Call for Expressions of Interest - Doctor of Philosophy (PhD) student

PhD in Financial Econometrics: Modelling Asynchronous Financial Data

About the position

Call for Expressions of Interest
Doctor of Philosophy (PhD) student 
Bond University, Business School – Centre for Data Analytics
Position title: PhD in Financial Econometrics: Modelling Asynchronous Financial Data
 

The Bond Business School is calling for expressions of interest from Business graduates wishing to complete a PhD in the area of Financial Econometrics: Modelling Asynchronous Financial Data.

The work involved in this PhD project is part of an ARC Discovery Project which aims to develop a multivariate asynchronous Granger causality technique to examine the causal relationship between exchange traded funds (ETFs) for the price discovery.  Most studies on causality in financial data rely on Granger causality tests using systematically sampled data. While these tests are reliable when the causal variable is stationary, when it is a non-stationary the test can produce spurious results. Temporal aggregation may distort causality inference in that it can create contemporaneous correlations and alter dynamic links. Obtaining temporally disaggregated data series with a sampling frequency that coincides with the causal lag is impractical in many situations. Therefore, moving towards more disaggregated data would be of great help when the observation frequency coincides with the causal lag. The proposed work will develop a multivariate asynchronous Granger causality test to examine the causal link between Australian Securities Exchange (ASX) and six actively traded VIX Exchange Traded Products (ETPs) including 1x long, -1x inverse and 2x leveraged products.

The successful applicant’s doctoral thesis will be supervised by Professor Gulasekaran Rajaguru (Principal Supervisor), Professor Steve Stern (Associate Supervisor), Associate Professor Michael O’Neill (Associate Supervisor) and Professor Robert Faff (Associate Supervisor) and will seek to answer one or more of the following:

  1. Develop a multivariate asynchronous Granger causality technique to examine the causal relationship between exchange traded funds (ETFs) for the price discovery.

  2. Conduct extensive simulation and calibration to examine the statistical power of the proposed multivariate asynchronous Granger causality technique.

  3. Apply a multivariate asynchronous Granger causality test to examine the causal link between Australian Securities Exchange (ASX) and six actively traded VIX Exchange Traded Products (ETPs) including 1x long, -1x inverse and 2x leveraged products.

In addition to high quality, personalised supervision and access to the full range of facilities available to Bond University students, the successful applicant will be entitled to the following benefits:

  • Tuition fee waiver: a waiver of some or all tuition fees. The tuition waiver lasts the duration of the program. 
  • Scholarship: full support from the BBS in applying for a University Research Training Program Scholarship, entitling the student to a four-year fee waiver and a three-year full time living stipend ($29,863 in 2023), which is funded by Australian Research Council Discovery Project. In addition, student will receive $4000 towards project-related travel and other cost.
  • Employment opportunities: The successful applicant may also be provided with employment opportunities such as tutoring or research assistant work within the Bond Business School dependent upon prior experience. Employment will be subject to the conditions of the PhD program and the terms of any scholarship awarded. 

About the person

The successful applicant will need to meet all Bond University requirements for entry into the PhD program and achieve the milestones required by the University throughout their doctoral program. It is also a requirement that the successful applicant be based full-time at the Gold Coast campus.

Why study at Bond?
The Bond Business School (BBS) delivers a truly personalised educational experience to every student. BBS provides a unique learning environment based on small class sizes and an accelerated three-semester-per-year timetable. This setting tailors our industry-relevant learning experiences to the needs of each student, one by one. In addition, each student has unparalleled access to dedicated learning facilities, global industry connections, internationally diverse cohorts and world class academics. We demonstrate an outstanding student service ethic, offer an engaging and satisfying student experience, and prioritise student wellbeing. We engage in high quality, impactful research in niche areas of research excellence.

Selection Criteria

Essential:

  • An Economics, Finance, Commerce or Data Analytics Masters by Research or Bachelor of Commerce, Economics, Finance or Dara Analytics with Honours with a focus on Financial Econometrics
  • Experience undertaking a substantial research project (e.g. Masters thesis or Honours thesis)
  • Excellent data analysis and academic writing skills
  • Excellent interpersonal communication skills and a demonstrated ability to work in teams
  • Evidence of project management and organisational skills, including the ability to achieve goals and deliver outcomes within a specified time period

Desirable:

  • Publication in a peer-reviewed journal
  • Experience with tutoring business students
  • Capacity to seek external funding with support from supervisors

Application and submission details

Please submit your expression of interest via email to the Business School at [email protected] 

Your EOI must include:

  • The number and title of the position you are applying for
  • A written statement (maximum of 2 pages) describing your interest in the research project and your capacity to answer the research questions
  • A written statement (maximum of 2 pages) addressing the selection criteria set out above
  • A current curriculum vitae including the names of two academic referees
  • Your academic transcripts
  • An example of your written academic work (e.g. Master’s or Honours thesis, peer-reviewed journal article, or academic research projects)

For all enquiries related to this position, please contact the Bond Business School on [email protected]. 

Closing date: Friday 31st March 2022.