Quantal Lighthouse Solutions

Quantal Lighthouse Solutions provides cutting-edge risk management, portfolio optimization, and trade execution solutions to Lighthouse trade clients. The solutions combine the strengths of Quantal International in investment R&D and custom applications with Lighthouse’s rapidly growing and innovative trading services.

Quantal International

Quantal’s proprietary Risk Engine, which has been refined over more than fifteen years, examines daily movements in asset prices and correlates them to market events.  The multi-factor model identifies the factors – both latent and explicit – behind the price movements. 

The Quantal Risk Engine calculates the forecasted correlation across all securities using a cross-asset multi-factor model.  It updates the correlations each day, reacting rapidly to the changes that can occur during periods of market stress.  The changes in correlations over time induce ‘fat tails’ across security returns. The model readily supports extensive user customization including customized trading universes, indices, sectors, trading costs, forecasted alphas, and hard or soft constraints on the optimized portfolio. 

Whether you are using it to manage risk or to determine which bets have the best premiums for their associated risks, Quantal lets you see exposures that are relevant to your strategy rather than straight-jacketing you into a pre-specified set of factors.

Lighthouse Financial

Founded in 1999, Lighthouse Financial Group, LLC is a New York based investment bank and institutional securities firm focused on providing products and services to an institutional and private banking clientele.  By combining the financial expertise of a global trading firm and the fiscal innovation of a boutique investment bank, Lighthouse Financial is able to leverage a full-service platform and extend the services to institutions and investment professionals globally.

The combination of Quantal Risk and Optimization consulting and solutions capability with Lighthouse full service sales and trading affords unprecedented insight into factors driving portfolio performance and unleashes potential for enhanced alpha and risk-adjusted returns.

Recent Quantal Research

· Which Stocks Best Hedge Changes in Expected Inflation (January 4, 2010)

· The 2008‐2009 Financial Crisis: Risk Model Transparency and Incentives (November 12, 2009)

· Asset Allocation under Stress (October 5, 2009)

Shared Wisdom

· Economic Commentary: Brad de Long’s take on economic issues du jour

· Analysis of Current Economic Conditions and Policy. UCSD site maintained by James Hamilton: http://www.econbrowser.com/

· Toxic Equity Trading Order Flow on Wall Street: The Real Force Behind the Explosion in Volume and Volatility, Sal Arnuk and Joseph Saluzzi, Themis Trading, December 2009.

· Why Has Trading Volume Increased? Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam, January 14, 2010.