Advances in Computational Finance and its Application with Decentralized Distributed Systems

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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.