UK – PhD Studentship at Centre for Computational Finance and Economic Agents

PhD Studentship at Centre for Computational Finance and and Economic Agents, University of Essex for the academic years 2007/08 to 2009/10

The Centre for Computational Finance and Economic Agents (CCFEA) is an innovative, interdisciplinary and laboratory based teaching and research Centre which is a showcase for cutting edge computational and evolutionary methods to simulate markets with artificially intelligent agents and to design real time trading and risk management systems.

An important area for research is the development of an agent based model of systemic risk from bank behavior relating to transfer of balance sheet and credit risks. This framework can explore coevolving strategies of banks with regard to securitization and off balance sheet derivatives positions with that of insurance companies and their portfolio choice of credit risk assets. The implications of the
strategies of these two classes of agents for the systemic stability will be analyzed after careful calibration (indirect estimation) with empirical data. This involves a model selection procedure based on heuristic optimization methods.

As part of the “Marie Curie Training and Research Network” on “Computational Optimization Methods in Statistics, Econometrics and Finance” (COMISEF), CCFEA offers a PhD studentship for the academic years 2007/08 to 2009/10 with a monthly salary of up to EUR 3,500.

Ideally, candidates have an upper second or distinction degree in a Masters such as in Computing, Finance, Economics, or Econometrics. The successful candidate will be enrolled in the Doctoral Program at CCFEA leading to a PhD in Computational Finance. This program has a first year taught component which is geared to equipping the student with advanced topics in computational economics and finance which include training in object oriented programming and agent based modeling. In addition, the PhD student will be involved in training and research activities of COMISEF’s 14 partner institutions.

For further information, please visit our websites http://www.essex.ac.uk/ccfea and www.comisef.eu or contact Professor Sheri Markose scheri@essex.ac.uk.

Application has to be received by 31 January 2007.

Please kindly mention GetScholarship.net when replying to this position

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