WHAT WE DO

Quantfloor uses technology, mathematics and statistics to develop competitive trading strategies that simultaneously manage risk and respond to dynamic markets.

Our analysts, developers and traders have extensive experience in a wide range of asset classes and risk management methods.

A really small selection of our standard solutions.

Models for high-frequency data
Roll's model of bid-ask bounce
Market microstructure model with additive noise
Estimation of integrated variance of Xt
Sparse sampling methods
Averaging method over subsamples
Methods of two time-scales
Methods of kernel smoothing
Methods of pre-averaging
MLE of volatility parameter
QMLE of [X]T
Estimation of covariation of multiple assets
Handling asynchronicity and the Epps effect

Complex synchronization procedures
QMLE for covariance and correlation estimation
Multivariate realized kernels and two-scale estimators
Fourier estimator of [X]T and spot volatility
Statistical properties of Fourier estimators
Fourier estimators of spot co-volatilities
Special econometric models involving TAQ
ACD models of inter-transaction durations
Solutions for Self-exciting point process models
Decomposition of Di and generalized linear models
Solutions for McCulloch and Tsay's decomposition
Solutions for joint modeling of point process and its marks
Solutions for realized GARCH and other predictive models