Research

A rigorous and ongoing research capability is at the heart of every product we build at Pragma.

With more than 50 years of combined experience in engineering, mathematics, physics and financial research and more Ph.D.’s (per capita, alas) than Google, our research team devotes significant resources to the study of both theoretical and applied problems in algorithmic finance. The results keep our products cutting-edge and allow us to respond rapidly to the needs of our clients and evolving market conditions.

Research at Pragma encompasses a broad range of financial theory, from market microstructure to portfolio management to the structure of excess returns. Our efforts complement and extend the academic literature. Current areas of research include the interactions of optimal portfolio evolution and market micro-structure, the utility-based comparison of execution strategies and the Bayesian analysis of crossing networks. On the engineering side, we tackle problems like portfolio management in the presence of nonlinear transaction costs and efficient trajectory planning.

Research at Pragma is an ongoing process, and as our understanding of the financial universe improves, the benefits accrue to our products and to our customers.

PDF documents: 

Inverted-Price Destinations and Smart Order Routing (2011)

Effects of Execution Strategy on Statistical Arbitrage Performance (2011)

To (Spread) Capture or Not to (Spread) Capture (2011)

OnePipe 3.0: The Next Generation Dark Liquidity Aggregator (2011)

Trade Process Analysis (2010)

Characteristics of different liquidity pools and their effect on execution (2009)

Static VWAP: A Comparative Analysis (2009)

Dynamic Portfolio Management using Optimal Control with Quadratic Costs (2008)

Anti-Gaming in the OnePipe Optimal Liquidity Network (2008)

What Will the Next Generation of Algorithms Offer? (2007)