Stephen John Taylor (born 1954) is an

emeritus professor ''Emeritus'' (; female: ''emerita'') is an adjective used to designate a retired chair, professor, pastor, bishop, pope, director, president, prime minister, rabbi, emperor, or other person who has been "permitted to retain as an honorary title ...

of Finance at

Lancaster University Management School Lancaster University Management School (LUMS) is the business school of Lancaster University in Lancaster, England. The school was established in 1964. A full range of subjects are taught, ranging from undergraduate degrees to postgraduate de ...

, an authority on

stochastic volatility In statistics, stochastic volatility models are those in which the variance of a stochastic process is itself randomly distributed. They are used in the field of mathematical finance to evaluate derivative securities, such as options. The name ...

models and option prices, a researcher in the areas of

financial econometrics Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corpo ...

and

mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require ...

, and an author who has published academic books and influential learned papers in Mathematical Finance, the

Journal of Financial and Quantitative Analysis The ''Journal of Financial and Quantitative Analysis'' is a peer-reviewed bimonthly academic journal published by the Michael G. Foster School of Business at the University of Washington in cooperation with the W. P. Carey School of Business at A ...

, the

Journal of Econometrics The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors. The journal publishes work deal ...

and several other academic journals

Early years

Stephen John Taylor was born in 1954 and educated at

Bedford Modern School Bedford Modern School (often called BMS) is a Headmasters' and Headmistresses' Conference independent school in Bedford, England. The school has its origins in Bedford Charity, The Harpur Trust, born from the financial endowment, endowments le ...

Trinity College, Cambridge Trinity College is a constituent college of the University of Cambridge. Founded in 1546 by Henry VIII, King Henry VIII, Trinity is one of the largest Cambridge colleges, with the largest financial endowment of any college at either Cambridge ...

(BA, Mathematics) and the

University of Lancaster , mottoeng = Truth lies open to all , established = , endowment = £13.9 million , budget = £317.9 million , type = Public , city = Bailrigg, City of Lancaster , country = England , coor = , campus = Bailrigg , faculty = 1 ...

(MA and PhD, Operational Research).

Career

Taylor has spent his academic career at

Lancaster University Lancaster University (legally The University of Lancaster) is a public university, public research university in Lancaster, Lancashire, Lancaster, Lancashire, England. The university was established in 1964 by royal charter, as one of several pla ...

where he has been Lecturer in Operational Research (1977–88), Lecturer in Finance (1988–89), Reader in Finance (1989–93) and professor of Finance from 1993 until retiring in 2020. Taylor's research interests in the decade from 2010 to 2020 included one-minute stock index returns, jumps in asset prices, model-free measures of volatility and forward-looking information revealed by option prices. He has been an associate editor of several journals including the

Journal of Banking and Finance The ''Journal of Banking and Finance'' is a peer-reviewed academic journal covering research on financial institutions, capital markets, and topics in investments and corporate finance. In 1989 the journal absorbed ''Studies in Banking & Finance''. ...

and Mathematical Finance. He has also been a

Visiting Professor In academia, a visiting scholar, visiting researcher, visiting fellow, visiting lecturer, or visiting professor is a scholar from an institution who visits a host university to teach, lecture, or perform research on a topic for which the visitor ...

at several universities around the world including

Beijing University Peking University (PKU; ) is a public research university in Beijing, China. The university is funded by the Ministry of Education. Peking University was established as the Imperial University of Peking in 1898 when it received its royal charter ...

National Taiwan University National Taiwan University (NTU; ) is a public research university in Taipei, Taiwan. The university was founded in 1928 during Japanese rule as the seventh of the Imperial Universities. It was named Taihoku Imperial University and served d ...

Monash University Monash University () is a public research university based in Melbourne, Victoria, Australia. Named for prominent World War I general Sir John Monash, it was founded in 1958 and is the second oldest university in the state. The university has a ...

University of Queensland , mottoeng = By means of knowledge and hard work , established = , endowment = A$224.3 million , budget = A$2.1 billion , type = Public research university , chancellor = Peter Varghese , vice_chancellor = Deborah Terry , city = B ...

University of Canterbury The University of Canterbury ( mi, Te Whare Wānanga o Waitaha; postnominal abbreviation ''Cantuar.'' or ''Cant.'' for ''Cantuariensis'', the Latin name for Canterbury) is a public research university based in Christchurch, New Zealand. It was ...

University of Auckland , mottoeng = By natural ability and hard work , established = 1883; years ago , endowment = NZD $293 million (31 December 2021) , budget = NZD $1.281 billion (31 December 2021) , chancellor = Cecilia Tarrant , vice_chancellor = Dawn F ...

