as the (P&L) impact of using market convention or proprietary models.

Rebalance and holding period "activity" can be as sophisticated as is desired with trading limits, rebalance criteria, and rebalance structure selection using the simplest risk management methods up to including full "Greeks" with upper/lower limits, cash drawdown, liquidity/credit limits, etc triggering rebalance "optimisers" such as direct Greeks matching, Pyramid methods, linear, non-linear optimisation for the selection of rebalance instruments targeting Greeks/drawdown, mean-variance optimiser for allocation decisions, VAR, and user specified "trading formulas".

Please be sure to look at the sample results, and for additional information please use the ART Consulting Information Request form

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