Background & experience
Curriculum vitae
Academic appointments
- since 2016
- Professor of Finance and Econometrics, Lancaster University Management School, Lancaster University
- 2013 – 2016
- Reader in Finance, Lancaster University Management School, Lancaster University
- 2011 – 2013
- Associate Professor of Finance, Warwick Business School, University of Warwick
- 2008 – 2011
- Assistant Professor of Finance, Warwick Business School, University of Warwick
- 2003 – 2008
- Research Associate (Wissenschaftlicher Angesteller), Chair of Economics and Econometrics of Prof. Dr. Winfried Pohlmeier, Department of Economics, University of Konstanz
Education
- 2008
- Dr. rer. pol. (Economics), University of Konstanz, Germany, (summa cum laude)
- 2003
- Diplom & MSc Mathematical Finance, University of Konstanz, Germany, (with distinction)
- 1998
- Abitur, Friedrich-Bährens-Gymnasium, Schwerte, Germany
Leadership & honours
- since 2026
- Doctoral Director, Lancaster University Management School
- 2022
- Establishment of the Professor of Financial Econometrics chair in honour of Prof. Dr. Ingmar Nolte, Woxsen University, India
- since 2016
- Director, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
- since 2016
- Member of the ESRC Plus 3 Assessor Panel
- since 2015
- Member of the ESRC DTP Review College
- 2016 – 2017
- Lancaster University Institutional Lead, ESRC NWSSDTP
- 2013 – 2016
- Director of the PhD in Finance Programme, Lancaster University Management School, Lancaster University
- 2013 – 2016
- Accounting and Finance Pathway Lead, North West Doctoral Training Centre
- since 2013
- Visiting Professor & Teaching Associate, Warwick Business School, University of Warwick
- 2012 – 2013
- Director of the PhD in Finance Programme, University of Warwick
- 2010
- Visiting Professor, Department of Economics, University of Konstanz, Germany
- since 2008
- Visiting Fellow, CREATES, University of Aarhus, Denmark
- 2009 – 2012
- Deputy Director, Financial Econometrics Research Centre (FERC), University of Warwick
- 2006
- Visiting Fellow, Department of Economics, University of Copenhagen, Denmark
- since 2003
- Research Fellow, Center of Finance and Econometrics (CoFE), University of Konstanz
Editorial work
- since 2023
- Guest Editor Journal of Time Series Analysis
- since 2022
- Guest Editor Journal of Econometrics
- 2013
- Guest Editor Journal of Banking and Finance
- since 2011
- Associate Editor European Journal of Finance
Research grants
- 2025 – 2029
- ESRC & ROBECO PhD CASE grant on “Responsibility, Risk and Return: Sustainable Investing for a Resilient Future”, together with Olga Kolokolova, Lancaster University.
- 2022 – 2026
- ESRC & ROBECO PhD CASE grant on “Systematic Avenues to Sustainable Investing”, together with Chelsea Yao, Lancaster University.
- 2020 – 2021
- Order Book Foundations of Price Risks and Liquidity, UKRI – Covid 19 Grant Extension Allocation.
- 2019 – 2023
- ESRC Advanced Quantitative Methods (AQM) doctoral student scholarship for the project “Jump Robust Volatility Estimation and Jump Tests using Renewal Processes”, together with Sandra Nolte, Lancaster University.
- 2016 – 2020
- Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective, ESRC-FWF bilateral grant, together with Stephen J. Taylor, Lancaster University and Nikolaus Hautsch, University of Vienna.
- 2015
- ERASMUS teaching and staff mobility grant, 2nd KoLa workshop in Konstanz.
- 2015
- ESRC PhD CASE grant on “An integrated analysis of investment management processes” together with Deka Investment, 4 years of funding.
- 2010 – 2012
- Multivariate Point Processes, (Warwick University – Research Development Fund).
