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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.

January 5, 2016

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’approc...

January 5, 2016

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...

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...

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.  

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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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