Dr Manh Pham

Lecturer in Finance

Research Overview

My research lies within the field of empirical finance, with particular interests in financial econometrics, market microstructure, time series analysis, empirical asset pricing, and option pricing. My work focuses on (i) extracting information from the limit order books of equities to estimate and forecast volatility and price impact, and to detect price jumps, and (ii) estimating risk-neutral densities and deriving implied measures such as implied volatility using option data. I am also interested in developing joint econometric models for returns, volatility and trade characteristics to examine the price formation process in financial markets, as well as in studying the impact of news sentiment on asset prices.

Effect of Social Media on Cryptocurrency Pricing and its Economic Consequences
08/01/2024 → …
Research

2024 European Winter Meeting of the Econometric Society
Participation in conference -Mixed Audience

Guest Lecture: 3D Investing: Jointly Optimizing Return, Risk, and Sustainability
Participation in workshop, seminar, course

2024 Asia Meeting of the Econometric Society, East & Southeast Asia
Participation in conference -Mixed Audience

2023 European Winter Meeting of the Econometric Society (EWMES)
Participation in conference -Mixed Audience

Guest Lecture: Next-Gen Quant Investing
Participation in workshop, seminar, course

Finance Econometrics Conference to Mark Stephen Taylor's Retirement
Participation in conference -Mixed Audience

Guest Lecture: From Paper to Portfolio: The Theory and Practice of Factor Investing
Participation in workshop, seminar, course

3rd Frontiers of Factor Investing Conference
Participation in conference -Mixed Audience

Organizer, Volatility, Jumps and Bursts Workshop
Participation in conference -Mixed Audience

7th International Conference on Accounting and Finance
Participation in conference -Mixed Audience

Guest Lecture: Navigating the Factor Zoo Around the World
Participation in workshop, seminar, course

2021 Annual Conference of the International Association for Applied Econometrics (IAAE)
Participation in conference -Mixed Audience

2nd Frontiers in Factor Investing Conference
Participation in conference -Mixed Audience

Guest Lecture: From portfolio theory to the practice of quantitative investment management
Participation in workshop, seminar, course

12th Annual SoFiE Conference
Participation in conference -Mixed Audience

Asian Meeting of the Economic Society (AMES)
Participation in conference -Mixed Audience

11th French Econometrics Conference
Participation in conference -Mixed Audience

13th International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience

4th International Conference on Accounting and Finance
Participation in conference -Mixed Audience

5th International Conference in Finance
Participation in conference -Mixed Audience

Econometric Society Australasian Meeting
Participation in conference -Mixed Audience

11th International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience

CSIRO-Monash Superannuation Research Conference
Participation in conference -Mixed Audience

Best paper award
Prize (including medals and awards)

Dean's Award
Prize (including medals and awards)

Nermine Bouabid

Nermine Bouabid

PhD student, Associate Lecturer

Pentland Centre

  • Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
  • Financial Econometrics and Financial Markets
  • Investments and Asset Pricing