- 2010
- Limit Order Books; Liquidity, Price Formation and Forecasting, (Warwick Business School – Bursary Fund).
- 2009 – 2012
- Optimal Risk Management and the Nature of Basis Risk, (DAAD – British Council’s ARC) together with Axel Adam-Müller, University of Trier.
- 2009
- Modeling and Forecasting Realised Volatility Matrices, (Warwick University – Research Development Fund).
- 2007 – 2010
- Analysis, Modelling and Forecasting of Multivariate Volatility Processes, (Fritz Thyssen Foundation), with Winfried Pohlmeier, University of Konstanz.
- 2006 – 2009
- Multivariate Analysis of Market Risks and Trading Processes on the Transaction Level, (German Research Foundation), with Winfried Pohlmeier, University of Konstanz.
- 2003 – 2007
- Dealer-Behavior and Price-Dynamics on the Foreign Exchange Market, (Fritz Thyssen Foundation), with Winfried Pohlmeier, University of Konstanz.
Doctoral supervision
- Shanth Vidya Babu, 2025 intake, PhD in Finance, Lancaster University Management School
- Weiqi Zhang, 2025 intake, PhD in Finance, Lancaster University Management School
- Bruno Suzano de Campos Vaz Moreira, 2023 intake, PhD in Finance, Lancaster University Management School
- Reka Lantos, 2022 intake, PhD in Finance, Lancaster University Management School
- Lewei He, 2022 intake, PhD in Finance, Lancaster University Management School
- Marco Cinquetti, 2021 intake, PhD in Finance, Lancaster University Management School, present appointment: Researcher, Department of Economics, University of Verona, Italy
- Dr Shifan Yu, PhD in Finance 2024, Lancaster University Management School, present appointment: Postdoctoral Researcher, Oxford-Man Institute of Quantitative Finance, University of Oxford; Junior Research Fellow, Corpus Christi College, Oxford, UK
- Dr Nikolaos Vasilas, PhD in Finance 2024, Lancaster University Management School, present appointment: Quantitative Researcher, Ultramarin, Germany
- Dr Filip Bašić, PhD in Finance 2024, Lancaster University Management School, present appointment: Quantitative Researcher, Squarepoint Capital, London, UK
- Dr David Happersberger, PhD in Finance 2021, Lancaster University Management School, present appointment: Asset Manager, Invesco Quantitative Strategies, Germany
- Dr Yifan Li, PhD in Finance 2018, Lancaster University Management School, present appointment: Senior Lecturer in Finance, Alliance Manchester Business School, University of Manchester, UK
- Dr Shushu Liao, PhD in Finance 2018, Lancaster University Management School, present appointment: Associate Professor of Finance, Peking University HSBC Business School, UK campus
- Dr Xiaolu Zhao, PhD in Finance 2016, Lancaster University Management School, present appointment: Assistant Professor in Finance, Risk and Banking, Nottingham University Business School, University of Nottingham, UK
- Dr Qi (Stephen) Xu, PhD in Finance 2015, Warwick Business School, present appointment: Associate Professor, College of Economics, Zhejiang University, China
- Dr Michalis Vasios, PhD in Finance 2013, Warwick Business School, present appointment: Senior Supervision Officer at European Securities and Markets Authority, Paris, France
Conference organisation
- Financial Econometrics Conference, 21st-23rd April 2027, Lancaster University, UK.
- 3rd Financial Fraud, Misconduct and Market Manipulation Conference, 10th-11th September 2026, Lancaster University, UK.
- Lancaster-Manchester-Warwick-Oxford Joint PhD Workshop on Quantitative Finance and Financial Technology, 21st May 2026, Warwick Business School, UK.
- 5th Frontiers of Factor Investing Conference, 15th-17th April 2026, Lancaster University, UK.
- 2nd Financial Fraud, Misconduct and Market Manipulation Conference, 11th-12th September 2025, Lancaster University, UK.
