“Financial modeling” from JRC Capital Management

Well-founded experience, well-known partners in research: The project was the first EU research project in which JRC Capital Management Consultancy & Research GmbH (JRC) under the direction of Managing Director Jannis Raftopoulos was involved “Analyst’s Control Environment” (ACE) in 1996. As a young company at the time, the JRC initiated this project and immediately took on the role of coordinator. It acted as a communication interface between the project partners and the European Commission. The consortium consisted of five other partners: Sligos SA, which later merged and was renamed Atos SA, the University of Surrey, Erasmus University Rotterdam, Smart and Bankgesellschaft Berlin, which now bears the name Landesbank Berlin LBB Holding AG.

To analyze financial markets, traders generally use two different sources of information. On the one hand, this analysis is carried out by looking at the real-time price change, and on the other hand, by evaluating political and financial market-relevant reports.

The aim of the project was to model and develop a financial application that combines these two aspects. For this, both financial time series and news headlines were analyzed and statistically evaluated. While the bank company was responsible for the “interest rate application”, the core responsibility of the JRC lay in addition to its function as project coordinator in “financial modeling” especially for the forex markets.

The results of this project formed the prototype for word processing on financial news, the development of basic models for quantifying headlines and the development of trading models. As the initiator and coordinator of the project, the JRC also enjoyed the preferential privilege for these trading models, which formed a foundation for internal research. “The constructive cooperation and the successful completion of the project led to the start of a follow-up project called ‘Generic Information based Data Assistant’ (GIDA),” explains foreign exchange expert Jannis Raftopoulos.

Following this project, the banks involved indicated their interest in the resulting trading systems that were further developed by JRC. This led to further collaborations between JRC and other banks beyond the group of research partners involved. Currency specialist Jannis Raftopoulos: “The intensive research on the algorithmization of financial requirements in the foreign exchange market ultimately led to the specialization of JRC Capital Management in the development and application of quantitative trading systems in the foreign exchange and derivatives market.”