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This is a 1+3 years studentship in the Department of Accounting and Finance at Lancaster University Management School (LUMS). The PhD studentship includes payment of full tuition fees and an annual maintenance grant of at least £14,500 (tax-free) in years 1, 2, 3 and 4. The start date is 1st October 2019 and the supervisors are:
1. Prof Ingmar Nolte (Professor of Finance and Econometrics, Director of the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, LUMS)
2. 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, LUMS)
Description of the PhD research:
We invite applicants to submit a research proposal (about 1500 words) in Financial Econometrics 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
The PhD candidate will have access to extensive high-frequency databases, econometric and statistical software packages as well as sophisticated computing resources.
The successful candidate will automatically be enrolled into the department's 4 year PhD programme in Accounting and Finance. The admission criteria are:
• Applicants are normally expected to hold a relevant Master's degree in finance (with a substantial quantitative component), Master (MSci or MSc) in Mathematics, Statistics or in a related quantitative/econometric cognate subject area.
• We will usually require a performance at distinction level at Master's degree, typically averaging above 70% overall, which may also be required in a suitable dissertation element.
• Our English language requirements (where required) are for IELTS at 7.0.
• Applicants are advised that a GMAT score may be required.
How to apply:
Please send your CV (including marks' transcripts), your motivation letter and the research proposal directly to Prof Ingmar Nolte ([email protected]) and Dr Sandra Nolte ([email protected]) and apply formally to the department's PhD programme. More details can be found under www.lancaster.ac.uk/lums/our-departments/accounting-and-finance/phd/
Please apply before 15th December 2018.
Some or all of the PhD opportunities in this programme have funding attached. Applications for this programme are welcome from suitably qualified candidates worldwide. Funding may only be available to a limited set of nationalities and you should read the full programme details for further information.