- Lancaster-Manchester-Warwick-Oxford Joint PhD Workshop on Finance and Econometrics, 16th-17th June 2025, Lancaster University, UK.
- 1st Financial Fraud, Misconduct and Market Manipulation Conference, 12th-13th September 2024, Lancaster University, UK.
- Lancaster-Manchester-Warwick Joint PhD Workshop on Quantitative Finance and Financial Technology, 13th May 2024, Warwick Business School, UK.
- 4th Frontiers of Factor Investing Conference, 24th-26th April 2024, Lancaster University, UK.
- Lancaster-Manchester Joint PhD Workshop on Quantitative Finance and Financial Econometrics, 24th-25th May 2023, Lancaster University, UK.
- Financial Econometrics Conference to Mark Stephen Taylor’s Retirement, 29th-31st March 2023, Lancaster University, UK.
- 16th International Conference on Computational and Financial Econometrics, 17th-19th December 2022, King’s College London, UK, Scientific Committee Member.
- 3rd Frontiers of Factor Investing Conference, 15th-16th September 2022, Lancaster University, UK.
- Volatility, Jumps and Bursts Workshop, 27th-28th June 2022, Lancaster University, UK.
- Conference on Intrinsic Time in Finance, 6th-7th May 2022, Allensbach, Germany.
- 15th International Conference on Computational and Financial Econometrics, 18th-20th December 2021, King’s College London, UK, Scientific Committee Member.
- 6th KoLaMaFr Workshop on Financial Econometrics, 21st-22nd June 2021, Lancaster University, UK.
- Econometrics of Option Markets Workshop, 19th-21st April 2021, University of Vienna, Austria.
- 2nd Frontiers of Factor Investing Conference, 28th-29th January 2021, Lancaster University, UK.
- 14th International Conference on Computational and Financial Econometrics, 19th-21st December 2020, Virtual Conference, UK, Session Organizer & Scientific Committee Member.
- 13th International Conference on Computational and Financial Econometrics, 14th-16th December 2019, University of London, UK, Session Organizer & Scientific Committee Member.
- Mutual Funds, Hedge Funds and Factor Investing Conference, 3rd-4th June 2019, Lancaster University, UK.
- FMA – 2019 Consortium on Factor Investing, 4th February 2019, University of Cambridge, UK.
- Financial Econometrics Conference: Market Microstructure, Limit Order Books and Derivative Markets, 13th-14th September 2018, Lancaster University, UK.
- 1st Frontiers of Factor Investing Conference, 23rd-24th April 2018, Lancaster University, UK.
- 1st Lancaster-Warwick (LaWa) Workshop on Financial Econometrics & Market Microstructure, 9th June 2017, Lancaster University, UK.
- 3rd Konstanz-Lancaster (KoLa) Workshop on Finance and Econometrics, 2nd-3rd May 2017, Lancaster University, UK.
- SoFiE Joint Conference on Financial Econometrics and Empirical Asset Pricing, 30th June-1st July 2016, Lancaster University, UK.
- ESRC NWDTC Accounting and Finance Pathway Workshop on Job Market and Employment Skills, 20th November 2014, Lancaster University, UK.
- 1st Konstanz-Lancaster (KoLa) Workshop on Finance and Econometrics, 7th-11th May 2014, Lancaster University, UK.
- IFABS 2013, 5th International Conference, 26th-28th June 2013, East Midlands Conference Centre, Nottingham, UK.
- Frontiers of Finance 2012 Conference, 13th-15th September 2012, Warwick Business School, UK.
- Recent Advances in Finance – Conference Week, 4th-8th July 2011, Warwick Business School, UK.
- Conference on Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics, 23rd-25th September 2009, Warwick Business School, UK.
- International Conference on High Frequency Finance, 19th-20th May 2006, University of Konstanz, Germany.
Research outputs
The full publication and working-paper lists include publisher links, available manuscripts and BibTeX citations.