A finance professor from Canada and a knowledge science pupil from France took the highest prize on the 2025 Hillsdale Funding Administration – CFA Society Toronto Analysis Award.
The work of Najah Attig, professor of finance and chair of the Division of Finance at Dalhousie College, and Chahine Attig, a knowledge science engineering pupil at École Nationale de la Statistique et de l’Analyse de l’Info (ENSAI), France, supplies one of many first complete educational evaluations of machine studying strategies for forecasting fairness danger premiums in Canadian capital markets. In contrast with US, European, and Chinese language markets, Canada has seen restricted software of those strategies regardless of its distinct structural, liquidity, and informational traits.
“This profitable paper exhibits promise in making use of machine studying strategies to extract higher-dimensional alerts from the Canadian inventory market,” mentioned Chris Guthrie, CEO of Hillsdale Funding Administration.
Canadian markets are dominated by small-cap and worth shares with higher data asymmetry, market frictions, and liquidity constraints, creating distinctive challenges and alternatives for predicting returns. These traits spotlight the necessity for superior modeling approaches past conventional linear strategies.
The researchers deal with two key questions:
- Can machine studying fashions enhance Canadian inventory return forecasts in contrast with classical linear benchmarks?
- Do patterns in nameless buying and selling—the place merchants’ identities are hid to forestall data leakage or market hypothesis—and variations in brokers’ nameless buying and selling exercise assist predict inventory returns?