Dr Manh Pham
Lecturer in FinanceResearch Overview
My research lies within the field of empirical finance, with particular interests in financial econometrics, market microstructure, time series analysis, empirical asset pricing, and option pricing. My work focuses on (i) extracting information from the limit order books of equities to estimate and forecast volatility and price impact, and to detect price jumps, and (ii) estimating risk-neutral densities and deriving implied measures such as implied volatility using option data. I am also interested in developing joint econometric models for returns, volatility and trade characteristics to examine the price formation process in financial markets, as well as in studying the impact of news sentiment on asset prices.
Current Teaching
AcF 324: Quantitative Finance
AcF 633: Python Programming for Data Analysis
AcF 875: Econometric Topics in Accounting and Finance
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08/01/2024 → …
Research
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Prize (including medals and awards)
Prize (including medals and awards)
- Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
- Financial Econometrics and Financial Markets
- Investments and Asset Pricing