DERA offers an environment that supports research by economists and other staff as they perform work that informs the SEC’s rules and policies. The DERA environment also supports and encourages individual staff research initiatives.
DERA offers multiple computing environments to support research by financial economists and other quantitatively-oriented staff in order to efficiently execute empirical analyses with different analytical needs. These environments include a framework that enables and expedites the analysis of large-scale datasets. DERA also offers access to software modules that facilitate the implementation and use of advanced statistical and machine learning algorithms.
Computing: DERA economists conduct research and perform analyses using a number of large operating systems. To manage large datasets and provide increasing processing power, DERA uses high-speed servers to run the operating systems. The servers provide access to many of DERA’s larger datasets, including trade and quotation data for equities and options, and offer analytical software applications. Researchers also use big data frameworks when mining large-scale structured and unstructured datasets. Further, DERA economists utilize a number of text mining tools.
DERA economists program in a variety of languages and use an assortment of development tools, managed in several databases.
DERA economists have access to a virtual library of electronic journals covering topical areas such as accounting, economics, finance, law, and other disciplines. DERA uses a wide variety of third-party vendors to deliver journal content. Additional support is provided to staff through the SEC’s Library.
DERA currently uses over 130 datasets obtained directly from third-party vendors and SROs. DERA offers these datasets in addition to the vast amount of structured and unstructured data filed by SEC issuers and registrants that is housed internally. Examples of the data include:
- Bonds and Fixed Income Securities – includes daily pricing for corporate bonds, municipals and treasuries, bond characteristics and transaction data, credit ratings, institutional ownership and independent valuations for hard-to-price instruments.
- Hedge Funds – includes contact details, fund manager profiles and histories, investment strategy synopses and risk management techniques, historical performance data, graphs and statistics, and monthly performance updates.
- Investment Advisers – includes each adviser’s business, ownership, clients, employees, business practices, affiliations, and any disciplinary events of the adviser or its employees.
- Broker Dealers – includes information on registered representatives, financial and operational reports, and order execution quality statistics.
- Investment Companies – includes comprehensive peer analysis, holdings- and returns-based style analysis, data calculation customization, and performance analysis.
- Municipalities – includes bond offering characteristics, pricing, ratings and holdings information.
- NRSROs – includes a variety of credit ratings for corporate, municipals, and asset-backed securities.
- Issuances and M & A Data – includes offering characteristics for securities offered through the primary capital markets, syndicated lending and mergers and acquisitions.
- Structured Products – includes information on asset-backed and mortgage-backed securities, including pricing, ratings, holdings, loan and tranche-level data.
- Company Characteristics and Fundamentals – includes current and un-restated accounting fundamentals for domestic and foreign companies, in-depth auditor information and forensic accounting, corporate actions, and section analysis and trends within SEC filings for disclosure research and review.
- Analyst and Corporate Governance – includes analyst reports and earnings estimates, insiders/ownership, corporate board structure and compensation, shareholder proposals, voting results and additional governance data such as poison pill information, golden parachutes, and majority vs. plurality voting.
- Price and Market Data – includes pricing data for most asset classes, intraday trades and quotes, high frequency trading data, transaction cost modeling, short interest volume and transactions, market- and model-derived pricing for illiquid securities, and select data on order executions.
Visiting Scholars, Outside Perspectives and Conferences
- DERA hosted more than 20 academics from leading universities around the country to present their research at the SEC to ensure that new scholarly insights were accessible to DERA staff. Topics covered included securitization, OTC derivatives, high frequency trading, dark pools, executive compensation, fair value accounting, credit ratings, and systemic risk.
- DERA also attracts market experts from the securities industry to help shape our understanding of how SEC rules and regulations are applied.
- DERA hosts conferences throughout the year that bring in academics, various regulators, and securities practitioners to discuss key SEC issues.