The Characterization and Simulation of Futures Markets

Current financial models do an inadequate job of capturing the nuances of actual market movements and often exclude the characteristics that would differentiate the resulting data from randomly generated data. The project will identify the key market characteristics that encompass actual market movements by extending current pricing models to encompass those characteristics that are deemed to be important from the perspective of a market participant.

Intern: 
Zachary Moyer
Faculty Supervisor: 
Dr. Anatoliy Swishchuk
Project Year: 
2014
Province: 
Alberta
Discipline: 
Program: