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.

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Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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