I co-organized and participated in a multidisciplinary workshop that gathered scientists, regulators and lawyers to discuss the challenges in setting up a governance framework for new technologies in the financial services.
In partnership with CWP Energy, we explore different machine learning algorithms in order to first identify reliable signals and factors that in turn can be incorporated into a forecasting model for day-ahead electricity prices in Canadian markets.
In partnership with National Bank of Canada, we look at "zero-intelligence" simulator models in order to reproduce high-frequency signatures and limit-order-book features of assets of interest. This project involves event-driven simulation model developing as well as t...
In partnership with a private broker, we explored various machine learning methods in order to produce a trend-detecting algorithm that would ultimate optimize trading orders. An algorithmic trading algorithm was implemented.