Research News

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 Mo...

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 deve...

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...

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.  

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.

 

April 4, 2014

My current research program in Ruin Theory includes exploring non-ruin quantities as proxies for risk. Quantities like drawdowns can be used to design new risk measures in the context of collective risk theory. These are mainly possible thanks to rec...

November 30, 2013

We study general risk models where the aggregate claims, as well as the premium function, evolve by jumps. This is achieved by incorporating a Lévy process into the model. This seeks to account for the discrete nature of claims and asset prices. Over...

April 14, 2011

The Markov-additive process family represents a natural theoretical framework to study the so-called regime-switching models. Models with regime-switching features find applications in finance and insurance insofar as they provide a mathematical desc...

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Research

Over the years, my research program has diversified and it now encompasses a wide range of theoretical and applied questions in the fields of Insurance Ruin Theory and Mathematical Finance. Non-Gaussian Option Pricing Models, Lévy Insurance Risk Models, Financial Econometric Regime-switching Models and Axiomatic Risk Measures are some of my research interests nowadays.  

 

Although I continue to work on classical problems, I now also have research projects in partnership with key industrial quantitative research teams in the finance sector. These projects are carried out under industry-funded research contracts that allow my team of students to explore applied-directions in new exciting fields bringing added value to our partner's operations. 

I actively search for new partnerhip opportunities: Inquiries are welcome.  

Academic Research

Simulator Models for the Limit Order Book Dynamics and their Applications

December 3, 2016

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Industrial Partnership Research

Appointment as Chief Artificial Intelligence Scientist at National Bank of Canada.

March 2, 2018

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Funding Agencies

Industrial Partners

Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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