Open PhD Positions at Risks-X

PhD student of Prof. Didier Sornette Recruitment Advertisement

Requirement for PhD students:

A master's degree in environmental science, mathematics, statistics, physics, finance, computer sciences or other related majors
Storng quantitative skills (mathematics, programing, data mining, etc.)
Much desire and enthusiasm to work with a dynamic, growing and hard-working group;
Can work under high pressure with a "yes and" attitude instead of a "no but” attitude;
Strong English ability, capable of working in a Chinese-English bilingual working environment, candidates with overseas study or work experience are preferred

About SUSTech and Risks-X: https://er.ethz.ch/Risks-X.html and external pagehttps://www.sustech.edu.cn/en/

SUSTech PhD Programs for international students (2020): external pagehttps://gs.sustech.edu.cn/liuxuesheng2020/1736

Application

Please send the following application documents to Prof. Didier Sornette () and Dr. Ke Wu ():

CV in English
Personal statement, in English, which should include study and work experience, motivations for application of PhD program, research interests, and career plan.
Academic transcripts in Bachelor and Master studies. For all documents in languages other than Chinese or English, notarized copies of translations in Chinese or English need to be provided.
Letters of recommendation, papers, reports or other supporting documents that prove academic abilities.

Research subjects (candidates only need to choose one from the following as the main PhD project):

1. Human-Earth sustainabilility based on system-of-system approaches (with School of Environmental Science & Engineering)

This is an explorative, interactive, interdisciplinary research project to answer the driving question: ‘How can we pull the Human-Earth system towards a sustainable way of good life for all’? As a starting point, we will use the concepts developed for Earth-3 ¹ . Earth-3 is in its current implementation a rudimentary proof-of-concept,² which assembles a system dynamics model for the natural part³ and semi dynamic spreadsheets for the human part, especially the economyenergy part. Missing is the social learning part, where models exist on the conceptual level. The project will calculate human activity as a series of transactions and also take the strength, health and resilience of our community into account, the state of our infrastructure and the build-up of capital, in any form, be it monetary, social, human, biological … The project will also model how human behavior might be organized around a different narrative, one that emphasizes interdependence, mutual respect and recognizes that humans and their behavior are part of a natural world. The human part of the project needs to contain structure and possible behavior modes both of ‘what is’ and ‘what might be’.

¹http://www.2052.info/earth3/
²Randers, J., Rockström, J., Stoknes, P., Goluke, U., Collste, D., Cornell, S., & Donges, J. (2019). Achieving the 17
³Sustainable Development Goals within 9 planetary boundaries. Global Sustainability, 2, E24. doi:10.1017/sus.2019.22 https://www.earth-syst-dynam.net/7/831/2016/esd-7-831-2016-discussion.html This model needs to be both improved (e.g. water cycle) and simplified (e.g. biomass).

2. Market impact and performance of arbitrageurs of financial bubbles in an agent-based model (with Dept of Finance)

Financial crashes that follow the formation of bubbles are widely recognized as disruptive events with severe negative consequences for the economy and society. The goal of this project is extend considerably an existing agent-based model ^4,5 to study the bubble dynamics, market impact and long-term growth of a financial market when either profit-seeking investors (“dragon-riders”), or a stability-oriented policy makers (“dragon-slayer”), or economic growth-focused authorities (“dragon-groomers”) or a mixture of them, employ the LPPLS methodology (and other bubble detection methods) for diagnosing bubbles in real time. Agent-based simulations will extend the existing model of super-exponential financial bubbles with two assets (risky and risk-free), in which fundamentalist and chartist traders (noise traders) co-exist.

⁴ Rebecca Westphal and Didier Sornette, Market impact and performance of arbitrageurs of financial bubbles in an agentbased
model, Journal of Economic Behavior and Organization 171, 1-23 (2020)
⁵ Rebecca Westphal and Didier Sornette, How market intervention can prevent bubbles and crashes, Journal of Economic
Behavior and Organization (submitted 7 Jan 2021) (Swiss Finance Institute Research Paper No. 12-74, Available at SSRN:
https://ssrn.com/abstract=3683858)

3. The Chinese financial crisis observatory for detecting stock market manipulation and prediction of bubbles and crashes (with Dept of Finance)

In 2008, in reaction to the widely spread belief that the great crisis was “bad luck” and could not have been predicted, at the Chair of Entrepreneurial Risks of Prof. D. Sornette at ETH Zurich, we launched the Financial Crisis Observatory (FCO:https://er.ethz.ch/financial-crisis-observatory.html) with the goal of testing and quantifying rigorously, in a systematic way and on a large scale the hypothesis that financial markets exhibit a degree of inefficiency and a potential for predictability, especially during regimes when bubbles develop. Since then, our group has published a large number of ex-ante real-time forecasts, with a quite remarkable track record. We are now building a Chinese version of the financial crisis observatory to cover the major assets in China based on our existing systems and methodologies. The goal of this project is to develop a full picture of the financial bubble states in different Chinese assets, with input information from both structured data (price, fundamental data, etc.) and unstructured data (social networks and financial news). The Chinese FCO will also publish monthly reports in Chinese with in-depth analysis of Chinese and Global markets, based on more detailed data analysis, market news and macro policies. Currently we also have the following sub-projects under this framework:

- Chinese stock market manipulation analysis and detection
- Chinese equity analyst research reports analysis and evaluation
- Bubble and crashes analysis and prediction based on the Log Periodic Power Law
Singularity (LPPLS) model

4. Self-excited Hawkes model of financial crashes and rallies in a self-referential bubble model

This project will combine the concepts and methods developed in the two papers ⁷with a model of bubbles ⁸ and its extension to characterise and calibrate the transient burst of dependence during drawdowns. This will bring a new understanding on how large drawdowns, financial crashes and bearish regimes develop in financial markets.

⁷ Alexander Wehrli, Spencer Wheatley and Didier Sornette, Scale-, time- and asset-dependence of Hawkes process parameters estimated on high frequency price change data, Quantitative Finance https://doi.org/10.1080/14697688.2020.1838602 (2021); Classification of flash crashes using the Hawkes(p,q) framework, Quantitative Finance (submitted 3 Nov 2020) (http://ssrn.com/abstract=3724073)
⁸ J. Kreuser and D. Sornette, Bitcoin Bubble Trouble, Wilmott 95, 30-39. (2018) Swiss Finance Institute Research Paper No. 18-24. Available at SSRN: external pagehttps://ssrn.com/abstract=3143750; Super-Exponential RE Bubble Model with Efficient Crashes, The European Journal of Finance 25 (4), 338-368 2019); Jan Gerlach, Jerome Kreuser, and Didier Sornette, Awareness of crash risk improves Kelly strategies in simulated financial time series, Physica A (submitted 8 June 2020)(https://arxiv.org/abs/2004.09368 and external pagehttp://ssrn.com/abstract=3580920); Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices, Quantitative Finance (submitted 8 Oct 2020) (http://ssrn.com/abstract=3708035)

5. Other subjects upon negotiation with the supervisor (one may find a list of projects here:
https://er.ethz.ch/about-us/open-positions/masters.html)