The University of Melbourne, Australia
Department of Mathematics and Statistics
Research Fellowship in Stochastic Processes – Level A
This position is to conduct research as part of an Australian Research
Council Discovery Project — Multifractal models in finance via the crossing
tree — together with the chief investigators Dr Owen Jones (Dept. of Maths
and Stats) and Dr Darryl Veitch (Dept. of Electronic and Electrical Eng.).
To find out more about the research interests of the chief investigators
please see their websites at http://www.ms.unimelb.edu.au/~odj/ and
http://www.cubinlab.ee.mu.oz.au/~darryl/
The project will look at a new class of multifractal models for financial
time series called M-EBP processes, derived using the "crossing tree". The
research fellow will undertake research on the multifractal characteristics
of M-EBP processes, both theoretical and using simulation experiments.
He/she will help develop an algorithm for the fast simulation of M-EBP
processes; a procedure for testing if a process is of M-EBP type and a
methodology for fitting M-EBP processes to data. He/she will also apply the
techniques developed to a variety of financial time-series. The work will
use techniques from the fields of probability, stochastic processes and
fractal geometry. The research fellow is also expected to develop high
quality software implementations of the algorithms developed as part of the
project.
Salary AUS$54,919 - $58.952 p.a.
To download the position description, go to:
http://www.hr.unimelb.edu.au/pds/Y0005162.pdf
For further information email Dr Owen Jones at:
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Closing Date: 28 February 2006
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