Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

We are a collaboration of leading academics from the fields of finance, econometrics and economics, focusing on mutual research projects.

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About this Centre

Our members include financial and time series econometricians, macroeconomists, and researchers in asset pricing. Together, we aim to promote high-quality and high-impact research, foster international collaboration and inspire the next generation of young researchers in the field.

We provide powerful insights to help those who make decisions and who interpret a range of financial phenomena; from regional house price variations to asset pricing, bubbles, FinTech, cyber security in finance, sustainable and climate finance, volatility and risk modelling and investments. We host distinguished international visitors and we are home to a vibrant doctoral student community.

The work of our Centre members has been published in the top economics and finance journals. We secure research funding from a variety of bodies including the Economic and Social Research Council, Leverhulme Trust, the British Council and The Austrian Science Fund (FWF). We also run a series of popular events and host guest speakers throughout the year.

Our mission

We bring together leading experts and scholars from academia and industry to research and share critical knowledge about financial markets and decision-making. This work attracts high-level funding, and our events draw large audiences and high-profile international keynote speakers.

We are particularly delighted to have hosted the Financial Fraud, Misconduct and Market Manipulation, Frontiers of Factor Investing 2024, 2022, 2021, and 2018, the Mutual Funds, Hedge Funds and Factor Investing and Financial Econometrics Conferences and the SoFIE conference on Financial Econometrics and Empirical Asset Pricing.

Latest updates

Our research themes

Our research activities span several topics and explore many themes. They include measuring and forecasting volatility, pricing bubbles, fiscal policies, investments, banking failure risk and stability.

Visit our publications section to view the research produced by Centre members and visitors.

Centre publications

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Research projects

Our current projects include four key topics on real-estate markets, bank supervisory and price risks.

ViLa-LOB

We are currently hosting a project on “Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective”. This is a three-year project funded jointly by the ESRC and the Austrian Science Fund (FWF).

The ViLa-LOB project is led by LUMS Professors Ingmar Nolte and Stephen Taylor, with Professor Nikolaus Hautsch, from the University of Vienna. The project also includes Professor Torben Andersen, from Northwestern University, as a distinguished international collaborator. The objectives of the research are to improve our understanding of the microstructure of equity and derivative markets, their interrelations on a micro level and their information content for future prices, volatility, liquidity and jump risks. It involves financial econometrics, limit order book analysis, volatility modelling, market microstructure and derivative pricing.

Project Events

As part of the ESRC-FWF grant 'Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective', we are organising a virtual workshop on the “Econometrics of Option Markets” taking place on April 19-21, 2021.

Our last conference, “Financial Econometrics Conference: Market Microstructure, Limit Order Books and Derivative Markets” took place in September 2018, and a workshop, on "Limit Order Book and OPRA Data", took place in March 2018 in Vienna, Austria.

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Housing

UK Housing Observatory

This is a project developed by the Economics Department at Lancaster University Management School aimed at improving understanding of the UK national and regional house price dynamics. This includes real-time monitoring of real estate markets and indicators of house price exuberance.

UK Housing Observatory
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Gulf One Lab for Computational and Economic Research

The Gulf One Lab for Computational and Economic Research (GOLCER) is a hub for interdisciplinary research in quantitative aspects of economics and finance at Lancaster University Management School. It was established in May 2008 with a philanthropic donation from the Gulf One Investment Bank.

Made up of researchers and students from the Department of Economics, as well as other global academic institutions, research expertise is in the area of applied econometric modelling, banking, Bayesian analysis, energy markets, environmental economics, high frequency data econometrics and Islamic finance.

GOLCER

Past research projects

Completed research projects from the Centre.

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PhD programmes

We are home to a vibrant doctoral community where our PhD students are encouraged to take advantage of the School's research strengths to develop core skills. We welcome applications from those who wish to study in economics and finance. For more information, please contact Teresa Aldren.

PhD study

Publications

People

Events

Discover our upcoming events and activities. For past events, please visit our Events Archive.