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.
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.
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: