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Engineering Software Lab - Hedge Fund Trading Dashboard

by Daniel Liezrowice, Engineering Software LabTuesday, August 14, 2007

Hedge fund Trading room, constant view of "probable maximum loss" Dashboard.

Probable maximum loss (PML) is a concept traditionally used in the insurance industry for property risk cases like natural disasters. The nature of operations for this fund assumes that the financial market risk is not measured in value at risk, but in PML. The usage of PML for measuring market risk is rather controversial but this argument is irrelevant to us as our focus here is on dashboards only.

1. Overall view of all 5 traders from the PML aspect.

Digital Dashboard used for Risk Management

2. "Drilled down view" to Trader 5 , account 19 while the over view is maintained in a smaller side window.

Digital Dashboard used for Risk Management

What it does:

This dashboard was developed for a trading room control application. The fund employs five traders who perform hundreds of financial transactions each day. These tasks include the creation of complex and cleverly correlated financial positions which causes them to take calculated risks based almost solely on their discretion.

The successful operation of trades requires a high level of freedom to make the necessary decisions. But fund managers must be aware and alerted if "probable maximum loss" levels across hundreds of various positions cross a certain threshold. Crossing that threshold turns the fund operations into a pure gamble rather than a calculated risk. So this dashboard connects to a central database that stores information gathered from all trading systems. It performs complex mathematical calculations to produce the PML figure for each targeted financial instrument at any particular moment and divides it into related positions.

The technology:

Normally, we would use gauges for that kind of dashboard, since we're not interested long-term trends and history - it's not relevant here. But the complexity and sheer amount of information would require hundreds and sometimes thousands of gauges on the same dashboard page. And with .NET technology, that creates rendering time problems.

The information is organized into various hierarchies that require four to seven levels of drill downs. The only dashboard technology that can provide this currently is the Fractal Intelligence from .Fractal Edge. Loosely based on the infamous "Fractal Geometry," it operates in a similar way to a series of gauges but allows accessing and understanding large, complex or fast-moving information sources quickly, accurately and efficiently. The unique visualization is taking some time to get used to but more on that technology can be found at http://www.eswlab.com/

How it works:

  1. Excel 2007 is used as a database and as a tool for elaborated mathematical formulas that produce the PML data.
  2. A dashboard is created using the self service kit from Fractal Edge and auto-update is enabled via XML connectivity.
  3. The Dashboard is used as a standalone application on the controller PC, reports and snapshots can be produced as HTML, Flash or JPG files.

Submitted and created (for a client )by:
Daniel Liezrowice from Engineering Software lab ltd
Israeli Developers and system integrators for Advanced Data Visualization products
1 Dov Carmi street , Tel Aviv 69544 , Israel
Ph: +972 3 6496678

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