The Hawkes Centre for Empirical Finance

Overview

The Hawkes Centre for Empirical Finance at Swansea University was established in 2013 and contains members with expertise in a range of areas of research including empirical finance, quantitative financial analysis, empirical macroeconomics, time series econometrics and statistics.  The complementary skills of the Centre’s members provide a means to undertake exciting and innovative research with the common objective of advancing the understanding, development and application of tools and techniques relevant to the analysis of financial and macroeconomic data and phenomena.

Recent Events_Button

Latest from the centre:

  • On 12 May 2017 Professor Alan Hawkes visited RiskLab in ETH, Zurich, as a member of the jury to examine a thesis, entitled “Perspectives on Hawkes Processes”, for the degree of Doctor of Sciences. The thesis, was successfully defended by Matthias Kirchner in front of a jury of four which, besides Professor Hawkes, included external examiners Professor Thomas Mikosch (Copenhagen) and Professor Valérie Chavez-Demoulin (Lausanne) and internal examiner Professor Paul Embrechts.
  • Professor Sasha Talavera (Accounting and Finance) and PhD student Tho Pham recently finished their UNI-WIDER Grant which resulted in a report entitled ‘Discrimination, social capital, and financial constraints: The case of Viet Nam’.
  • Vu Tran (Accounting & Finance) will present  at the 5th International Conference on Credit Analysis and Risk Management’ in Basel, Switzerland (September 2017). Paper title: ‘Multiple credit ratings and markets heterogeneity’.

Impact

Professor Sasha Talavera’s research was highlighted in March 2017 Momentum magazine. Sasha, in collaboration with Yuriy Gorodnichenko (Associate Professor, University of California, Berkeley) and Tho Pham (PhD student, Swansea University’s School of Management), work on a project focusing on information diffusion on Twitter during the EU Referendum.

They find that dissemination of information is consistent with what is frequently referred to as an ‘echo chamber’ - a situation in which information, ideas, or beliefs are amplified or reinforced by communication and repetition inside a defined system.

Resources

We have access to the following databases:

  1. FAME
  2. Zephyr
  3. Datastream
  4. SNL Financial
  5. Compustat via WRDS includes:    
    1. North America
    2. Global
    3. Historical
    4. Bank Annual & Quarterly
    5. Segment History
    6. Execucomp
    7. Credit ratings
  6. CSMAR via WRDS