Institute for Advanced Studies (Vienna) The Institute for Advanced Studies in Vienna, Austria (German: Institut für Höhere Studien, Wien) is an independent research institute. It was founded in 1963 by Paul F. Lazarsfeld and Oskar Morgenstern, with the help of the Ford Foundation, t ...

, the

Norwegian University of Science and Technology Norwegian, Norwayan, or Norsk may refer to: *Something of, from, or related to Norway, a country in northwestern Europe *Norwegians, both a nation and an ethnic group native to Norway *Demographics of Norway *The Norwegian language, including the ...

and the

University of Coimbra The University of Coimbra (UC; pt, Universidade de Coimbra, ) is a Public university, public research university in Coimbra, Portugal. First established in Lisbon in 1290, it went through a number of relocations until moving permanently to Coi ...

Selected works

Books

* S.J. Taylor, 1986 & 2008, Modelling Financial Time Series,

John Wiley & Sons John Wiley & Sons, Inc., commonly known as Wiley (), is an American multinational publishing company founded in 1807 that focuses on academic publishing and instructional materials. The company produces books, journals, and encyclopedias, in p ...

(first edition) and

World Scientific Publishing World Scientific Publishing is an academic publisher of scientific, technical, and medical books and journals headquartered in Singapore. The company was founded in 1981. It publishes about 600 books annually, along with 135 journals in various f ...

(second edition) * R.M.C. Guimaraes, B.G. Kingsman and S.J. Taylor (editors), 1989, A Reappraisal of the Efficiency of Financial Markets,

Springer-Verlag Springer Science+Business Media, commonly known as Springer, is a German multinational publishing company of books, e-books and peer-reviewed journals in science, humanities, technical and medical (STM) publishing. Originally founded in 1842 in ...

* S.J. Taylor, 2005, Asset Price Dynamics, Volatility and Prediction,

Princeton University Press Princeton University Press is an independent publisher with close connections to Princeton University. Its mission is to disseminate scholarship within academia and society at large. The press was founded by Whitney Darrow, with the financial su ...

Most highly cited papers

* S.J. Taylor, 1982 & 2005, Financial returns modelled by the product of two stochastic processes …., reprinted in Stochastic Volatility: Selected Readings,

Neil Shephard Neil Shephard (born 8 October 1964), FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University. His most well known contributions are ...

editor,

Oxford University Press Oxford University Press (OUP) is the university press of the University of Oxford. It is the largest university press in the world, and its printing history dates back to the 1480s. Having been officially granted the legal right to print books ...

, 60–82 * S. Poon and S.J. Taylor, 1992, Stock returns and volatility: an empirical study of the UK stock market,

16, 37–59 * S.J. Taylor, 1994, Modelling stochastic volatility: a review and comparative study, Mathematical Finance 4, 183–204 * S.J. Taylor and X. Xu, 1997, The incremental volatility information in one million foreign exchange quotations, Journal of Empirical Finance 4, 317–340 * B.J. Blair, S. Poon and S.J. Taylor, 2001, Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns,

, 105, 5–26 * S. Pong, M.B. Shackleton, S.J. Taylor and X. Xu, 2004, Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models,

28, 2541–2563 * Sohnke M. Bartram, S.J. Taylor and Y. Wang, 2002, The Euro and European financial market dependence,

, 31, 1461–1481 * Y. Wang, A. Keswani and S.J. Taylor, 2006, The relationships between sentiment, returns and volatility,

International Journal of Forecasting The ''International Journal of Forecasting'' is a quarterly peer-reviewed scientific journal on forecasting. It is published by Elsevier on behalf of the International Institute of Forecasters. Its objective is to "unify the field of forecasting an ...

22, 109–123

Recent topics

* M.B. Shackleton, S.J. Taylor and P. Yu, 2010, A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices,

34, 2678–2693 * D. Gilder, M.B. Shackleton and S.J. Taylor, 2014, Cojumps in stock prices: empirical evidence,

40, 443–459 * S.J. Taylor, C. Tzeng and M. Widdicks, 2018, Information about price and volatility jumps inferred from option prices,

Journal of Futures Markets ''Journal of Futures Markets'' is a monthly peer-reviewed academic journal covers developments in financial futures and derivatives. The editor-in-chief is Robert Webb. The journal covers subjects including: futures, derivatives, risk management a ...

38, 1206–1226

References

External links

Stephen Taylor, CV at Lancaster University

Google Scholar Citations for Stephen J Taylor
{{DEFAULTSORT:Taylor, Stephen 1954 births Living people British economists Academics of Lancaster University Alumni of Lancaster University Alumni of Trinity College, Cambridge People educated at Bedford Modern School