Mean Field Games in Asset Price Coordination was my undergraduate thesis supervised by Professor Robert J. McCann, FRSC, from the Department of Mathematics at the University of Toronto. The purpose of this thesis is to model asset price dynamics when considering the effects of herd behaviour and trend following. This is done using mean field games which attempts to capture the interactions between market participants. This is achieved by providing a reference trajectory for all the market participants, as well as penalizing market participants who stray too far from the average price seen by all participants. The model is tested on data from an asset price coordination experiment performed in 2004 by Hommes et al. The model provides insights into how the importance of predicting prices close to the average price affects the average price path.
The Personal Investment Platform, or PIP for short, is my attempt at creating a comprehensive full-stack investment system to better manage my wealth. It includes asset allocation across various strategies and several risk management techniques. This is complimented with beautiful visuals and tasteful charts to really understand the underlying returns and risks in my portfolio. This post documents the process to create PIP as well as lessons learned along the way.
