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Dr Jeremy Large

BA, MA, DPhil
Quondam Fellow since 2008
Fellow by Resolution in Economics, St Hugh's College
Quantitative Portfolio Manager, Tudor Investment Corporation
Dr Jeremy Large
  • Background

    • Research Economist, AHL, Man Investments (from 2008 to 2012)
    • Associate Fellow, Saïd Business School, University of Oxford (from 2008 to 2014)
    • Post-Doctoral Research Fellow, All Souls College (from 2005 to 2008)
    • Postgraduate degree, Nuffield College, Oxford (from 2002 to 2005)
    • Postgraduate degree, Ecole HEC, Paris (from 1999 to 2001)
    • Undergraduate, New College, Oxford (from 1995 to 1999)
  • Selected publications

    • ‘Estimating Quadratic Variation when Quoted Prices Change by a Constant Increment’, Journal of Econometrics 160 (2011), 2-11
    • ‘A Market-Clearing Role for Inefficiency on a Limit Order Book’, Journal of Financial Economics 91 (2009), 102-117
    • (with A. Lunde and P. Hansen) ‘Moving Average-Based Estimators of Integrated Variance’, Econometric Reviews 27 (2008), 79–111
    • ‘Measuring the Resiliency of a Limit Order Book, Journal of Financial Markets 10 (2007), 1–25
  • Research awards and grants

    • Edgeworth Prize in Economics (2006).
    • Fulbright Scholarship (2004).
    • George Webb Medley Thesis Prize in Economics (2004).
    • Entente Cordiale Scholarship (1999).