Closing date: 22 January 2018
Swansea University Research Excellence Scholarships (SURES)
Swansea University is proud to offer 15 fully-funded PhD scholarships for students commencing study in October 2018 or January 2019.
The scholarships will be awarded on the basis of student excellence across a portfolio of 34 potential projects.
Project title: Modelling Financial Returns with Hawkes Process Model
Start date: October 2018
The Hawkes process (1971a, 1971b) is an important class of point processes both from practical and theoretical points of view and has been widely used in practice. This is because they have the flexibility and the advantages of using the class of counting processes that can be specified by a conditional intensity function. Hawkes process is defined by its intensity functions. Different intensity functions have been developed in the literature for financial data to study the timing of trades and mid-quote changes, to model the actions of liquidity providers in the construction process of the order book and to make inferences on instantaneous conditional Value-at-Risk etc.
Volatility is a commonly used risk measure for financial markets. A big jump in the volatility represents a big risk at the time concerned. Many models have been developed to study the volatility dynamics of financial returns, but not much work can be found in the literature to use Hawkes process models to detect jump occurrence times. In this project we will model the jump process by using Hawkes process models and study the probability that a jump may occur in a future time interval, conditional on some factors.
The specific objectives of the project are: (a) Develop methods to define volatility jumps. (b) Define financial factors that may affect the intensity of volatility jumps. (c) Estimate a Hawkes process model for the jumps, conditional on the chosen factors. (d) Identify factors that have higher prediction power for the volatility jumps. (e) Compare the performance of the model for different financial markets. By the end of the project, we will be able to shed some light on the dynamic evolution of volatility jumps of financial returns, which could provide useful information on the stability of future financial markets and make a valuable contribution to the literature as well as financial policy making.
The successful applicant will have access to our Postgraduate Research Student Training programmes.
Candidates should have (or expect to obtain) a first class honours degree (or equivalent) and/or master's degree with distinction in finance, statistics, mathematics or a related subject.
Programming skills for R (or Matlab, C++, etc.) are required.
Due to funding restrictions, this scholarship is open to UK/EU candidates only.
The scholarship covers the full cost of UK/EU tuition fees and an annual stipend of £14,553 for 3 years.
There will also be £1,000 per annum available for research expenses such as travel, accommodation, field trips and conference attendance.
To apply please complete and return the following documents to Dr Vivienne Jenkins (email@example.com) quoting reference COMAN4:
Student applications will be evaluated against the following criteria: