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Mathematics and Statistics Professor Awarded Grant by Montreal Institute of Structured Finance and Derivative


Cody Hyndman, Associate Professor in the Department of Mathematics and Statistics and program director, Mathematical and Computational Finance, together with team members Caroline Hillairet (École Polytechnique in France) and Ying Jiao (from the Université Paris Diderot), has received a grant from The Montreal Institute of Structured Finance and Derivatives for the research project "Disorderly hedge fund liquidation under asymmetric information and market impact".

The team will study the implications of financial market participants with different levels of knowledge about the trading strategy of a hedge fund.  Due to future macroeconomic events the hedge fund may be forced to suddenly exit a large position, which impacts the market.  The study is relevant to investors, financial or commodity  market regulators, financial institutions, clearing houses and exchanges that participate in markets with large traders and informational hierarchy.

The Institute’s mission is to contribute to Montreal financial centre’s expertise in the fields of derivatives and structured products through training and research projects tailored to industry needs.




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