Professor Marwan Izzeldin

Professor of Financial Econometrics

Current Research

My research interest is in the area of modelling and forecasting volatility using high frequency data. High frequency data are recorded at ‘fine’ intervals of time: milliseconds, and seconds. Hence they can provide us with a closer look at the dynamics and the evolution of the price process and its components (i.e. continuous and discontinuous). My research in this area addresses several topics, including that of quantifying the information arrival process to markets. This research is important in that it provides better understanding as to how markets respond to various intensity levels of information, not least during crisis episodes. Current research interest include the use of different types of jumps and classifications in forecasting, mixed sampling frequency modelling and data compression and machine learning.

I have also research interests in Banking / Islamic banking. Here, my research contrasts the respective business models of Islamic and conventional banks. In taking a variety of perspectives, my work identifies characteristics that explain the observed resilience of Islamic banking following the (2008) financial crisis. My research on efficiency and productivity extends beyond the comparison of Islamic and conventional banking models. Most, recently I have been looking at novel ways in measuring productivity and efficiency using Bayesian methods.

34th European Economic Association Meeting
Participation in workshop, seminar, course

INFINITI Conference
Participation in workshop, seminar, course

High Frequency Econometrics Using Matlab
Participation in workshop, seminar, course

The Economics of VAT and Taxation
Participation in workshop, seminar, course

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

Modelling Credit Rating Data Using STATA
Participation in workshop, seminar, course

High Frequency Econometrics Using Matlab
Participation in workshop, seminar, course

Econometric Analysis Using E-Views for Nigerian Bulk Electricity Trading
Participation in workshop, seminar, course

Financial Econometric Conference: Market Microstrucutre, Limit Order Books and Derivative Markets
Participation in workshop, seminar, course

High Frequency Econometrics Using Matlab
Participation in workshop, seminar, course

Quantitative Methods for Nigerian Bulk Electricity Trading
Participation in workshop, seminar, course

European Economic Association meeting
Participation in conference -Mixed Audience

Visiting Research Programme
Participation in workshop, seminar, course

Research Programme for Nigerian Bulk Electricity Trading
Participation in workshop, seminar, course

House of Lords Invitation: Islamic Finance and its Importance in the 21st Century
Participation in conference -Mixed Audience

International Conference on Econometrics and Statistics
Participation in conference -Mixed Audience

Financial Engineering and Banking Society
Participation in conference -Mixed Audience

High Frequency Econometrics Using Matlab
Participation in conference -Mixed Audience

Frontiers of Factor Investing
Participation in workshop, seminar, course

International Symposium in Computational Economics and Finance
Participation in conference -Mixed Audience

4th International Conference on Applied Theory, Macro and Empirical Finance
Participation in conference -Mixed Audience

GOLCER Islamic Banking Summer School
Participation in conference -Mixed Audience

9th Foundation of Islamic Finance (FIFC)
Participation in workshop, seminar, course

10th International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience

Newcastle University
Participation in conference -Mixed Audience

18th OxMetrics User Conference
Participation in conference -Mixed Audience

World Finance Conference
Participation in conference -Mixed Audience

3rd Conference, International Association for Applied Econometric
Participation in conference -Mixed Audience

INFINITI 2016, Trinity College Dublin
Participation in conference -Mixed Audience

6th International Conference of the Financial Engineering and Banking Society
Participation in conference -Mixed Audience

HM Treasury "Global Islamic Finance and Investment Group Annual Meeting"
Participation in conference -Mixed Audience

Huddersfield University Business School
Participation in conference -Mixed Audience

8th International Conference on computational and financial econometrics
Participation in conference -Mixed Audience

5th International Conference of the Financial Engineering and Banking Society
Participation in conference -Mixed Audience

INFINITI 2015, University of Ljubljana
Participation in conference -Mixed Audience

Royal Economic Society Conference
Participation in conference -Mixed Audience

2014 Paris Financial Management Conference
Participation in conference -Mixed Audience

Managing Public Pension in a Global Economy
Participation in workshop, seminar, course

 European Economic Association Meeting, Toulouse School of Economics
Participation in conference -Mixed Audience

Managing Pension: International Practices
Participation in conference -Mixed Audience

4th Islamic Banking & Finance Journal of Economic and Behaviour Organisation (JEBO) Conference in association with GOLCER at Lancaster University and EIFB at Aston Business School
Participation in conference -Mixed Audience

INFINTI 2014
Participation in conference -Mixed Audience

4th Islamic Banking & Finance Journal of Economic and Behaviour Organisation (JEBO) Conference in association with GOLCER at Lancaster University and EIFB at Aston Business School
Participation in conference -Mixed Audience

Society of Financial Econometrics (SoFiE) Conference
Participation in conference -Mixed Audience

Royal Economic Society Conference
Participation in conference -Mixed Audience

Enhancing Organisational Management Skills
Participation in workshop, seminar, course

Oil Trading Strategies and Dynamics
Participation in conference -Mixed Audience

Finance for Non- Financial Managers
Participation in workshop, seminar, course

 European Economic Association Meeting, Toulouse School of Economics
Participation in conference -Mixed Audience

Effective Digital Marketing
Participation in workshop, seminar, course

Interest and Forex derivatives
Participation in conference -Mixed Audience

Strategic Supply Chain Management
Participation in conference -Mixed Audience

Finance for Non-Financial Managers
Participation in workshop, seminar, course

Islamic Finance Journal of Economic and Behaviour Organisation (JEBO) Conference, Aston Business School, co-organiser (1st to 2nd of September 2012)
Participation in conference -Mixed Audience

4th International Finance and Banking Society (IFABS) Conference, Spain with a special issue for the Journal of Banking and Finance
Participation in conference -Mixed Audience

Conference on Financial Sector Performance and Risk (Post Crisis)
Participation in conference -Mixed Audience

Finance for Non-Financial Managers
Participation in conference -Mixed Audience

Project Management
Participation in workshop, seminar, course

Data Management
Participation in conference -Mixed Audience

Hedging Financial Risks
Participation in workshop, seminar, course

E-Views Software Training joint with Timberlake Consultants
Participation in conference -Mixed Audience

Using Business Intelligence to Add Value and Gain Advantage - Group 2
Participation in workshop, seminar, course

Using Business Intelligence to Add Value and Gain Advantage - Group 1
Participation in conference -Mixed Audience

Budgeting and Forecasting for Business Professionals
Participation in workshop, seminar, course

Budgeting and Forecasting for Business Professionals
Participation in conference -Mixed Audience

Maria Carvalho

Maria Carvalho

PhD student, Associate Lecturer

  • Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
  • Economics Research Group
  • Gulf One Lancaster Centre for Economic Research
  • Macroeconomics and Financial Markets