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The University of Southampton
Centre for Risk Research

EPSRC PhD Studentship Available

Published: 18 March 2014

The Centre for Risk Research is now accepting applications for an EPSRC PhD studentship (CASE Award) that will examine how risk can be managed through state-of-the-art quantitative analysis of financial traders' decisions.

Location:  Centre for Risk Research, School of Management, Highfield Campus
Closing Date:   Wednesday 30  April 2014
Interview Date: TBC
Reference:  373914TR

Centre for Risk Research, University of Southampton//London Capital Group

Supervisors: Prof. Ming-Chien Sung, Prof. Johnnie Johnson, Dr. Tiejun Ma

Expected Start Date:  September 2014

Collaborative Awards in Science and Engineering (CASE)

The aim of the EPSRC CASE conversion awards is to provide PhD students with a first-rate, challenging research training experience, within the context of a mutually beneficial research collaboration between academic and partner organisations e.g. industry and policy making bodies. CASE provides outstanding students access to training, facilities and expertise not available in an academic setting alone. Students benefit from a diversity of experimental approaches with an applied/translational dimension. Students have an opportunity to develop a range of valuable skills and significantly enhance their future employability; many will become research leaders of the future.

Project Description

The aims of the project are to: (i) develop and employ advanced statistical, econometric and machine learning techniques to better understand the trading behaviour of individuals in financial spread trading markets,  (ii) develop means by which trading and market conditions data can be combined to produce real-time predictions of directions and volumes of trading activity in a given market. The project will be undertaken with the support of London Capital Group plc (LCG), a leading provider of online financial trading services. The Award holder will be located in the Centre for Risk Research at the University of Southampton (further details below) and will spend at least 4 months placement with LCG, observing and familiarizing themselves with  LCG's trading activities. In a highly competitive and increasingly sophisticated market, it is vital for spread trading firms such as LCG to be able to assess the risk posed by the trades of individuals and groups of clients in a robust, agile, intelligent and statistically validated manner.  The quantitative models developed in this project will provide a clearer picture of the risk profile and trading sophistication of individual spread-trading clients, allowing more informed strategic risk management and shorter-term hedging decisions to be made. In order to develop these models it will be necessary to analyse large volumes of trading data to gain insights into the psychological processes which drive behaviour of traders and to assess the extent to which this behaviour is affected by different market conditions. Consequently, the project will involve the employment/development of recent advances in behavioural finance. The models developed to predict individual and market trading activity in real-time are likely to incorporate Bayesian approaches and will use statistical, econometric and machine learning methods. The project offers the prospect of developing approaches which can enhance the competitiveness of UK financial trading companies, gaining new insights into trading behaviour and examining new approaches to the real time analysis of Big data.

Centre for Risk Research, University of Southampton

The Centre for Risk Research (CRR) (https://www.southampton.ac.uk/risk) is a multi-disciplinary team of 33 academics and research fellows and 44 PhD students which is widely regarded as one of the leading centres of risk research. Our aim is to encourage a deeper appreciation of the nature of risk, to develop approaches to its analysis and to assist organisations to improve the quality of decision-making in the face of risk and uncertainty. We have an international reputation for excellence for our work in financial market behaviour and for our multi-disciplinary work in risk analysis, decision making, risk management and risk taking research.

Members of the CRR actively engage with industry and commerce and regularly invite representatives of organisations involved in the analysis and management of risk to collaborative seminars and workshops. The Centre's important competitive advantage comes from its distinctive, inter-disciplinary approach to the analysis and management of risk, enabled by the wide spread of disciplines represented in the Centre. The CRR has an impressive track record in successful research grant applications, working with organisations engaged in the risk industry and with firms seeking to manage risk, regularly publishing papers in international journals and in producing leading risk-related books. In particular, the Centre has successfully undertaken several Knowledge Transfer Partnerships (KTP) projects, whose aim is to work with commercial organisations in an area they identify as a high priority. These projects aim to enhance the companies' competitiveness and are supported by a range of relevant research councils.

Funding of the CASE Award

The award from this PhD studentship will cover three years of fees at the UK rate and a minimum annual stipend of £14,000 for eligible students.

Entry Requirements:

The normal minimum entrance requirement is:

  • A  good Masters degree from a leading UK university or equivalent overseas/professional qualification in an appropriate subject or a First Class honours BSc in exceptional cases.

Please refer the following link for details:

https://www.southampton.ac.uk/management/postgraduate/research_degrees/degrees/phd.page#entry

Technical Background/Skills Required:

Detailed understanding and knowledge of at least two of the following:

  • Behavioural Finance, Credit Scoring, Psychology, Statistics, /Risk Analysis,Computing
  • Mathematical/Statistical analysis (e.g., Bayesian Networks, SVM, Markov Chain Models, Regression-based forecasting).
  • Management of large databases (e.g. MS-SQL, TSQL)
  • Statistical packages (e.g., STATA, SPSS, SAS, Enterprises Miner).
  • Data cleaning algorithms (e.g. duplicate, missing data)
  • Big Data platforms (e.g., Haddoop, MongoDB, Eshper).
  • Computer programming languages (e.g. Java, Matlab etc.)
  • Good communications and time management skills

How to Apply

To apply for the PhD programme, please click here: https://www.southampton.ac.uk/postgraduate/pgstudy/howdoiapplypg.html

Please upload the following documentation during the application process: academic degree certificates and transcripts, two references and English Language test score if previous study taken outside the UK not more than 2 years old.

During the online application process, please indicate in Section 8 "Funding" that you are applying for an EPSRC (Case Award).  Please also use "Managing Risk Through State-of-the-Art Quantitative Analysis of Financial Traders' Decisions" as the name of the proposal.

If you have any enquiries about the project itself, please email: Prof. Johnnie Johnson (jej@soton.ac.uk), Prof. Ming-Chien Sung (ms9@soton.ac.uk) or Dr. Tiejun Ma (tiejun.ma@soton.ac.uk)

To express your interest in the CASE Award please email your CV and a 2 page proposal of your research interests to The Faculty of Business & Law Graduate School (email pgrsofbl@soton.ac.uk) and entitle the email message "Application for CASE Award"

Related Staff Member

PhD programme

The Centre for Risk Research offers a full-time and part-time PhD programme.

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