Advances in Computational Finance and its Application with Decentralized Distributed Systems

计算金融的进展及其在去中心化分布式系统中的应用

• 批准号: RGPIN-2020-05352
• 负责人: Thulasiram, Ruppa
• 金额: $ 2.55万
• 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: 2020
• 资助国家: 加拿大
• 起止时间: 2020-01-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=716910
• 关键词: Advances; Computational; Finance; its; Application

On July 30, 2019, testifying before the US Senate Committee on Banking, Circle chairman J. Allaire highlighted that financial smart contracts (FSC) with blockchain technology (BCT) (a trust-free tamper-proof decentralized system) will rule economic relationships among businesses in the digital commerce era. Option is one of the financial derivatives used in FSC and pricing option is the backbone of many finance problems. My research program spans areas that are seemingly unrelated to each other, including computational finance (CF), BCT, and distributed computing (DC). With carefully designed models and methodologies for problems (such as option pricing, FSC, task matching/scheduling, cloud resource pricing (CRP)) in these areas, my research has helped to discover means of, for example, modelling CRP problem using financial option theory, designing collateral services among financial businesses using BCT. We have overcome many challenges in discovering right mapping of phenomena in these areas. This is the impetus to discover more unknown relationships among these areas and thereby benefit all these fields. Some of my research goals in CF, BCT and DC include (i) designing algorithms with data-centric approach (DCA) for decisions on investing; (ii) building a small private Cloud to study problems in DC and use it for compute intensive CF research; (iii) designing FSC for large number of institutions and efficiently implementing on BCT; (iv) analyzing financial risk using DCA; (v) advancing CRP study towards an equilibrium model. By advancing modelling and computational approaches for these goals, I will go deeper in understanding these areas and underlying bridges between them. My proposed research will be a unique attempt that brings together two conceptually different, historically established, technologically evolving fields: finance and computing. I will use state-of-the-art in-house built private Cloud computing facility and design novel computational techniques with inspiration from natural world to study problems in CF and DC. The expected outcome of this research could help speed up the decision-making process for investments in highly volatile markets and use of DC for CF problems will help the profit-making opportunities become a reality. Through this original research initiative, I plan to train a fresh diverse class of HQP in Canada including indigenous and underrepresented with equal opportunity. The talent and skill set that my HQP will get from the research activities will uniquely position them and thus Canada to take up new entrepreneurial challenges and become leaders of the world in the financial businesses. The introduction of Bakkt, a digital asset marketplace offering Bitcoin futures contracts, by InterContinental Exchange (ICE) will be a new opportunity for HQP since ICE owns many of the exchanges in Canada including the Winnipeg Commodity Exchange where agricultural futures are traded.

2019年7月30日，Circle主席J. Allaire在美国参议院银行委员会作证时强调，采用区块链技术（BCT）（一种无信任防篡改分散系统）的金融智能合约（FSC）将在数字商务时代统治企业之间的经济关系。 期权是金融安全委员会使用的金融衍生工具之一，期权定价是许多金融问题的核心。 我的研究项目跨越了看似无关的领域，包括计算金融（CF），BCT和分布式计算（DC）。 通过精心设计的模型和方法来解决这些领域的问题（如期权定价，FSC，任务匹配/调度，云资源定价（CRP）），我的研究有助于发现使用金融期权理论建模CRP问题的方法，使用BCT设计金融业务之间的抵押服务。我们克服了许多挑战，发现正确的映射现象在这些领域。 这是发现这些领域之间更多未知关系的动力，从而使所有这些领域受益。 我在CF，BCT和DC的一些研究目标包括：（i）使用以数据为中心的方法（DCA）设计投资决策的算法;（ii）构建一个小型私有云来研究DC中的问题，并将其用于计算密集型CF研究;（iii）为大量机构设计FSC并在BCT上有效实施;（iv）使用DCA分析金融风险;（iv）使用数据中心方法（DCA）分析金融风险。（v）将CRP研究推向平衡模式。 通过推进这些目标的建模和计算方法，我将更深入地了解这些领域以及它们之间的潜在桥梁。 我提出的研究将是一个独特的尝试，它将两个概念不同、历史悠久、技术不断发展的领域结合在一起：金融和计算。 我将使用最先进的内部建造的私有云计算设施和设计新颖的计算技术，从自然世界的灵感来研究CF和DC中的问题。这项研究的预期结果可能有助于加快在高度波动的市场中进行投资的决策过程，而将DC用于CF问题将有助于实现盈利机会。 通过这项原创性的研究计划，我计划在加拿大培养一个新的多元化的HQP阶层，包括土著和代表性不足的平等机会。 我的HQP将从研究活动中获得的人才和技能将使他们以及加拿大处于独特的地位，以迎接新的创业挑战，并成为金融业务的世界领导者。 洲际交易所（ICE）推出的Bakkt是一个提供比特币期货合约的数字资产市场，这将是HQP的一个新机会，因为ICE拥有加拿大的许多交易所，包括农产品期货交易的温尼伯商品交易所。