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Using Visual Numerics software to assist in its data-mining, GFTA
distills information from gigabytes of historic data combined with
live tick data to give treasuries and traders predictions on what
is about to happen to exchange rates.
QUICK
FACTS
GFTA (Gesellschaft Fuer Trendanalysen) is in the data mining business
and acts as an independent supplier of decision support information.
GFTA gives treasuries and traders predictions on what is about to
happen to exchange rates. This work is accomplished by using both
IMSL and PV-WAVE. Math and Stat models are written in C and C++
using the IMSL Libraries and PV-WAVE is used to analyze the tabular
data output by the models.
THE
PROBLEM
GFTA (Gesellschaft Fuer Trendanalysen) is an independent supplier
of decision support information to leading players in the ForEx
market. Using Visual Numerics software to assist in its data-mining,
GFTA distills information from gigabytes of historic data combined
with live tick data to give treasuries and traders predictions on
what is about to happen to exchange rates.
GFTA
is so successful in its predictions that it works on a profit participation
basis only, so it only makes money if its customers do. Its customers
are also free to cancel the service immediately at any time.
GFTA
will not disclose the actual names of its customers, but they include
the treasury departments of several countries, major merchant banks,
pension fund management companies and multinational corporations.
The
steps in the process are to:
- Collect, clean and store the data
- Construct irregular step Time Series
Models
- Construct a portfolio of models for
each market
- Monitor the validity of each model
and portfolio
- Use the models to provide traders
with a simple buy/sell recommendation
THE SOLUTION
Data Collection
 The
raw materials for GFTA are the masses of data from the world's financial
markets. When GFTA was formed in the mid-seventies, it began the
painstaking exercise of archiving data from the world currency markets.
These data were often in the form of daily or even weekly information
on exchange rates. The frequency of change in exchange rates has
increased enormously, and now GFTA is adding several megabytes of
market information per day. Building an unrivaled resource of data,
GFTA is set to dominate this market for many years to come.
The only data that GFTA is interested in for its decision support
are the exchange rate and, sometimes, the volumes traded. This is
because it finds that all other factors that may affect the market
rates are reflected in these two parameters. It then uses these
time series data to model the markets.
Data Modeling
The multidiscipline teams at GFTA develop mathematical and statistical
models to analyze the trends in each market. These models are written
in C and C++ using the IMSL Mathematical and Statistical Libraries
on Silicon Graphics, Inc.® servers that run the models every
few minutes and send the results to GFTA's desktop systems.
There is no fixed data model that fits the market exactly. GFTA
uses a diverse collection of methods and switches between models.
By using this combination of technologies, GFTA provides a better
than chance prediction of the trends in the markets.
Data Validation
GFTA uses PV-WAVE on its desktop machines to analyze the tabular
data output by the models, which produce several views of the data
ranging from simple line charts using color to indicate the action
recommended to detailed temperature plots showing blue where the
model is behaving well, ranging to red when the performance is poor.
The mathematical and statistical functionality of PV-WAVE helps
provide numerical analysis of this output.
RETURN
ON INVESTMENT
The information GFTA has gathered is distilled into a simple number
that is fed to the client's trading organization -- the amount of
the currency that is to be bought (or sold) -- thereby providing
traders with a competitive and comparative advantage in the marketplace
and allowing them to make better decisions. Because GFTA stays close
to the pulse of the market and the computer programs have better
memory and better stamina than a human, GFTA's clients win more
deals than they lose.
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Gesellschaft Fuer
Trendanalysen
Industry
Finance
Application
Exchange Rate Analysis
Product
PV-WAVE/IMSL
GFTA (Gesellschaft fuer trendanalysen) is an independent supplier
of decision support information to leading players in the forex
market.
Key Benefits
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Visual data analysis |
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Numerical data analysis |
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Mathematical and statistical models analyze trends
in the market |
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Cost-effective |
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