Modelling Trading and Risk in the Market

Traders in both financial markets and commodity markets must make educated decisions about when to trade and at what price; this project develops tools to assist with this decision-making process. Working with energy companies, financial software companies as well as companies from the banking and insurance sectors, the research team develops optimal portfolio methods that produce both the best investment decisions and the best hedging strategies for claims in general markets. In the past year, the team continued to assist the Property and Casualty Insurance Compensation Corporation of Canada with the development of a new risk management strategy that will help safeguard the insured assets of all Canadians. The team’s work with the Bank of Canada seeks to find ways of better managing the national debt. By shaving a few hundredths of a percent from the total debt, the annual savings will make a substantial difference. Other projects included assisting Dydex Research and Capital with energy market research. The resulting insights and algorithms help Canadians enjoy smoother access to the benefits of financial markets resulting in lower utility bills. One of the team’s investigators, Prof. Luis Seco, received the NSERC Synergy Award for his work creating algorithms and software for modelling and managing financial risk.