The Department of Accounting and Finance has a long-standing reputation for excellent research of the highest international calibre in financial econometrics and financial markets.

Research in financial econometrics has traditionally focused on time series econometrics and volatility modelling, and is nowadays at the forefront of the area with research in high-frequency financial econometrics, realised volatility modelling, machine learning, variable selection methods, forecasting and big data analysis.

Research in financial markets concentrates on options and derivatives, market microstructure, fraud and manipulation, limit order book markets, fixed income markets research, behavioural aspects of financial markets, retail and high-frequency trading, crypto and digital currencies, decentralised financial markets and latest financial technologies, thereby spanning all the recent developments in the area.

Faculty members in this area have published in leading finance and econometrics journals such as: Journal of Econometrics, Journal of Financial Economics, Journal of Business and Economic Statistics, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Management Science, Journal of Applied Econometrics, Review of Finance, Journal of Monetary Economics, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Financial Markets, Journal of Empirical Finance, and many other high-quality finance and econometrics journals.

Our faculty members have attracted significant research funding from funding bodies such as the ESRC, Leverhulme and the British Council and maintain research networks with partners at several universities, including Northwestern, Aarhus, Paris and Konstanz. The research in this area is closely aligned with the research at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy. Faculty members present their work regularly at the top conferences in Finance and Econometrics, including those organised by the American Finance Association, European Finance Association, Western Finance Association, Econometric Society, European Econometric Society, Society for Financial Econometrics. Members also host a conference series, including the latest conferences on Financial Fraud, Misconduct and Market Manipulation, and Financial Econometrics.