FOR IMMEDIATE RELEASE
PREDICTION DYNAMICS TO REVOLUTIONIZE FINANCIAL MARKET PREDICTIONS WITH CRUCIBLE™
Applications of Physics in Financial Analysis Conference, London, UK – December 6th 2001 – Prediction Dynamics, the systematic trading and risk management software company, today launched a comprehensive beta test program for its Crucible™ financial time-series modeling application. Crucible is a flexible and scalable modeling platform that enables the quantitative researcher to build, analyze and maintain a huge number of accurate, predictive financial models.
Crucible is the first software product to get around the limitations associated with traditional parametric (bell curve or normal distribution) financial models, which assume extreme fluctuations in financial markets are rare. Using a non-parametric engine Crucible helps users to build models that consistently generate stable and accurate predictive signals, even during periods of market stress.
"With Crucible, Prediction Dynamics is pioneering a revolutionary new approach to financial time-series modeling that has the potential to transform the world of quantitative finance," said Dr John Carney, Chief Technology Officer at Prediction Dynamics. "Stock and currency market extremes are alarmingly common. This means that depending on traditional bell curve models in risk management for example, is like feeling safe flying into a storm in an airplane that has only been tested in perfect weather conditions."
The non-parametric approach used at the core of Crucible enables users to create multi-factor models based on any number of relevant inputs. With Crucible Prediction Dynamics has achieved a high level of model stability, not previously achievable using non-parametric techniques. At the same time, the new product provides for greater transparency and understanding of the underlying models.
Speaking at the Applications of Physics in Financial Analysis Conference in London today Dr. Carney said the beta program would enable Prediction Dynamics to stress test Crucible in a number of real world situations before the product goes on general release in February 2002.
Crucible is aimed at high-end users including, hedge funds engaged in systematic trading, risk managers who take an active view to managing risk and research groups engaged in developing and refining quantitative trading strategies. Crucible can be used to build and maintain a very large number of predictive models across a large variety of different financial markets and asset classes. By providing support for market characteristics such as "fat tails", the database of predictions generated by these models can significantly enhance the performance of in-house (or third party) risk management, decision support and systematic trading systems.
Crucible 1.0 is based on key patent-pending technology developed by Prediction Dynamics including its FactorEngine™ and ModelEngine™. Prediction Dynamics FactorEngine enables the sophisticated financial practitioner to analyze and identify the optimal factor sets that drive a particular market. The ModelEngine enables users to build powerful and stable non-parametric models that can consistently generate accurate predictive signals based on the factors defined by FactorEngine.
The product will be available for general release in February 2002. A white paper on the product can be downloaded from the Prediction Dynamics web site atwww.PredictionDynamics.com.
About Prediction Dynamics
Prediction Dynamics was founded in June 2000 to develop a revolutionary new quantitative approach to financial asset return and volatility prediction. Crucible, the company’s core technology, is a powerful modeling platform that can be used to build and maintain a huge number of predictive financial asset return and volatility models. It has important applications in systematic trading, risk management and decision support. It is aimed at high-end users including, hedge funds engaged in systematic trading, risk managers who take an active view in managing risk and research groups engaged in developing and refining quantitative trading strategies.
Crucible, FactorEngine and ModelEngine are all trademarks of Prediction Dynamics
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