|Professor Stephen J. Taylor|
|Management School, Lancaster University, UK|
Stephen J. Taylor is a Professor of Finance at Lancaster University, UK and a former Head of the Department of Accounting & Finance. His research investigates the dynamic properties of asset prices, recorded daily or more frequently, and considers a variety of methods for making predictions about future prices.
His first book, Modelling Financial Time Series (1986), has been highly influential and includes the first systematic study of stochastic volatility models. His second book, Asset Price Dynamics, Volatility, and Prediction (2005), is a comprehensive work which is the foundation for lectures delivered in Australia, New Zealand, Norway, Taiwan and the UK.
He has published in Journal of Econometrics, Mathematical Finance, Journal of Financial and Quantitative Analysis and many other journals. His current research is focussed on stock prices recorded at a high frequency and explores new volatility forecasts, jumps in prices and market microstructure effects.
He is a part of an international team investigating complete records of equity options prices, co-funded by the Economic and Social Research Council. He has served on the editorial boards of Mathematical Finance, Journal of Banking and Finance.
You can find more information about Professor Stephen J. Taylor on his short CV online.