Publicado el 30-03-10
Postdoctoral Research Associate wanted
Winton Capital Management Research Associate in Quantitative Economic History
(fixed term - two years)
Winton Capital Management, Oxford, Oxfordshire
Centre for Financial History, Newnham College, Cambridge
Closing Date: 23/04/2010
Salary: £40,000-£45,000 p.a and £5000 in taxable travel allowance
Location: Centre for Financial History, Newnham College, Cambridge and Winton Capital Management, Oxford
Reports to: Principal Investigator (Dr DD Coffman) and Data Team Leader (Mr M Lett)
Duties: Responsible for critiquing existing methods used to construct long-term, high-frequency time series for historical price data and for constructing alternate methodologies for use by both the principal investigator and the firm; secondary duties to include teaching on thse Economics Tripos (Part I, Paper 3 or 5; Part IIa, Paper 4 or 7; PartIIb, Papers 11, and 6 or 7), which will be compensated separately at the regular supervisory rate.
Main job: The research associate will assist the director of the Centre for Financial History with grant proposals to create a second International Price History Commission. The first IPHC was established in the 1930s to compile and publish price histories for the United States, Britain, Spain, France and Russia. These studies were based primarily upon low frequency data sets drawn from institutional accounts. Because of the methodological challenges of constructing data series using both high frequency data (auto-correlation caused by methods used to calculate means) and heterogeneous data sources (primarily comparability), the directors of the original project jointly made a decision to sacrifice precision for accuracy. The proposed project will use those sources, and will also extend the geographical reach to include Asia and the Near East. The research associate may also be asked to assist the data team at Winton with the construction of total return indices, primarily for commodities but also for sovereign bonds (interest rates), foreign exchange, and equities. The research associate will collaborate in the preparation of publications and will be encouraged to attend conferences and to apply for small grants under his or her own name. On average, the post-holder should expect to spend two days per week in Cambridge, two in Oxford, and will have one reserved for his or her own work, though in practice time in each location will be scheduled in blocks.
Personal Specifications:
* Hold a Ph.D. (or equivalent, i.e. Sc.D. or D.Phil.) in Economics, Economic History or a related field (Land Economy, Agricultural Economics, Finance, etc). Students at point of completion are welcome to apply, but the degree must be confirmed before commencement of post;
* Highly skilled in time-series analysis and financial econometrics;
* Advanced knowledge of macroeconomics and public finance;
* Attention to detail and ability to work independently;
* Willingness to work longer hours to meet deadlines with expectation of equivalent time off later;
* Knowledge of Office suite, electronic databases, and relevant statistical packages.
To apply:
Send a cover letter, curriculum vitae and the names and contact information for two academic referees to Dr D. Maris Coffman by email or by post to the following address:
Dr D.D. Coffman
Centre for Financial History
Newnham College
Cambridge, CB3 9DF
United Kingdom
www.centreforfinancialhistory.org/opportunities
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