Fri, 08/06/2007 - 06:55
The University of Oxford and Man Group have announced the establishment of the Oxford-Man Institute of Quantitative Finance, which they intend to become the world's leading interdisciplinary academic institute for research in quantitative finance, with a particular emphasis on alternative investments.
The institute, to be based in Oxford, will initially house about 20 members who must be already be affiliated with the university, comprising 10 full-time researchers and staff and a further 10 senior faculty members who will spend substantial time at the institute. Man Group, the world's largest hedge fund group, is the sole provider of the core funding for the institute.
'The institute will be truly interdisciplinary across the university, and will include researchers from many of the university's schools and departments', said Prof Neil Shephard, a professor of economics at the university and fellow of the British Academy who has been appointed research director for the institute and will have managerial oversight of its activities. 'Our aim is to provide a central focal point for the world's leading research in quantitative finance.'
Shephard is a fellow of the Econometric Society whose research interests are mainly focused on that field, particularly working with high frequency data to try and understand financial volatility, market microstructure and the role of jumps in financial markets.
Quantitative finance is defined as all systematic and quantitative methodologies, analysis techniques and theory that are applicable to the investigation and allocation of economic and financial resources within the professional management of capital. One of Man Group's key areas of expertise is the use of quantitative methodologies to analyse price movement activity across a wide range of markets.
'We are delighted at the opportunity to support the university in establishing this innovative institute,' says Man Group chief executive Peter Clarke. 'Oxford's stature as a leading centre of independent research and teaching excellence is unsurpassed. The new institute will uphold these standards to the highest degree.'
The institute's primary focus will be on developing research at the forefront of both academic thinking and practical application. It will also promote and encourage independent teaching and research in relevant methods and techniques associated with quantitative finance.
Oxford University's vice-chancellor, Dr John Hood, says: 'The university is delighted to build on its strengths in computing, economics, mathematics, engineering and statistics to create the Oxford-Man Institute. The initiative will help develop the next generation of academics in the field of alternative investments.'
'The institute's researchers generally will study problems varying from the economic sources of out-performance of hedge funds to how to statistically analyse vast quantities of streaming data relevant to the characterisation of risk,' says Prof Keith Burnett, head of the mathematical, physical and life sciences division of the university and a fellow of the Royal Society.
The institute defines alternative investments as investments that do not rely on typical sources of financial returns, such as the simple asset appreciation of equities and bonds. Among its activities the institute will organise the Oxford-Man Distinguished Lectures, to which eminent academics and practitioners will be invited. It will also organise conferences and workshops, bringing academics from other universities together for extended periods of informal interaction.
In addition, each week during term time the institute will run a seminar on topics likely to include the performance of hedge funds, derivative pricing on energy markets and extracting useful information for financial decisions from streams of data.
'The institute is intended to be truly international in scope through building links with the international academic community,' said Dr Tim Hoggard, head of algorithmic trading research at AHL, Man Group's quantitative investment programme, who has been co-ordinator of the group's efforts to establish and support the institute. 'The fact that 60 per cent of the university's graduate students are from outside the UK is indicative of Oxford's global stature.'
Man's initial commitment to the centre will be for GBP13.75m. Man will allocate GBP10.45m for the institute in the initial five years and an additional GBP3.3m for an endowed chair, to be called the Man Professor of Quantitative Finance.
In addition to its financial contribution, Man will house its own research laboratory in the same building as the institute, allowing academics increased direct access to industry practitioners, while Man researchers will benefit from closer interaction with the academic community.
Man Group is a leading global provider of alternative investment products and solutions as well as one of the world's largest futures brokers. The group employs over 4,500 people in 16 countries, with key centres in London, Pfäffikon in Switzerland, Chicago and New York.
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