Portrait photograph of: Yifan Li

Yifan Li

Country Of Origin: China

Degree: PhD Accounting & Finance, 2018

Lecturer in Finance, Alliance Manchester Business School

Why did you choose to undertake your doctoral research at LUMS?

I also completed my master's degree at LUMS. During my study, I was very interested in analysing stock price volatility with time series econometrics approach. I talked to Prof. Ingmar Nolte, who then became my supervisor of my master's thesis and PhD programme, about my intention of doing a PhD. He was very supportive and helped me a lot in setting up my research proposal. As a result, I decided to stay at LUMS to continue my study as a PhD in Finance.

What was your doctoral research about?

My research is mainly related to high-frequency stock price volatility estimation and market microstructure. I use theory from point process to estimate stock price volatility in a high-frequency context. This approach can model and forecast price volatility in real time. I also show that by market microstructure variables, such as trading volume, bid-ask spread, order flow and quoted depths play an important role in high-frequency volatility estimation and forecasting.

What is the environment for PhD students like?

The school and department offer tremendous support to all PhD students. I received a LUMS studentship that covered all my normal expenditure during the programme. During my PhD, I also attended several international conferences and workshops to present my work, and visited Aarhus University for three months, all sponsored by my department and LUMS. These activities were very important to me for building up my research profile and establishing connections to other universities. In the first year of my study, I took courses at both Lancaster University and the University of Manchester. I was able to talk to many faculty members in both universities, who gave me many invaluable suggestions and recommendations for my research and career.

I was very lucky to have Prof. Ingmar Nolte and Dr. Sandra Nolte as my supervisors. We met more than once a week to discuss research and teaching during the PhD programme. They played an indispensable role in shaping and polishing my research and provided helpful guidance for my PhD process and job application.

All the fellow students here are friendly and helpful, and we often attend the departmental seminar series together. Many of them became my good friends.

In conclusion, the studying environment for PhD students is perfect for me. With the support and help from my colleagues, supervisors, department and LUMS, I was able to graduate as a PhD and secure my position at the University of Manchester.

What did you like about living in Lancaster?

Lancaster is a small but complete town with a rich history. Although it does not have a lot of attractions or large shopping areas, it has all the essentials and is a place away from crowded tourist areas and busy city life. I really enjoyed the  peace and tranquillity of Lancaster, as it kept me away from various distractions so that I could fully concentrate on my research.