Ewch i’r prif gynnwys

Hawkes processes and financial applications

This research project is in competition for funding with one or more projects available across the EPSRC Doctoral Training Partnership (DTP). Usually the projects which receive the best applicants will be awarded the funding. Find out more information about the DTP and how to apply.

Application deadline: 15 March 2019

Start date: 1 October 2019

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

Background

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 (eg latest flash crash in sterling in early October, 2016).

Project aims and methods

Research in this area requires good foundation in financial mathematics, programming skills using R or MatLab and inter-disciplinary research skills, particularly solid understanding of financial market structure, design and policy impact.

You will carry out the research in the school of Mathematics. Further, you will need to join the discussions with practitioners including both traders and regulators regularly. There could also be opportunities to participate some short-term project related to his main research project in a hedge fund.

Goruchwylwyr

Photograph of Dr Maggie Chen

Dr Maggie Chen

Senior Lecturer in Financial Mathematics

Email:
chenj60@caerdydd.ac.uk
Telephone:
+44 (0)29 2087 5523

Gwybodaeth am y Rhaglen

I gael gwybodaeth am strwythur y rhaglen, gofynion mynediad a sut i wneud cais ewch i’r rhaglen Mathemateg.

Gweld y Rhaglen
Mae'r Academi Ddoethurol yn falch i'ch gwahodd chi i'w Gŵyl Ymchwil Ôl-raddedig cyntaf.

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