Quantitative Models Implementation & Integration - Trading Integral Solutions : Trading Integral Solutions

Services

Business Technology
- Data Visualization and Animation
- Quantitative Models Implementation & Integration
Risk Management
- Operational Risk Management
- Quantitative Risk Management
Strategy Innovation
- Growth Strategies
- Portfolio Strategies

We build custom data analytics and quantitative pricing and hedging models that blend into your existing systems. Our versatile team is a virtual extension of your quantitative development department and is able to deliver non-invasive work product that helps considerably shorten your IT development cycle.

Thanks to Trading Integral Solutions’ proprietary development framework, and to our experienced quantitative analysts, we are able to translate your business requirements into a beautiful, smart and profitable in-house software that can be integrated into your current system architecture.

Translate business strategy into a beautiful, smart and profitable IT software
Build custom modules and libraries that seamlessly integrate into your current system
Design and implement management information, and risk dashboards and reporting
Deploy customized versions of our quantitative decision support flagship models into your system

Through different engagements in financial and commodity markets, we have striven to add real value using a pragmatic, flexible and real-world approach, founded on leading IT implementation standards, such as design patterns and agile programming.

Click below to learn more about some featured delivered projects.

Simulating trading strategies for a hedge fund

This scenario-based simulation of trading strategies’ P&L and key performance ratios, incorporates the effect of capital re-investment ratio depending on past levels of draw-down.

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Simulating market prices for a re-insurance company

This is a methodology and a framework used in the front and middle offices to carry out:

a real-world vs. risk-neutral simulation of market prices using both binomial and mean-reverting jump diffusion models.
a simulation of one path, or a thousand paths with distributions across paths or time

Simulating Market Prices

Pairs trading for an investment bank

This is design and an implementation of a winning cross-commodity statistical arbitrage strategy which identifies pairs sharing long-term dependency measured by the speed of mean-reversion and exhibiting enough volatility to take advantage of the spread swings around the identified trend.
Pairs trading using cointegration

Power price forecasting for a retailer

This is a pertinent forecasting model that combines fundamental with statistical approaches to predict spikes in power prices in the Dutch market.

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Optimizing power dispatch and hedging for a producer

This simulation-based framework enables a power producer to make optimal hedging and spot dispatch decisions under market uncertainty.

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Optimizing a power retailer's portfolio

This simulation-based framework enables a power retailer to make optimal choices between procuring energy from the spot market or through bilateral contracts given a portfolio of clients and their corresponding price-quota curves.

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Optimizing energy procurement for a consumer

This simulation-based framework enables an energy-intensive consumer to make optimal decisions under market uncertainty between self-production, futures hedging and open position in the spot market.

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Optimizing a refiner's margins

This scenario-based analysis enables a refiner to build an optimal hedging structure using a combination of futures, options and naked positions.

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Optimizing gas procurement for a retailer

This is a risk-return comparative analysis for different alternatives in gas procurement that suggests optimal portfolio allocation between these alternatives, while simultaneously indicating the best times to source gas during the year and their corresponding optimal volumes.

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Fitting a volatility curve for a gas trader

This is a methodology and an application that allows the front office to calibrate their volatility parameters based on historical forward curves. The application renders a 3-dimensional representation of historical gas forward curves and a calibration using HJM 2-factor model.

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We selected a sample of software applications implemented for different clients and reproduced demo versions that, whilst offering minimal functionality, indicated the implemented solution using interactive real-time computations in the cloud.

Click below to learn more about these solutions.

Simulating trading strategies

This interactive online application allows you to configure ratios of capital re-investment, depending on past draw-down levels, and then simulate market prices using two different models. The distribution of your portfolio P&L, key performance indicators and a complete daily report of portfolio P&L are shown.
Trading Simulator

Simulating market prices

This interactive online application allows you to choose parameters to simulate a mean-reverting jump diffusion model or a simpler binomial model for visualizing different kinds of distributions.
Price Simulator

Optimizing power production

This interactive online application allows you to upload different generation capacity characteristics with unit availability. Taking into account simulated future spot prices and user-input forward contract agreements, it produces optimal levels of contracting for a power producer.
Power production optimizer

Optimizing retail's procurement & sales

This interactive online application allows you to upload clients demand forecast, future pool price scenarios and forward contract information. It generates optimal volumes to procure from both the forward and the spot markets in order to satisfy uncertain clients demand.
Energy retail optimizer

Optimizing consumer's procurement

This interactive online application allows you to upload energy demand forecast, future pool price scenarios, forward contract information and available self-generation characteristics. It generates optimal volumes to procure from both the forward and the spot markets in order to satisfy an expected demand.
Consumer's procurement optimizer

Optimizing refinery margins

This interactive online application utilizes your data, such as crack-spread forward curve, ATM call and put option premiums, and simulates futures spot prices. It allows you to make decisions on a hedging scheme that maximizes expected revenues, given a level of risk.
Refinery margins optimizer

Fitting volatility curve

This interactive online application uses your data, such as historical forward curves and seasonality partitions. The application renders a 3-dimensional representation of historical forward curves and then calibrates model-implied volatilities to historical ones.
Volatility calibrator

Testimonials

Bron Sharman Senior Oil Trader
“Unlike many advisers I’ve worked with, Trading Integral Solutions don’t have to pretend to be interested in their clients: they focus on what really matters and strive to add value in an optimal way.” Bron Sharman, Senior Oil Trader at SOCAR Trading
Olga Kutuzova IFRS Group Manager
"Trading Integral Solutions applied high quality standards when they delivered their project to us. We benefited greatly from our interaction with their highly skilled team of experts!" Olga Kutuzova, IFRS Group Manager at Novatek Gas & Power
Jaroslaw Wajer Partner
"I have cooperated with Trading Integral Solutions several times. They supported us during the design and implementation of trading departments and company strategies for our power utilities clients. I appreciate their trading expertise and profound knowledge of risk management. I would truly recommend cooperation with Trading Integral Solutions." Jaroslaw Wajer, Partner Performance Improvement at Ernst & Young

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