Bond Pricing AI Improvement

The fixed-income market consists of government and corporate bonds and other debt instruments which are used to finance operations and capital investments. The bond market remains heavily reliant on exchanges of information between counterparties and as a result information on prices is decentralized and market participants operate with different levels of information. The objective of this research project is to create improved Artificial Intelligence models which will allow market participants to better manage trading activities, manage risk, or make portfolio funding allocations. Improving the incorporation of relevant data to allow for more accurate bond price forecasting will contribute to the efficiency, stability, and competitiveness of Canada’s financial system.

Faculty Supervisor:

Cody Hyndman;Frédéric Godin;Geneviève Gauthier

Student:

Xiang Gao;Martha Zaverdinos

Partner:

Overbond

Discipline:

Statistics / Actuarial sciences

Sector:

University:

Program:

Accelerate