Advances in Computational Finance and its Application in Distributed Systems

计算金融的进展及其在分布式系统中的应用

• 批准号: RGPIN-2015-05618
• 负责人: Thulasiram, Ruppa
• 金额: $ 1.31万
• 依托单位: University of Manitoba
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2016
• 资助国家: 加拿大
• 起止时间: 2016-01-01 至 2017-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=613651
• 关键词: Advances; Computational; Finance; its; Application

Many world economies seem to be slowly recovering following the 2008 market crash. However, due to their inter-dependence, there is still the looming danger of recession in some developed countries such as Germany. This is happening even after new regulations such as the Dodd-Frank reform and consumer protection act required all Derivative instruments to be collateralized to eliminate counter-party risks. Options are one of the common derivative instruments and pricing options is the backbone of research problems in finance. Dr. Thulasiram’s research program spans into areas that are seemingly unrelated to each other such as financial derivatives, distributed resource management. With carefully designed methodologies and technical approaches, his research has discovered the existence of some fundamental principles that connect these fields. The mathematical and computing components of his research in the past helped discover some of the hidden links and is the impetus for the current mission to further uncover such hidden relationships among them, thereby benefiting all these fields. Through this new research initiative he plans to train a fresh class of high quality research personnel in Canada. Dr. Thulasiram's research will use modern computers and advanced computational techniques inspired from the natural world to study problems in finance. His research will allow for better understanding of the behaviour of some of the financial instruments. The research results will help speed up the decision making process for investments, hence to avoid potential financial losses for millions of investors. This research can be used in common computing platform such as Cloud for resource pricing for services. Cloud is a distributed system where services such as memory, data storage, bandwidth etc., are available any time any wherer as a pay-as-you-go model. In essence, Dr. Thulasiram's research results will answer some newly aroused questions in financial markets and on commonly used Cloud resources such as: (i) What could be the relationship between finance and Cloud computing? (ii) Is there any opportunity to profit investing in a particular derivative instrument? (iii) How can one (individual or organization) evaluate the value-at-risk to continuously balance their financial health? (iii) How can the market volatility be precisely measured for profit making opportunities? (v) Are consumers paying a fair price for the Cloud resources they rent? (vi) How can one eliminate risks involving acquired versus rented resources? (vii) How can a service provider guarantee profit for their business while satisfying the quality of service for customers? (viii) How can providers expand their business for optimum utilization of their resources? (ix) Can Cloud be used for financial derivatives advisory services without compromising the privacy of the investor and security of the investment instruments?

许多世界经济体似乎在2008年市场崩盘后缓慢复苏。然而，由于它们之间的相互依赖，德国等一些发达国家仍然存在经济衰退的危险。即使在多德-弗兰克（Dodd-Frank）改革和消费者保护法（Consumer Protection Act）等新法规要求所有衍生工具都必须有抵押品以消除交易对手风险之后，这种情况仍在发生。期权是一种常见的衍生金融工具，期权定价是金融学研究的核心问题。 博士Thulasiram的研究项目涵盖了看似无关的领域，如金融衍生品，分布式资源管理。通过精心设计的方法和技术途径，他的研究发现了一些连接这些领域的基本原则。他过去的研究中的数学和计算部分帮助发现了一些隐藏的联系，并且是当前使命的动力，以进一步揭示它们之间的隐藏关系，从而使所有这些领域受益。通过这项新的研究计划，他计划在加拿大培养一批新的高素质研究人员。 博士Thulasiram的研究将使用现代计算机和先进的计算技术，从自然世界中获得灵感，研究金融问题。他的研究将有助于更好地了解一些金融工具的行为。研究结果将有助于加快投资决策过程，从而避免数百万投资者的潜在财务损失。该研究可用于云计算等通用计算平台的服务资源定价。云是一个分布式系统，其中的服务，如内存，数据存储，带宽等，随时随地都可以使用，即付即用模式。 从本质上讲，Thulasiram博士的研究成果将回答金融市场和常用云资源中的一些新问题，例如：（i）金融和云计算之间的关系是什么？(ii)是否有任何机会获利投资于特定的衍生工具？(iii)一个人（个人或组织）如何评估风险价值以持续平衡其财务健康？(iii)如何准确地衡量市场波动以获得盈利机会？(v)消费者是否为他们租用的云资源支付了公平的价格？(vi)如何消除涉及购置资源与租用资源的风险？(vii)服务提供商如何在满足客户服务质量的同时保证其业务的利润？供应商如何扩大业务，以最佳方式利用其资源？(ix)云计算是否可以用于金融衍生品咨询服务，而不会损害投资者的隐私和投资工具的安全性？