SOLVE Px™ | SOLVE’s Proprietary AI-Driven Municipal Bond Predictive Pricing

By: Kristiaan Sheedy, Shanmukha Satujoda, & Michael Pellerito
Contributors: Jane Ma cfa, Gregg L. Bienstock esq & Tim Stevens cfa

SOLVE has successfully produced an artificial intelligence platform that accurately predicts the price of the next trade for municipal bonds. This solution, SOLVE Px™, allows users to decide the size and side of a hypothetical trade for any of the 900,000 active municipal fixed-rate bonds and receive a predicted price. The underlying Artificial Intelligence (“AI”) model generates predictions regardless of a bond’s liquidity. As a result, SOLVE Px is an effective data set for front-office municipal fixed-income professionals and can assist in identifying arbitrage opportunities and address the common lack of price transparency, even for illiquid bonds.

This paper provides a comprehensive overview of the model’s methodology, construction, benchmarking, back-testing, and potential applications for market participants. SOLVE Px leverages SOLVE’s unique observable quotes data, along with reference and trade data, to power AI models that incorporate hundreds of feature inputs to generate size- and side-specific predictive prices.

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