High frequency limit order book data

Description

Understanding the dynamics of high frequency limit order book data and forecasting market conditions by exploiting information content of high frequency limit order book data via machine learning.

Supervising professor

Tolga Cenesizoglu

Indigenous finance

Description

Understanding the external financing acquisition process for Indigenous businesses and systematic differences faced by Indigenous communities. Evaluate the financial structure and the financial needs of Indigenous infrastructure projects. Assess the negotiating positions and processes of Indigenous communities with the Crown.

Supervising professor

Nicolas Legendre

Household Finance

DESCRIPTION

Use economic theory and state-of-the-art econometrics to understand individuals’ financial behaviour and develop financial education strategies that are likely to improve financial well-being.

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Discover the Financial Education Lab

SUPERVISING PROFESSOR

Philippe d'Astous

Cyber-resilient market structure design

DESCRIPTION

Analyze existing market structures for trading securities through the lens of cyber-resilience to identify potential vulnerabilities and areas for improvement in the current market infrastructure. This will ultimately inform the development of more secure and robust systems.

SUPERVISING PROFESSOR

Vincent Grégoire

Replicable research in finance using LLMs

DESCRIPTION

Artificial intelligence tools such as large language models (LLM) are useful for extracting information from complex data sources such as text. However, the information extracted by LLMs is not always reproducible, and often, a slight change in the prompt and even simply re-running the experiment may yield different results because these models are probabilistic. This makes it difficult for peer reviewers to verify the reliability of the results and increases the risk of data snooping in research. This project aims to document the magnitude of these issues and develop a research protocol to mitigate them.

SUPERVISING PROFESSOR

Vincent Grégoire