Lucena Readies Studies for Bloomberg App Portal, Launches Added-Value Research

After making the studies available to a select group of its customers who are able to extend and modify the reports to make the study unique to the universe of stocks they cover, Lucena has signed a deal with Bloomberg to make read-only versions of the studies available on the data giant's App portal later this month.

Bloomberg already offers access to three of Lucena's modules via its App Portal: Price Forecaster, which predicts prices for user-defined portfolios based on historical stock price behavior; Portfolio Optimizer, which determines the optimal allocation of funds across portfolio holdings to maximize returns within user-defined parameters; and Hedge Finder, which identifies stocks to act as a hedge against downturns in the market or other holdings.

The event studies provide a report on how certain market events, such as a fall in the Dow Jones Industrial Average, or political and geological events impact the prices of securities. "The report includes a brief hypothesis for why we are why engaging in the research. We then create the event, test it out and see what universe is susceptible to that event, and how behaves in the days and weeks after the event," says Erez Katz, co-founder and chief executive of Lucena Research.

The event studies are generated using the Event Analyzer module of QuantDesk, a machine-learning event study platform that enables customers to create and analyze the impact of technical events, which the vendor launched in July. However, Lucena decided to create out-of-the-box event studies after client requests to be able to realize value from Event Analyzer without having to do the research work themselves, Katz says.

Bloomberg customers can sign up, be alerted when events are triggered, and track the specific securities signaled by the event conditions to see how accurately Lucena's studies predict how the equities respond following the event, Katz says. "Hopefully, that will be strong enough message for them to sign up with us for a three-month commitment and for ongoing engagement going forward," he adds.

The event studies are just one of a slew of new services being rolled out by Lucena that utilize one or more of QuantDesk's five modules to provide out-of-the-box research. For example, the vendor is currently rolling out a service dubbed Alpha Vector Files, which ranks a firm's stock universe from the most-predictive and highest-return to least-predictive and lowest-return for the time frame the customer is interested in. The files are delivered in comma-separated value (.csv) format, and leverage Quantdesk's Forecaster, Hedger, Event Analyzer and Portfolio Optimizer modules.

"Previously, Lucena's business model has been focused around providing the research capabilities through quantitative analysis and machine-learning technology. This has enabled our customers to identify repeatable patterns and derive from them predictive behavior," Katz says. "But we now realize that there is an additional customer segment that is not keen on extending their manpower or daily research tasks with additional tools-they want us to provide some of our best research to them, using our Quants in conduction with our technology, and tell them what we believe will work best to further enhance the performance of their portfolios using a professionally back tested scientific approach."

In addition to the event studies and Alpha Vector Files, the vendor has also developed ready-made trading strategies for its premier clients based on its internal research tools, as well as a white-labeled version of its platform with less sophisticated functionality aimed at retail and institutional service providers.