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"Relative value trade identification"

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Algorithm

May 17, 2021

Additional powerful filters to discover actionable trade ideas

We’ve added the possibility to search for a bond using CUSIP, enhanced our suite of filters to include z-score, z-spread diff, reversion and similarity and further improved Katana's trade idea algorithm.

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October 29, 2020

Relative value ideas from more than 30K bonds

With the announcement of our partnership with IHS Markit and access to more than 130K bond instruments, we are expanding the already available bond universes and adding the Investment Grade US Corporate bond and European supranational, sub-sovereign (regional) and agencies bonds universe, totalling to five distinct universes and over 30K bonds that users have access to.

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July 22, 2020

Major refinements advancing our algorithms

Today we are releasing refinements that advance our machine learning algorithms' identification of mean-reverting bond pairs. Our model is now considerably more effective at discarding spuriously correlated pairs and disentangling pair motions from bulk market movements. These improvements are encapsulated in two key areas of the model:

  1. Determining the relevancy of the bonds that form a pair
  2. Identification of the top-performing ideas in the market
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June 5, 2020

New filters and improved search functionality

  • Addition of a clear all filters button
  • Addition of a filter for currency
  • Search results now distinguishes between issuer and bonds from that issuer
  • Parameter adjustments of the algorithm on the EMD universe
  • User Interface improvements
  • Updated list of ISINs in universes
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