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Hawkes processes and financial applications

  • Full or part time
  • Application Deadline
    Friday, March 15, 2019
  • Competition Funded PhD Project (European/UK Students Only)
    Competition Funded PhD Project (European/UK Students Only)

Project Description

Hawkes processes are a family of stochastic models to arrival of events in which the occurrence of any event would increase the intensity of further events occurring soon after. This has been applied into areas including ecology, crime prediction, neuroscience, social networks and terrorist acts and recently finance.

With substantial changes in complexity of the modern financial market and system and rise of high frequency trading, existing modelling frameworks are insufficient in accommodating features such as non-Gaussian characteristics including long or fat tails, extreme events and clustering etc. It also can’t respond well to big questions on financial instability shaken by more permanent damages from financial crises and/or temporary but disastrous losses from mini-flash crash (e.g. latest flash crash in sterling in early October, 2016).

This project, therefore, aims to answer novel but cutting edge questions in this field such as convergence of multivariate Hawkes processes, forecasting ability of incorporating Hawkes processes into various risk modelling, calibration of them etc.

Funding Notes

UK Research Council eligibility conditions apply.
Full awards (fees plus maintenance stipend) are open to UK Nationals and EU students who can satisfy UK residency requirements. To be eligible for the award, EU Nationals must have been in the UK for at least three years prior to the start of the course for which they are seeking funding, including for the purposes of full-time education.

References

Applicants should submit an application for postgraduate study via the Cardiff University Online Application Service for October 2019.

In the "Research proposal and Funding" section of your application, please specify the project title and supervisors of this project and copy the project description in the text box provided.

Please select “No, I am not self-funding my research” when asked whether you are self-funding your research.

Please add “EPSRC Doctoral Training Partnership PhD in Mathematics" when asked "Please provide the name of the funding you are applying for".

How good is research at Cardiff University in Mathematical Sciences?

FTE Category A staff submitted: 24.05

Research output data provided by the Research Excellence Framework (REF)

Click here to see the results for all UK universities

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