Matrix Research Systems

Matrix Research Systems provides data analysis services to the professional investment market.

The company specializes in the back-testing and evaluation of trading strategies and market data.The company's services are built around a proprietary time-series database and evaluation engine that holds data on US equities, indexes, options and futures. The US securities data covers over 30,000 listed and delisted securities going back to the early 1980s. The options data covers all contracts traded on CBOE and other US exchanges since 2001.

Research areas in equities are generally categorized as statistical arbitrage strategies. There is a key emphasis placed on comparing each trade within a trial system to results for equal-weighted random selections from the same universe of securities. Many systems in our experience turn out to be equivalent to random, although random results often present quite well.

The options data has recently been added and initial background research on the options data is looking at how actual option prices have differed from the theoretical prices for American-style options (Bjerksund & Stensland methods) and for European-style options (Black, Scholes & Merton).

The company is based in Edinburgh, Scotland.