I am a first year Mathematics DPhil student at OCIAM, which is part of the Mathemtical Institute at The University of Oxford.  My research is supported by an industrial CASE award, funded jointly by EPSRC and HSBC.


My academic supervisors at Oxford are Mason Porter and Sam Howison, and my industrial supervisors are Stacy Williams, Mark McDonald and Dan Fenn.


I work on modelling the limit order book for foreign exchange markets.  My aim is to design a tractable model of the limit order book which accurately reflects the statistical behaviour of historical data (specifically, high-frequency time series of the most commonly traded currency pairs in the market).  In doing so, my goal is to deepen understanding of the coupling between order arrivals and the state of the limit order book.


I am also a member of Somerville College, where I am currently President of the MCR.

 

Contact details:


Mr Martin Gould

DH 9

Dartington House

Little Clarendon Street

Oxford

OX1 2HS


Phone: +44 1865 270508

Martin Gould