Postdoctoral Researcher in Mathematical Statistics

Lund University was founded in 1666 and is consistently ranked among the world's top universities. It has around 47,000 students and more than 8,800 employees in Lund, Helsingborg, and Malmö. We unite in our effort to understand, explain, and improve our world and the conditions of people.

Lund University welcomes applicants with diverse backgrounds and experiences. Equality, equal opportunities, and diversity are fundamental principles in all parts of our operations.

Workplace Description

The position will be placed in the Department of Mathematical Statistics at the Mathematics Centre.

The Mathematics Centre is a joint institution for the Faculty of Engineering (LTH) and the Faculty of Science (N) at Lund University, gathering all mathematical sciences.

The department has around 25 employees, evenly distributed between senior researchers and PhD students. Current research areas within the Department of Mathematical Statistics include stochastic models, statistical theory, computational statistics, probability theory, and statistical signal processing, with applications in financial mathematics, environmental research, and medicine.

We place great importance on a good, collegial working environment. The operations are international with a relatively even gender distribution among the employees.

Mathematics Centre (https://www.maths.lu.se)

Specific Subject and Project Description

Portfolio allocation is a fundamental question in financial mathematics. While classical research often emphasizes the importance of asset diversification, there is increasingly strong empirical support in recent research that temporal information, combined with diversification, plays a crucial role in controlling risks.

The project aims to investigate how abruptly changed dynamics, such as hidden Markov models or statistical jump models, affect the optimal decision-making process for an investor. Specifically, we aim to develop new methods for regime models, including automatically distinguishing between relevant and irrelevant data, developing appropriate model assessment criteria for these models, solving a realistic, high-dimensional asset allocation problem with suitable constraints, and finally applying a comprehensive end-to-end framework for asset allocation through a data-driven approach.

The position is funded by a grant from the VERG Foundation.

Job Responsibilities

The main responsibilities as a postdoctoral researcher include conducting research. Teaching may also be included in the responsibilities, but no more than one-fifth of the working time. Within the framework of the employment, there is an opportunity for three weeks of higher education pedagogical training. The purpose of the employment is to develop independence as a researcher and create conditions for further qualification.

The responsibilities include:

• Research in the subject area
• Teaching at undergraduate and advanced levels
• Supervision of thesis students and PhD candidates
• Working on seeking external research funding
• Collaboration with industry and society
• Administration related to the above responsibilities.

Eligibility

Eligible for employment as a postdoctoral researcher is someone who has obtained a doctoral degree, or a foreign degree deemed equivalent to a doctoral degree, in the subject area of the employment. Proof that the eligibility requirement is met must be submitted no later than at the time the employment decision is made. Primarily, the applicant who has obtained the degree no more than three years before the application deadline will be considered. If there are special reasons, the doctoral degree may have been obtained earlier.

Other Requirements

• Very good knowledge of English, both spoken and written.
• Experience in programming, for example in Matlab, Python, Julia, or R.

Assessment Criteria

This is a qualification position primarily focused on research. The employment is intended as an initial step in the career, and the assessment of applicants will primarily be based on their scientific merits and potential as researchers. Special emphasis will be placed on scientific ability within the subject area.

When hiring a postdoctoral researcher, the following will form the basis for assessment:

• Good ability to develop and conduct high-quality research.
• Pedagogical ability.

Other Merits

• Experience in several of the following areas: state-space models, time series analysis, computational statistics, unsupervised machine learning, optimization, model predictive control.
• Experience in financial mathematics.
• High integrity, process-oriented with the ability to work independently.
• Ability to collaborate with others and contribute to the department's activities.

Consideration will be given to how the applicant, through their experience and competence, is assessed to complement and strengthen the research within the department/institution and contribute to its future development.

We Offer

Lund University is a government agency, which means you receive special benefits, generous vacation, and a favorable occupational pension. Read more on the university's website about working with us (https://www.lu.se/om-universitetet/jobba-hos-oss).

Other

The employment is limited to 2 years and is full-time. The employment is limited according to the collective agreement, “Agreement on fixed-term employment as a postdoctoral researcher.”

How to Apply

The application should be written in English and should include a CV including a publication list, a personal letter explaining why you are interested in the position and how the position matches your research merits. The application should also include a copy of the doctoral degree or equivalent and any other documents you wish to submit (copies of transcripts, references, recommendation letters, etc).

Welcome with your application!

LTH – Lund University Faculty of Engineering – is the engineering faculty at Lund University. At LTH, we educate people, build knowledge for the future, and work hard to develop society. We create space for brilliant research and inspire creative development of technology, architecture, and design. Nearly 10,000 students study here. Each year, our researchers – many of whom work in world-leading profile areas – publish around 100 dissertations and 2,000 scientific findings. A number of research results and student projects are refined into innovations. Together we explore and create – for the benefit of the world.

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