Friday, June 4, 2010

[DMANET] PhD studentship, Algorithmic Trading, University of Liverpool, UK.

EPSRC Industrial CASE PhD studentship, University of Liverpool, UK:

"Algorithms for analysing market impact in financial markets"

This is a PhD position on a joint project run by the University of
Liverpool and Arctic Lake, a London-based provider of algorithmic
trading solutions. It is a fully funded PhD position; fees will be paid
and there is a tax-free stipend of approximately P13,000 per annum
(which rises with inflation). Other expenses, e.g. travel costs between
Liverpool and Artic Lake, will be reimbursed.

Arctic Lake works with many different market participants, e.g., the
largest inter-dealer broker ICAP, and institutional investors such as
pension funds and hedge funds. They provide algorithms to minimize the trading
costs of managing money in financial markets. The proposed research centres
around two themes that crucially affect the cost of trading: market impact
and venue selection. These problems will be addressed using tools from
statistical learning and game theory, and the project will combine theoretical
and data-driven work.

You will work with Niels Buhl, the CEO of Arctic Lake, who has experience
as a fund manager, technologist and trader with a major investment bank and
leading technology-driven hedge fund, and Claus Hvalsøe, head of algorithms.
Upto one year of the 3.5 years will be spent at Arctic Lake's offices in London.

At Liverpool, you will join the Economics and Computation research group in
the Department of Computer Science; it is the first research group of its kind
in the UK. The department ranked in the top 10 nationally in the 2008 Research
Assessment Exercise. Dr Rahul Savani will be the main academic supervisor,
and Professor Paul Goldberg, head of the group, will co-supervise.

The studentship starts in October 2010 and run for 3.5 years. To be
eligible you must be a UK citizen or have been ordinarily resident in the
UK for three years.

The deadline to express an interest is Friday 18th June. Please email

Rahul Savani
rahul.savani@liverpool.ac.uk
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