Cognity is engineered at its core to consistently and robustly model the real world phenomena of financial assets including:

• Fat-tails - the high risk of extreme events.
• Tail and Asymmetric Dependence - correlations become much higher during market stress.
• Volatility Clustering - high volatility stays high for a while, when it's low it stays low for a while.
• Risk Asymmetry - negative extreme events are larger in magnitude than positive extreme events.
• Long Range Dependence – statistical dependence between returns observed at different times decays slowly with the time difference.

The Cognity real world framework is implemented with special emphasis on handling realistic and very large dimensions, accurate parameter estimation, speed and scalability. Additionally, the framework integrates advanced extensions for returns-based modeling of more opaque fund portfolios.

Modeling fat tails properly is not an easy task. Our methodology capitalizes on continuous research of fat-tailed modeling for financial applications that began in 1987. Continually improving and evolving our platform, we have invested collectively more than 100 years of research and development. Special care is taken to research market issues in-depth and then implement those models that provide the most realistic explanation of the behavior.

This is our mission – addressing the needs of the new market paradigm and delivering unique analytic insight through a practical set of user-friendly software modules that, despite the complexity of the modeling required, guides portfolio and risk managers to make better decisions.

Highlights