Professor of Financial & Actuarial Mathematics

Manuel Morales, PhD

  • Home

  • Research

  • About

  • How to Reach Me

  • More

    Research
    Research Program

    Simulator Models for the Limit Order Book Dynamics and their Applications

    December 3, 2016

    Thanks to funding from the Montreal Institute of Structured Finance and Derivatives (IFSID), I am currently setting up a new research project in collaboration with the National Bank of Canada and the Canada Research Chair in Risk Management at HEC Montreal. This compon...

    Read More
    Research
    Applied Research
    Partnership

    Applications of Supervised Learning Algorithms to Forecast Day-ahead Electricity Prices

    August 1, 2016

    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.

    Read More
    Research
    Article
    Published Article

    On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

    May 1, 2016

    |

    H. Assa, M. Morales & H. Omidi-Firouzi

    In this paper we introduce a new coherent cumulative risk measure on a subclass in
    the space of càdlàg processes. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive Lévy...

    Read More
    Research
    Article
    Working Paper

    Maximum likelihood estimation of the Markov-switching GARCH model based on a sequential recombination of the state space

    December 1, 2015

    |

    M. Augustyniak, M. Boudreault & M. Morales

    The Markov-switching GARCH model allows for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined by a path dependence problem which complicates the parameter estimation process. This problem led to the development of computationa...

    Read More
    Research
    Applied Research
    Partnership

    Modeling and Simulation of High Frequency Features of Market Prices

    November 30, 2015

    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...

    Read More
    Research
    Article
    Published Article

    On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory

    September 5, 2015

    |

    Z. Ben-Salah, H. Guérin, M. Morales & H. Omidi-Firouzi

    The field of risk theory has traditionally focused on ruin-related quantities. In particular, the so-called expected discounted penalty function (Gerber and Shiu. N Am Actuar J, 2(1):48–78, 1998) has been the object of a thorough study over the years. Although interest...

    Read More
    Research
    Article
    Working Paper

    Multivariate Data-based Risk Measures

    August 1, 2015

    |

    M. Mailhot, M. Morales & H. Omidi-Firouzi

    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 the space Rn. In this note, we set to generalize this notion to
    bivariate data sets (more generally, multivariate data sets) by defi...

    Read More
    Research
    Applied Research
    Partnership

    Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading

    April 7, 2015

    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.  

    Read More
    Research
    Applied Research
    Partnership

    Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets

    July 1, 2014

    In partnership with CIBC Asset Management, we explored the applications of Self-organizing maps in detecting macro-economical regime changes in financial data series.

     

    Read More
    Research
    Article
    Published Article

    On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model

    June 26, 2014