Xenomorph
  • Solutions
  • Technology
  • Customers
  • Resources
  • News
  • About Us
  • Request a Demo
  • Search
  • Menu Menu
  • Twitter
  • LinkedIn

News

Streamlining EDM Operations: Removing False Positives

This blog post by Xenomorph CEO Brian Sentance is entitled Streamlining EDM Operations: Removing False Positives and was originally published in Traders Magazine. 

Enterprise Data Management teams inherently rely on rules to identify exceptions that need fixing or require further investigation. However, having the right rules in place from the onset is absolutely crucial to ensure streamlined, effective operations.

There can often be a tendency to over-simplify and create rules that are not adaptive to market conditions. For example, flagging stocks whose price has moved more than five percent in a given day may work well in normal market conditions. But what happens when the index crashes by six percent? The rule would flag the majority of stocks as exceptions. Being inundated with thousands of data points to investigate would then undermine the validation process and overload the data management function/team with unnecessary work.

What is needed is adaptive validation that can embed triggers that are relative rather than absolute. Building on the previous example, an adaptive rule would flag stocks that move more than five percent relative to their benchmark. That means a stock that is up by half a percent could be flagged as unusual, but only if its benchmark index crashed by five percent.

Obviously, such an approach need not be limited to one particular asset class. One could build similar rules to flag unusual changes to bond prices – testing how a bond’s yield has moved relative to others of a similar maturity. Or one could test how the bond’s yield has moved relative to the credit default swap spread for the same issuer, or vice versa. Similarly, adaptive rules needn’t just be for price data. In validating volatility surfaces, one could look to benchmark moves in each data point relative to broader measures of volatility – such as the CBOE’s Volatility Index (VIX). Or one could adapt rules to strip out the impact of corporate actions, like the impact on a stock’s price the day it goes ex-dividend.

In all of these examples, the key to building validation rules that facilitate the efficiency and effectiveness of the data management team is that they really do adapt to hone in on true data exceptions, and do not produce false positives when faced with broader market shifts. In order to do that, it is crucial that your data management platform can fully express how static, historic, real-time and derived data are related, and how this data fits within the wider context of the market.

Share this entry
  • Share on Twitter
  • Share on LinkedIn
  • Share by Mail
https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Jean-Paul Carbonnier https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Jean-Paul Carbonnier2017-04-27 06:48:282019-07-03 10:23:03Streamlining EDM Operations: Removing False Positives

Categories

  • Blog Post
  • Events
  • Press Release

Archives

About Xenomorph

Xenomorph provides trusted data management solutions to many of the world’s leading financial institutions.

With more than two decades’ experience managing large volumes of complex data and analytics we can quickly configure a solution for your requirements.

Xenomorph London

4th Floor
10 Lloyd’s Avenue
London EC3N 3AJ
UK

+44 (0)20 7614 8600

info@xenomorph.com

map

Xenomorph New York

45 Rockefeller Plaza, FL 20
New York
NY 10111
USA

+1-212-401-7894

info@xenomorph.com

map


Xenomorph Boston

53 State Street
Suite 500
Boston, MA 02109
USA

+1-617-465-2050

info@xenomorph.com

map

© Xenomorph Software Ltd 2022 - Privacy policy | Anti-Bribery Policy
Scroll to top
This website uses cookies to improve your experience. If you continue to use the site we will assume your consent. ACCEPTRead More
Privacy & Cookies Policy

Privacy Overview

This website uses cookies to improve your experience while you navigate through the website. Out of these cookies, the cookies that are categorized as necessary are stored on your browser as they are as essential for the working of basic functionalities of the website. We also use third-party cookies that help us analyze and understand how you use this website. These cookies will be stored in your browser only with your consent. You also have the option to opt-out of these cookies. But opting out of some of these cookies may have an effect on your browsing experience.
Necessary
Always Enabled
Necessary cookies are absolutely essential for the website to function properly. This category only includes cookies that ensures basic functionalities and security features of the website. These cookies do not store any personal information.
SAVE & ACCEPT