Next Generation Market Anomaly Detection

Bryok's Colucida product is a new way to do surveillance.

Colucica deploys advanced statistical and mathematical techniques to enrich data and detect market anomalies and abnormalities.   It draws on an effectively limitless palette of measures to detect anomalous activity.  Colucida looks for the outcome of trading activity, in the form of anomalous values for one or more principal components. It makes no assumptions about the nature of that activity, or about which measures of the activity will best describe the anomaly.  It can thus detect previously unknown or unthought-of market abnormalities.

Colucida provides a framework for use in advanced market surveillance analytics, able to be tailored for specific clients.  It includes:

• retrieval and interpretation of relevant market order book events
• calculation of metrics from those events
• mathematical transformation of the metrics
• statistical assessment of the transformations
• visualisation of the metrics, transformations and statistics
• investigation of potential anomalies.

For each of these aspects, Colucida includes specimen code and documentation as a basis for client and environment specific customisation and enhancement.  Colucida can be deployed on target hardware of your choice and is complementary to traditional surveillance tools.

To talk about how you can benefit from Colucida, please contact us.

Complexity simplified.