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.

Faculty Supervisor:

Dr. Anatoliy Swishchuk

Student:

Zachary Moyer

Partner:

Auspice Capital Advisors Ltd.

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

University of Calgary

Program:

Accelerate

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