PhD Position in Financial Econometrics

Job Description & Qualification

Candidates should be committed to completing their PhD degree in accounting or finance, and should meet the requirements for the enrolment into the PhD program (see http://www.lancaster.ac.uk/lums/accounting-and-finance/research/phd/). You should also be committed to pursuing an academic career. You should be able to pursue your own independent research programme under the supervision of a team of experienced supervisors. You should have competence to assess and potentially deliver material at undergraduate and postgraduate levels.

Among our key research areas, we are particular keen to recruit a PhD candidate with research interests in financial econometrics (see https://www.lancaster.ac.uk/lums/our-departments/accounting-and-finance/research/). You will work on one of the following topics:
• Volatility modelling using high-frequency data; in particular duration and intensity methods as well as realized volatility measures (univariate and multivariate approaches)
• Information content of high-frequency option data
• Analysis of limit order book data
• Modelling and Information content of high-frequency news data
You will work under the supervision of Professor Ingmar Nolte (Professor of Finance and Econometrics, Director of the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy), Dr Sandra Nolte (Senior Lecturer in Finance, Director of the MSc in Quantitative Finance, the MSc in Finance and the MSc in Accounting and Financial Management), and Dr Seok Young Hong (Senior Lecturer in Finance).

Application Procedure

You should submit your application online at https://hr-jobs.lancs.ac.uk/. The application package must contain a cover letter, CV, degree transcripts for Masters and undergraduate study, two letters of reference (at least one of which should be an academic reference), and a research proposal on one of the topics listed above. We will start screening the applications on 19 July and continue looking for candidates until the position is filled. Early applications are strongly encouraged.

About the Organization

The Department of Accounting and Finance at Lancaster University Management School (LUMS) invites applications for PhD Position in Financial Econometrics. The position combines enrolment into the full-time PhD Program in Accounting or Finance and teaching-related duties in academic programs offered by the Department. You will be working alongside world leading academics in a busy, exciting and innovative department. This post is part of LUMS efforts to further strengthen its academic standing as a world class business school.

Our internationally-respected PhD programme takes place in a friendly international community. In the 2014 Research Excellence Framework, LUMS was ranked first in the UK in research power and is one of few business schools whose programs are accredited by all three international business school accreditation bodies: AMBA, EQUIS and AACSB. The department is among the leading departments in Europe in several research fields. Our department includes editors of internationally excellent journals in accounting and finance with academics operating an open-door policy for our doctoral students. You will have access to cutting-edge databases (incl. high-frequency databases), scientific computing facilities, IT support, dedicated office space, workshops, conferences and a vibrant seminar series. You will also gain international experience by visiting a leading US school. More information about the department can be found at: http://www.lancaster.ac.uk/lums/accounting-and-finance/

Additional Information

The position has a fixed duration of 5 years, and the candidates are expected to complete their PhD by the end of year 5.

The salary is £27,406

For Additional Questions

i.nolte@lancaster.ac.uk

Job ID

ID: J8933