Mathematical Models in Algorithmic Trading

On June 1, 2021, Futures First Canada and FinML began a pilot collaborative project involving three Canadian universities by-way-of a MITACS Accelerate internship (IT25712) to jumpstart an initiative to use cutting edge techniques in machine learning, financial mathematics and AI for making predictions in financial markets. This goal is integral to the business operations of the company and is a leading motivation for academic research. The pilot project has created a basis for this current project application which will continue the effort, extend positive academic results and furthering integration into the company’s infrastructure. This next project will extend previous research by building mathematical models using stochastic optimal control theory for the purposes of algorithmic and HFT (High-Frequency Trading). This is a challenging project where we uncover the obstacles for the academic theory to be applied in practice.

Faculty Supervisor:

Anatoliy Swishchuk

Student:

Partner:

Futures First Canada Inc

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

University of Calgary

Program: