Current facets (Pre-Master)
PhD defence of Łukasz Gątarek on Thursday 8 May 2014
On Thursday 8 May 2014 Łukasz Gątarek will defend his PhD thesis entitled 'Econometric Contributions to Financial Trading, Hedging and Risk Measurement’. Supervisor is Professor Herman van Dijk (Erasmus School of Economics) en co-supervisor is Dr. Lennart Hoogerheide (Faculty of Economics and Business Administration - VU University Amsterdam). Other members of the Doctoral Committee are Professor Dennis Fok (Erasmus School of Economics) and Professor Aleksander Welfe (Warsaw School of Economics).
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam (Campus Woudestein) and will start at 15.30 hrs.
About Łukasz Gątarek
Łukasz Gątarek (1981) graduated in econometrics from the Warsaw School of Economics and from the Johannes Gutenberg University in Mainz. Prior to joining the Tinbergen Institute he had worked for several years as quantitative analyst and statistician at the European Central Bank in Frankfurt am Main. Lukasz graduated in Tinbergen Institute's Mphil programme in 2008. In 2009 he has joined the Department of Econometrics of Erasmus University in Rotterdam as a Ph.D. candidate. Currently, Lukasz continues his research in financial econometrics. He is funded by both National Science Center and National Central Bank in Poland. In parallel to his academic research he pursues his professional career in quantitative finance and econometrics. He works as a quantitative analyst / trader in implementation of quantitative, model-based-trading strategies in financial markets. This career path closely relates to his Ph.D. research and as such is natural continuation thereof in direct exposure to real financial market risk.
Abstract 'Econometric Contributions to Financial Trading, Hedging and Risk Measurement'
During recent years econometricians entered the field of trading and hedging in order to find applications for sophisticated methods that have been developed in the academic literature, in particular, in financial econometrics. Due to rapid development of financial markets, their growing complexity and contagion in price formation, implementation of advanced portfolio management tools is not anymore a choice or fashion but rather a must for the market participants. Econometric models and methods are used both in signal generation for trading as well as in hedging, where the latter one requires sound risk quantification methods. The main objective of this thesis is to contribute to the econometrics of trading and hedging in financial markets. In its methodological facet, the thesis contributes to Bayesian model selection in econometrics and to the theory of minimum variance portfolio in finance.