Home > Research > Researchers > Shifan Yu

Shifan Yu

Research student

Lancaster University

The Management School



Research overview

Shifan Yu is a PhD Candidate in Finance at Lancaster University Management School (LUMS). His research interest lies in the area of financial econometrics, volatility modelling and market microstructure. His current PhD research focuses on the detection procedures for jumps and drift bursts in asset price processes using high-frequency intraday data with stochastic sampling.

Shifan holds a PhD studentship from the Economic and Social Research Council (ESRC) with an enhanced award in Advanced Quantitative Methods (AQM). Before starting his PhD, he pursued a Master of Science degree in Quantitative Finance with Distinction from LUMS. 

Research Interests

  • High-Frequency Financial Econometrics
  • Market Microstructure
  • Time Series Econometrics 

Supervised By

Current Research

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Current Teaching

  • Ac.F100: Introduction to Accounting and Finance (BSc)
  • Ac.F101: Quantitative Methods for Accounting and Finance (BSc)
  • Ac.F501: Quantitative Methods for Finance (MSc)

Research Grants

ESRC Studentship with AQM enhanced stipend, 2019-2023.


MSc in Quantitative Finance (Distinction), Lancaster University.

View all (4) »