Simulator Models for the Limit Order Book Dynamics and their Applications
Thanks to funding from the Montreal Institute of Structured Finance and Derivatives (IFSID), I am currently setting up a new research...
Applications of Supervised Learning Algorithms to Forecast Day-ahead Electricity Prices
In partnership with CWP Energy, we explore different machine learning algorithms in order to first identify reliable signals and factors...
On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. This new coherent risk...
Maximum likelihood estimation of the Markov-switching GARCH model based on a sequential recombinatio
The Markov-switching GARCH model allows for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined...
Modeling and Simulation of High Frequency Features of Market Prices
In partnership with National Bank of Canada, we look at "zero-intelligence" simulator models in order to reproduce high-frequency...
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the so-called expected discounted penalty...
Multivariate Data-based Risk Measures
In [12], the concept of natural risk statistics is introduced as a data-based risk measure, i.e. as an axiomatic risk measure defined in...
Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading
In partnership with a private broker, we explored various machine learning methods in order to produce a trend-detecting algorithm that...
Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets
In partnership with CIBC Asset Management, we explored the applications of Self-organizing maps in detecting macro-economical regime...
On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model
Regime-switching models (RSM) have been recently used in the literature as alternatives to the Black-Scholes model. Several authors favor...
