Trade, algotrade, ivestment,

1. RKN Trade
Established, 2014 in Israel by:
Dr. Yaron Rosenstein
Dori Nemetsky
Oren Kalman

2. Knowledge base

Nonlinear analysis

Embedology

Numerical stochastic analysis

Statistical arbitrage

Pair trading

3. Nonlinear filtering,
smoothing and fitting of
ODEs
Rosenstein, Yaron, and Gal Zahavi. "Nonlinear time series temperature
modeling based on normal form." EPL (Europhysics Letters) 105.2 (2014):
29001.

4. Embedology and center
manifold extraction from
PDEs
Rosenstein, Yaron, and Gal Zahavi. "Nonlinear time series temperature
modeling based on normal form." EPL (Europhysics Letters) 105.2 (2014):
29001.

5. Numerical stochastic
analysis

SDEs

Adaptive Euler Maruyama methods

Monte Carlo simulations
Expectation Maximization (Shumway Stoffer,
1982) and Kalman filtering.

6. Simulation of GBM

7. Statistical Arbitrage
Ornstein-Uhlenbeck process

8. Kalman filter and EM
algorithm

Parameter estimation algorithm for
stochastic process.

Generate the following process:

9. Kalman filter and EM
algorithm

Estimated parameters

10. Simulated vs. estimated
process

11. Pair trading, Backtesting

With forward stepping
Year to return # days in dd # of trades maximal annual dd
10/04/07 - 10/06/08 0.1166017667 226 1508 0.0842422895
10/06/08 - 10/07/09 0.4021978307 226 1599 0.0552438732
10/07/09 - 10/08/10 0.4079892791 232 1497 0.0297518324
10/08/10 - 10/10/11 0.1270769447 241 1568 0.0592570485
10/10/11 - 10/10/12 0.1124757796 227 1450 0.0337934028
10/10/12 - 10/15/13 0.1805555221 244 1460 0.0349542937
10/15/13 - 10/16/14 0.0322485586 239 1457 0.0354710928
10/16/14 - 06/25/15 0.0771089184 70 393 0.0321020846

12. Distribution of log returns,
backtesting

13. Statistical Arbitrage, pair
trade

24% profit, live trade.

27% YTD

14. Risk measures

15. Capital (USD) and
business plan

Current (2015), 25K

First stage investment (Nov. 2015), 100K-
500K

Second stage investment (May. 2016), 1M

Third stage investment (Aug. 2016), 10M

16. Profit allocation to investors

First, second and third stage, third of the
generated profits before tax.

Later stages, quarter of the generated
profits before tax.

Company takes 1.5% commision of the
investment.