Advanced Quants is proud to have been partnered with the University of Calgary, Mitacs, Alberta Innovates Technology Futures, and NRC's Industrial Research Assistance Program (IRAP) in its research.
Here is a list of our published research papers, thesis, and book:
The Bull, the Bear, and the Baboon
Advanced Quants' proprietary technology allows it to monitor thousands of financial instruments 24 hours per day and instantaneously act on these potential trading opportunities. Advanced Quants' research is grounded in technical studies that gauge probability, statistics, and psychological behaviours in the markets. Research produced by Advanced Quants can be used across a wide range of instrument classes by trend traders, swing traders, short, and long term traders. The mathematical approach applied makes Advanced Quants a leading source of trading and investment opportunities that are not influenced by emotions.
Our partners for this research
Multi-Scale Foreign Exchange Rates Ensemble for Classification of Trends in Forex Market
Foreign exchange (Forex) market is the largest trading market in the world. Predicting the trend of the market and performing automated trading are important for investors. Recently, machine learning techniques have emerged as a powerful trend to predict foreign exchange (FX) rates. In this paper, we propose a new classification method for identifying up, down, and sideways trends in Forex market foreign exchange rates. A multi-scale feature extraction approached is used for training multiple classifiers for each trend. Bayesian voting is used to find the ensemble of classifiers for each trend. Performance of the system is validated using different metrics. The results show superiority of ensemble classifier over individual ones.
Our partners for this research
Currency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate
We derive results similar to Bo et al. (2010), but in the case of dynamics of the FX rate driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign exchange rate is a martingale for a general Merton jump-diffusion process are derived; using the values of these parameters we proceed to a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson Process intensity with respect to the measure; pricing formulas for European foreign exchange call options have been given as well; 2) obtained formulas are applied to the case of the exponential processes; 3) numerical simulations of European call foreign exchange option prices for different parameters are also provided.
Our partners for this research
Foreign Exchange Data Crawling and Analysis for Knowledge Discovery Leading to Informative Decision Making
Foreign exchange refers to the process of converting/changing money from one currency to another, e.g., from Euro to US dollars. This kind of exchange is valuable and attractive because over time the value of various currencies may change with respect to each other leading to gain or loss in terms of the overall value. The foreign exchange market is growing rapidly and the development in technology has influenced all aspects of our daily life, including the trading of foreign currencies. Thus there has been a major shift to the electronic trading which has brought together the need for sophisticated techniques capable of monitoring the market in real time. To contribute to this domain, the research covered by the activities described in this thesis includes the development of a framework that will enable the acquisition of data from a set of currency trading entities in real time, and the ability to rapidly analyze the data. The framework will also allow the streaming and visualization of historical (previous) currency prices as well as current currency prices in close to real time. Finally, the framework will benchmark every monitored broker to decide whether it is a trustable broker. The reported test results demonstrate the applicability and effectiveness of the developed framework. The additional value of the developed framework is attributed to its utilization by a domain expert who has guided the whole development process.
Our partners for this research
Foreign Exchange Data Crawling and Analysis for Knowledge Discovery Leading to Informative Decision Making
Foreign exchange refers to the process of converting/ changing money from one currency to another, e.g., from Euro to US dollars. This kind of exchange is valuable and attractive because over time the value of various currencies may change with respect to each other leading to gain or loss in terms of the overall value. The foreign exchange market is growing rapidly and the development in technology has influenced all aspects of our daily life, including the trading of foreign currencies. Thus, there has been a major shift to electronic trading which has brought together the need for sophisticated techniques capable of monitoring the market in real time. To contribute to this domain, the research covered by the activities described in this paper includes the development of a framework that will enable the acquisition of data from a set of currency trading entities in real time, and the ability to rapidly analyze the data. The framework will also allow the streaming and visualization of historical (previous) currency prices as well as current currency prices in close to real time. Finally, the framework will benchmark every monitored broker to decide whether it is a trustable broker. The reported test results demonstrate the applicability and effectiveness of the developed framework. The additional value of the developed framework is attributed to its utilization by a domain expert who has guided the whole development process.
