Volatility Modeling

Volatility is an important variable for liquidity management. It is used to time the submission of buy and sell orders and their aggression levels in stock markets, bond markets, and derivatives markets. Volatility is also an important variable in the pricing of derivatives. Market participants will use volatility estimates to improve the quality of their executions. The objective of the project is to further develop a methodology to predict short-term volatility. The project will use machine-learning methods (such as gated neural networks, reinforcement learning, and the like) that have shown promising results in time-series predictions in financial markets.

Faculty Supervisor:

Ryan Riordan

Student:

Partner:

TMX Group

Discipline:

Business

Sector:

Finance and Insurance

University:

Queen's University

Program: