The Department of Economics at Royal Holloway is inviting students to apply for a full-time scholarship for doctoral research on Information Content and Dissemination in High-Frequency Trading.
The main goal of this project is to study information dissemination through the interaction of machines and humans in financial markets. Machines in the form of algorithms are nowadays an integral part of any financial market. In the last decades, there has been emerging interest in algorithms to make predictions and decisions in financial markets. The project intends to add a new dimension to it by studying the interaction between machines and humans.
The aim of the project is to address the following questions:
-
How do human participants react to the presence of algorithms in the market?
-
How is information dissemination within electronic markets affected by the presence of algorithms? Are human and algorithmic traders able to detect the information disseminated in the market? How can they learn from each other?
-
How does the presence of algorithms affect the dynamics of electronic financial markets? How unstable and manipulatable a market becomes as the proportion of algorithms increases?
-
How well can an algorithm learn from historical data? Can such a trained algorithm adapt to learn from new data from experiments? How well can an algorithm learn to account for its actions when such actions impact the environment?
To answer these questions, a considerable innovation of the project is the use of economic experiments where participants can be either humans or algorithms trained on high frequency datasets.
The project is empirically focussed and requires programming knowledge of Python. Moreover, data management skills and high level of competence in econometrics and machine learning are desired. Experience in economic experiments would also be desirable. Most of all, the successful candidate will have a great enthusiasm to conduct research on this topic.
This is a project funded by the Leverhulme Trust. The successful candidate will work with the grant holders for 50% of their time as part of their PhD. They will be free to work on other topics for the rest of the time.
The Scholarship
The School of Law and Social Sciences PhD Scholarship offers a home fee waiver and a maintenance award of £18,000 p.a. for 3.5 years for full-time students. International students are eligible to apply but please note that if successful the difference between the home and overseas fee will need to be funded from another source. EU students will be awarded an additional fee reduction scholarship: for details click here.
Successful candidates should start in September 2022.
Economics at RHUL
The successful candidate will be supervised by Professors Francesco Feri, Alessio Sancetta and externally by Professor Michael Naef at Durham Business School. The candidate will also become a member of the Centre on Robust Inference in a Digital Economy (RIDE) and engage with its researchers.
The Department of Economics at Royal Holloway is one of the top economics departments in the country with a wide range of expertise, including labour economics, development economics, microeconomic theory, and experimental economics. In the latest Research Excellence Framework (REF2014), it has been ranked 9th in the UK in terms of world-leading and internationally excellent research.
The Department is home to about 30 research active staff and 25 PhD students. It offers a stimulating research environment and a vibrant PhD programme with advanced economics training in the first year and a great placement record.
Eligibility and Application Process
The successful applicant must either hold a Masters degree or expect to have completed one by 30 September 2022 in one of the following subjects: Economics, Econometrics, Computer Science, Machine Learning, Statistics.
Please submit a letter of interest, a CV, transcripts of your Undergraduate and Masters degrees and a personal statement (up to 2,000 words) describing your motivations, statistical and programming skills and any possible project that you might have worked on in the past.
These materials will need to be submitted directly to Prof Alessio Sancetta Alessio.Sancetta@rhul.ac.uk.
The closing date for applications is 1 February 2022. Interviews are expected to take place later that month.
