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 that in turn can be incorporated into a forecasting model for day-ahead electricity prices in Canadian markets. #photo #HighFrequency
Cours ACT6230/ACT3230: Finance Mathématique
Cours d’introduction à la finance mathématique de niveau intermédiaire. Le but de ce cours est de donner une perspective large de la théorie moderne des finances mathématiques en se concentrant sur le problème de l’évaluation et de la couverture des produits dérivés et des instruments obligataires. Nous étudierons les notions de base de la théorie de l’arbitrage en temps discret et continu. Dans le cadre discret, nous analyserons formellement les aspects théoriques qui permet
Cours MAT6240: Évaluation des Produits Dérivés
Cours au niveau avancé en finance mathématique. On étudiera formellement la théorie de l’arbitrage en temps discret et continu. L’étude de la théorie en temps continu se concentrera sur les modèles de diffusion et sur les modèles exponentiels Lévy. On étudiera l’approche martingale (théorie de l'arbitrage) pour l’évaluation des produits dérivés et le modèle Black-Scholes. Le cours concerne l’évaluation d’options européennes mais des options américaines et d’autres options exo
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 signatures and limit-order-book features of assets of interest. This project involves event-driven simulation model developing as well as the efficient implementation of state-of-the-art calibration procedures. #photo #HighFrequency
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 would ultimate optimize trading orders. An algorithmic trading algorithm was implemented. #Partnership #photo
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