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Sample ARBLab Results (abridged and sanitised)

Please find below a list of selected results from ARBLab.  Please keep in mind that all Consulting/Research projects are fee based, so the sample results are generally dramatically shortened and sanitised (these are all real world trading/analysis results, but the specifics of contracts, markets and certain other factors have been "disguised").  

ART also offers a wider range of consulting services such as the additional samples here.

ART also provides "free" research via our ARTicles.

A few "sample" ARBLab results

Synthetic vs. Outright Yield Curve Slope Options - Comparison of trading opportunities/possibilities of yield curve slope options with "outright" based synthetic spread options and explicit curve slope options., via an application the PaR methodology. Overview  Request More Information

P&L Implications of VaR/Economic Capital -  illustration of real world effects leading for large errors and P&L losses with VaR/Economic Capital estimations, via an application the PaR methodology. Overview  Request More Information

Optimal Rebalancing Strategy and Market Condition Dependent Risk Limits -  an application of Pr/rO and the PaR methodology to examine P&L and risk  performance under various rebalancing strategies and the impact of market conditions on selecting risk limits (and the need for dynamic risk limits reflecting market behaviour). Overview  Request More Information

Bonds/Swaps/Futures Funding Arbitrage-  examination of the performance and arbitrage opportunities using various funding strategies for the Bonds/Swaps/Bond-Futures complex. Overview  Request More Information

Asset Allocation and Arbitrage: Convertible Bonds with Equity/Asset/Credit Swaps- Part 2c -  examination of the performance and arbitrage opportunities when structuring synthetic convertible bonds. Overview  Request More Information

Historical Vol vs. Implied Vol Strategies - Part 1.   Application of Pr/rO and the PaR methodology to examine if it is possible to generate favourable P&L's using various "predictive"  relationships between historical volatility (vH) and implied volatility (vI)  in combination with a variety of trading strategies. Overview  Request More Information

Correlation Trading Strategies: Quanto - 1.   on determining the "P&L optimal" risk-adjusted holding period  rebalancing strategies for Quanto's with various risk criteria (Delta, Delta/Gamma, etc). Overview  Request More Information

Predictability of Funding Rates - Part 1 : Analyses and modelling of the predictability of funding rates/costs and estimation of the likelihood of forward rates as predictors of funding costs. Overview  Request More Information

An Optimal P&L Approach to Selecting/Calibrating Term-Structure Models: Comprehensive examination of term structure models focusing on choosing the best model in terms of producing the highest risk adjusted profits. Request More Information

  P&L Performance of MVO Asset Allocation: analysis of the historical performance of (Markowitz) Mean-Variance Portfolio Optimisation in asset allocation decision and its impact on risk adjusted returns. Overview  Request More Information

Optimal P&L Options Rebalancing Strategies - Part 1: comprehensive analysis of rebalancing strategies that optimise P&L and risk/return for options replication and hedging using both back testing and forward testing methods with real world data and circumstances. Overview  Request More Information

Model Arbitrage: Risk/P&L for Holding Period Strategies with fractal-adjusted Options Methods. Examines the holding period P&L impact of trading with a proprietary options model that incorporates the markets fractal behaviour.  The mark to markets are against real settlement prices and only the rebalance hedge ratios are based on the proprietary model. Overview  Request More Information

Asset Allocation Part 2: Technical and Fundamental Trading Rules.   Holding period risk-adjusted P&L for Technical Analysis and Fundamental Analysis based strategies for asset allocation decisions. Overview  Request More Information

Model Arbitrage: Fat Tailed FX Options.   Holding period risk-adjusted P&L analysis using various options models and rebalance strategies with many years of historical FX data illustrates dramatic model arbitrage possibilities. Overview  Request More Information

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Last modified: July 25, 2011