Marwan Izzeldin

I'm a Professor of Financial Econometrics at the department of Economics at Lancaster University and the Associate Dean for International partnerships for Lancaster University Management School. I also serve as the director of Gulf One Lab for Computational and Economic Research (GOLCER).

My research interests are 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 as it provides a better understanding of how markets respond to various intensity levels of information, not least during crisis episodes. Current research interests include the use of different types of jumps and classifications in forecasting, mixed sampling frequency modelling, 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 differentiated behaviour of Islamic Banks during economic downturns and episodes of financial distress.

For my Lancaster webpage please visit: https://www.lancaster.ac.uk/lums/people/marwan-izzeldin