Experienced Researcher - 1 for the project Non-Gaussian self-similar processes

11 Mar 2024
Job Information

Organisation/Company

Bucharest Universty of Economic Studies

Research Field

Economics

Researcher Profile

Established Researcher (R3)

Country

Romania

Application Deadline

18 Mar 2024 - 16:00 (Europe/Bucharest)

Type of Contract

Temporary

Job Status

Part-time

Hours Per Week

5

Offer Starting Date

1 Apr 2024

Is the job funded through the EU Research Framework Programme?

Not funded by an EU programme

Is the Job related to staff position within a Research Infrastructure?

No

Offer Description

At the Bucharest University of Economic Studies, the position of an Experienced Researcher with 12,50% of the regular working time is to be filled as soon as possible, for the project Non-Gaussian self-similar processes : Enhancing mathematical tools and financial models for capturing complex market dynamics .

Assets, principal investigator Prof. Dr. Ciprian Andrei Tudor. The position is limited until 30/06/2026.

Applicants with a solid practical experience in statistics and stochastic modeling with applicability in microeconomics, macroeconomie and sustainability are particularly welcome, Experience in previous similar projects will be considered a major advantage.

You should have a university degree at PhD level in the field of economics or similar with above-average success.

Our team offers flexible working hours and intensive cooperation in a committed team.

The application deadline is Mars 18, 2024. If you have any questions, please contact Maria Cristina Pădure ([email protected] ).  

You can find more details below, as well a short presentation of the project.

Non-Gaussian self-similar processes : Enhancing mathematical tools and financial models for capturing complex market dynamics  - presentation

The proposal concerns a particular class of self-similar stochastic processes, the so-called Hermite processes. Self-similar processes are stochastic processes that are invariant in distribution under a suitable time scaling. The purpose is to offer a deeper analysis of this class of stochastic processes concerning their stochastic and statistical analysis and to propose some non-Gaussian stochastic models, based on (generalized) Hermite processes in mathematical finance. Traditional financial models often rely on the simplifying assumption of Gaussian (normal) distributions, despite the fact that financial data frequently exhibits complexities that cannot be fully captured by such assumptions. We believe that the Hermite processes and some related self-similar stochastic processes can offer a viable alternative for modelling purposes. We actually intend to develop a strong theoretical component based on the systemic study of stochastic models with Hermite random perturbation and also with a significant practical part, related to the effective computation of the data and numerical simulation.

Requirements

Research Field

Economics

Education Level

PhD or equivalent

Skills/Qualifications
Skills

Technical skills:

• Advanced use of Eviews/Stata econometric modeling tools and software. • Ability to develop and implement complex econometric models. 2. Analytical skills: • Ability to analyze and interpret complex data, identify trends and formulate recommendations based on analysis. 3. Communication skills: • Excellent written and verbal communication skills, to present research results clearly and concisely. 4. Teamwork: • The ability to work effectively in an interdisciplinary team, collaborating with other researchers to the objectives of the project.  

Certifications

Certification in microeconomy/macroeconomics

Ph.D. degree -economics

Specific Requirements

Foreign Languages:

• Advanced knowledge of English (written as well as spoken) to be able to access and disseminate knowledge from international literature.

Scientific publications and contributions:

• Candidates must demonstrate that they have contributions and publications in the field of statistics and stochastic modeling in finance, risk management, sustainability, demonstrating expertise and independent research capacity. It is considered an advantage if candidates demonstrate that they have publications in non-Gaussian stochastic modeling in mathematical finance, in journals relevant to the scientific community,

Innovation Capacity:

• An innovative attitude and creative thinking to develop new methods and tools.

Research Ethics:

• Deep understanding of ethical principles in research and commitment to academic integrity.

Readiness for Professional Development:

• Readiness to participate in conferences, workshops and other forms of continuous professional development.

Flexibility and Adaptability:

• Ability to adapt to project direction changes and to respond to unexpected challenges.

Candidates will present a portfolio of previous projects and relevant scientific publications to assess the quality and relevance of their experience, taking into account the required skills and requirements

Languages

ENGLISH

Level

Excellent

Research Field

Economics

Years of Research Experience

More than 10

Additional Information
Benefits

Work in a dynamic group.

Eligibility criteria

Good command of English. Knowledge in project field.

Selection process

Please see https://fondurieuropene.ase.ro/anunturi/

Website for additional job details

https://fondurieuropene.ase.ro/anunturi/

Work Location(s)

Number of offers available

1

Company/Institute

Bucharest University of Economic Studies

Country

Romania

State/Province

Bucharest

City

Bucharest

Street

Piata Romana no 6

Geofield

Where to apply

Website

https://fondurieuropene.ase.ro/anunturi/

Contact

City

Bucharest

Website

http://www.ase.ro
https://fondurieuropene.ase.ro/cf-194-anunt-selectie-cercetator-cu-experienta-1-fc-194-announcement-experienced-researcher-1/

Street

Piata Romana nr.6 sect.1

E-Mail

[email protected]

STATUS: EXPIRED