Deutsche Bank Global Markets' London-based Product Innovation Group has implemented Prediction Dynamics' financial modelling platform, Crucible.
Prediction Dynamics says the software will be used for researching and deploying quantitative trading strategies and will enable the bank to implement nonparametric trading strategies for its client base.
The Product Innovation Group - which operates out of the bank's foreign exchange division - will use Crucible to enhance and develop its library of models for trading, hedging and risk management applications. The models will ultimately be deployed throughout the division and in support of the short-term business goals of the bank's clients.
Rashid Hoosenally, managing director, Deutsche Bank Global Markets, says Crucible will provide a platform for building, testing and operating new models that support strategies.
"The software brings us into the world of nonparametric quantitative modeling, enabling us to build complex and accurate financial models with superior risk-return characteristics much faster than was possible before," says Hoosenally.
Crucible enables users to build stable nonparametric financial time-series models, based on any number of input factors. The system is based on the vendor's FactorEngine and ModelEngine technologies. The FactorEngine enables financial practitioners to analyse and identify the optimal factor sets that drive a market. The ModelEngine enables users to create stable nonparametric predictive models based on the factors defined by the FactorEngine.