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Computational Finance

Welcome to the SCL Computational Finance Research Interest Group Page!



This is one of the research interest groups under SCL that studies mathematical models, algorithms and data analysis techniques to solve problems related to behavior of certain financial systems.


Research Project


Currently, there are one active research project by the group, which is the following
:
 

1. A Seasonal Regime-Switching Spot Price Model for the Philippine Electricity Market
Sebastian Ibañez and Adrian Roy Valdez, Ph.D.
This study presents a mathematical model that captures the unique spot price dynamics of the Philippine Wholesale Electricity Spot Market (WESM). A three-state regime-switching model is constructed and employed a seasonal clustering algorithm  to construct a "seasonal" model that captures the potential periodic patterns in  the frequency of spikes. Two important regulations are also examined, the primary and  secondary price caps, and add their effects to our price simulations. Finally, a comparison of forecasting performance is made between the original model, its seasonal variant, and a simpler model consisting of 24 AR(1) processes.





Members


Faculty
Adrian Roy Valdez, Ph.D.
Jaymar Soriano, M.Sc.

Graduate Student
Sebastian Ibañez