Relative Value Insights

Katana leverages the latest in big data and machine learning technologies to analyse millions of bond pairs every single day. We use deep learning to examine the entire space of relative value ideas to provide actionable insights on which pairs have the best opportunity. A new state-of-the-art deep neural network that predicts compression with 81% accuracy and median return of 10 bps of compression on an out-of-sample and out-of-time validation set.