Deep Markets Platform
Given our range of skills at a senior level, the entire board is involved in the development of the Deep Markets Program.
Using the latest advances in diffusion geometry and graph theory, Plain Sight has developed proprietary quantitative tools that address the limitations of conventional statistics when analyzing massive amounts of financial and economic data. With these tools, Plain Sight is able to process heterogeneous data sets such as news feeds, commodity and stock price data to uncover structures within markets based on the social network of relationships among financial instruments.
In developing its technology, Plain Sight has been working with strategic partners such as Thomson Reuters (TR). Working with TR, we have been able to significantly improve the performance of TR News Analytics and Commodities Sentiment alpha signals. In addition, Plain Sight is able to automate the production of "Ghost Portfolios" to improve the design of trading and arbitrage strategies which utilize stocks outside specific GIC (general industry classification) sectors.
Please see the following JP Morgan Reports to get a better understanding of the application area:
- JP Morgan, "News Analytics: Can They Add Value to Your Quant Process?" June 3, 2011
- JP Morgan, "Do Dynamic Peer Groups Make Sense," March 9, 2012
Information that is extracted from heterogeneous data is presented in the form of an "Affinity Matrix" incorporating news sentiment and capturing relationships, analogous to non-linear correlations, of 4000 equities over ten years. Plain Sight's dynamic clustering algorithms significantly improve alpha performance and information ratios, reduce turnover, diversify the number of stocks, and increase persistence of signals.
Representation of Market Structure
Converted Into Affinity Matrix
Signals extracted from the Affinity Matrix lead to a variety of use cases:
- Identify Anomalies for Risk and Alpha
- Enhance Forecasts of Return, Risk and Co-Dependency
- Produce "Ghost" and "Anti-Ghost" Portfolios for Hedging & Arbitrage
- Improve Understanding of Portfolio Risk
- Stat-Arb Trading Strategy
- Benchmark Index Construction
- Short-term Asset Allocation: Equities, Commodities (Oil, Gold)
Please see for Index ApplicationsInstitutional Investor.com, "Rebalancing and Index Creation," October 2012.
The Deep Markets Platform captures the flexibility of the Plain Sight business model. We are commercializing our technology in different ways using the same core intellectual property engine:
- Strategic licensing to Fortune 500 companies
- Selling Proprietary Products such as Indexes
- Strengthening the Value Proposition of Our Asset Management affiliate
- Establishing Our Own Fund Deploying One of Our Trading Strategies