Research Assistant (m/f, part-time)

We are looking for a

Research Assistant
(m/f, part-time, flexible hours)

who will be supervised by Prof. Catalina Stefanescu-Cuntze. The project aims to model the price of commodity futures contracts as a function of observed explanatory variables and unobserved global inventory levels. The parameters of the models need to be estimated using a large data set of futures prices for different commodities over several time periods. With the estimated parameters, the unobserved true levels of inventories can then be recovered.

We estimate the project to take a maximum of roughly 500 hours total and the working time is flexible.

Your tasks will be You are qualified, because you
  • work on a research program, which lies at the interface between finance and statistics
  • code up optimization algorithms for likelihood estimation of statistical models  
  • review literature, formulate and solve mathematical models and write research papers
  • are a master or PhD student in Statistics, Operations Research, Economics, or Finance
  • have strong modeling, analysis and optimization skills, and familiarity with statistical estimation and data management
  • have knowledge or interest in statistical estimation practice (in particular familiarity with the Kalman filter).
  • have strong computing skills, preferably in Matlab
  • have knowledge in financial models of futures pricing (not required but would be asset)
  • have good English skills and are motivated to work in an international academic environment