LAST
UPDATED: 01/08/2012 -
Please see new address
at UCL Department of Statistics.
QRSLab Industry Partners and Research Projects
Computational Finance and Hedge Fund Algorithmic Trading
In collaboration with members of the research team at
Boronia Managed Funds Pty Ltd. a
series of different algorithmic trading, state-space modelling and time
series modelling is undertaken in the context of applied finance and
econometrics.
- The first QRSLab and Boronia
Managed Funds Ph.D. scholarship has been awarded to Ph.D.
candidate and member of the laboratory - Kylie-Anne
Richards.
Financial Risk Management
In collaboration with research scientists in the group for Quantitative
Risk Management inside
CMIS in
CSIRO there are a sequence of research projects that are underway
relating to Operational Risk and Basel II / Basel III, Solvency II,
Non-Life Claims Reserving and Credit Risk Modelling.
- QRSLab and QRM top-up
scholarships: Joint Ph.D. top-up scholarships are available for
suitable Australian Postgraduate Award recipients to work with the
supervision of members of the QRSLab and the Quantitative Risk
Management in CSIRO. Applications of interest can be made to the QRSLab
through contacts.
Computational Finance and Econometrics
Development of novel methodology for sampling, integral estimation and
filtering in stochastic models. Development of algorithms (Markov chain
Monte Carlo MCMC, Adaptive MCMC, Trans-dimensional MCMC, Sequential
Monte Carlo (SMC), non-linear filtering, Likelihood-free sampling
methdology, Annealing and tempering, rare-event simulation).
Risk Management and Ecological Monitoring
In collaboration with research scientists in the group for
Environmental Informatics inside
CMIS in CSIRO
there are a sequence of research projects that are underway relating to
Environmental Monitoring, Mutli-species modelling and extinction risk
assessment.
- QRSLab and Ecological
Environmental Informatics top-up scholarships:
Joint Ph.D. top-up scholarships are available for suitable Australian
Postgraduate Award recipients to work with the supervision of members
of the QRSLab and the Environmental Informatives group in CMIS in
CSIRO.
Applications of interest can be made to the QRSLab through contacts.
- Current projects on interest include.
Previous Industry Partners
A collaboration between