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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.

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...

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In this space I publish posts and news related to my academic and professional activities. 

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Simulator Models for the Limit Order Book Dynamics and their Applications

December 3, 2016

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Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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