Now that I’ve been asked to give a lecture on the topic of high-frequency trading, I finally had the opportunity to shed a bit of light in a slightly more consistent way on the theoretical and empirical findings the literature has produced over the last seven years. It was a good feeling going back to some ‘old’ papers. Although, I have doubt that we answered all questions that were hanging in the air. Please enjoy. HFT Theory, HFT Empirics

Are you considering a stay abroad during your PhD studies? Why this might be a great idea for you? And what specifically do you have to do to win a grant for your visit? This case is based on my recent stay at Simon Fraser university in Vancouver, Canada, where I visited Prof Ramo Gencay and his team working on empirical topics in market microstructure. This article describes application process through the Swiss national scientific foundation and its Doc.Mobility programme and the Swiss Finance Institute’s Advanced doctoral grant.

Step 0: Why should you consider packing your suitcase and leaving beautiful Switzerland?

First and mostly, obtaining funds for research visit gives you the opportunity to work with some of the best people in your field. Supposedly, you’ve already finished your first paper and now you want to see, where the research boundary lies in the eyes of the most experienced in your field. Well, if you manage to convince some of them of the mutual benefit and obtain an invitation letter, your journey can almost feel as ignited. Survey based on insufficient number of observations says that the chances of a professor saying yes are quite high, so don’t be shy and try it. It also gives you the possibility to gain a certain level of academic independence by learning how to work in new research environments. Aside from a great opportunity to discover the world, it’s also a useful exercise in grant acquisition.

Step 1: Agreeing with your supervisor and obtaining invitation letter.

Before you start sending out emails asking for hosting your research visit, talk with your supervisor. You want her/him to be on your side and back you in the applications process. You will need a reference letter, to say the least. Moreover, your supervisor might have more experience and knowledge of who is doing what in your field and who will be likely to host you. However, don’t feel limited by the connections of your supervisor, you are free to establish a common research ground with another senior researcher, but please don’t take it lightly and be prepared, it’s always good to get to know each other better before committing to mutually spending time on the same project. Some past credential of yours and an excellent and current research proposal, which you might want to discuss and get approved beforehand, will increase your chances of being invited. Remember, that being invited doesn’t usually mean working 100% of your and your counterparty’s time on the common project, but rather having access to the seminars, discussions with the new faculty and foremostly, working with the doctoral students and other team members of your host professor. You want to make the most out of this opportunity. But first you need to get the grant.

Step 2: Applying for your grant and visa.

Applying for grants is as fun as you imagine. The best choice for the source of funding is the Swiss national scientific foundation and their Doc.Mobility. For graduate students of the Swiss finance institute doctoral programme, there’s chance to obtain the Advanced doctoral grant in case the Doc.Mobility application wasn’t successful. The monetary terms are equivalent and the SFI needs a simultaneous copy of your application to SNF. The SNF application asks for the following documents:

• Invitation letter
• Research plan
• References (2)
• CV, Career plan, Publication list, Copies of Diplomas, Permit, Family confirmation.

You can get the following items funded for 6 to 18 months:

• Living costs c.a. CHF45k p.a.
• Return flight, 3k research costs, 2k conference costs, % of tuition fees
• Child allowance, partner costs.

The most important parts of the application package are: the invitation letter (here, my impression is that the SNF gives the highest priority to the ranking of your host university, that means if you plan to visit not a top school (top 20-30 in the world), you should definitely apply for your backup with the SFI), next in line of importance are your reference letters and research plan. Of course the rest of your documents should also be in good shape, just to avoid some procedural speed bumps.

You’ll hear from the SFI soon, maybe in two weeks, they have a standard review process in place judging on the overall application with emphasis on your research proposal, or so it seems. From the SNF you’ll hear in 2-4 months. Whatever the source of your funding, if you’re not travelling to the EU or travelling for more than 6 months, you’ll need to apply for visa. 2-3 months of waiting time is not unreasonable. In some countries you have to apply for working permit, especially if you’ll be staying for more than 6 months. Most of the developed world has a visiting academic track in the visa application process. Look for it. It reduces the administration burden very significantly.

Step 3: Travelling to new countries: life-hacks.

Now that you’ve got your money on your account and your visa approved, you should book your flight, let everybody know of your achievement and that they can count on your visit 100%, prepare a desk for you. Another challenge to tackle is looking for an apartment/room, depending on your preferences. Renting a room is much easier than flat for most of the countries, also much cheaper and taking into account that you’ll spend most of the days with your new colleagues at the university or traveling, also more convenient. Better would be only to stay in a hotel with room service/lobby and warm breakfast. However, in this way, you can meet also people outside of your university team, which is very valuable if you want to discover how the place actually lives.

Step 4: Making the best out of it.

Things to look for as soon as you get to your new university: your professor and his/her team, the administrative staff that helped you get there (you’ll swap some emails and they’ll help you turn impossible to reality, for that you want to  thank them), seminars, reading groups, library, gym, outdoor clubs, you name it; and if you’re lucky, you’ll also get some office. In my case, I was lucky to receive an office, unfortunately the a/c was against me and had to work from the research commons anyways. SFU has great co-working space on the top floor of the library with the best PCs and Macs available.

Step 5: If you don’t know when you’re coming back, you should explore it even more intensely.

Even though working style in Northern America, especially, is quite enduring, you never know when you’ll come back to this place. You might want to meet local people, to see that it’s fun wherever you go, enjoy the local tastes and natural beauty. Experience this positive kick of energy to the fullest and return with a paper, new colleagues, friends, new experiences and many memories.

And what my visit at SFU in Vancouver brought to me? Mainly, I was working in a team which was doing precisely what I was interested in. So every little thing along the way which you have to figure out on your own was readily accessible and sped up the paper creation process immensely. In retrospect, however, I now know that these incredible resources are also available at most of the research institutions, waiting for you to discuss your research and related problems with your colleagues wherever you are. This visit being my first experience in the Northern america, opened my eyes in so many new dimensions. From the more enduring working conditions, faster dining, to the vast wilderness areas in the British columbia, to the social diversity, which is not proportionately mirrored in western media. I met many new very interesting people, many of whom I hope I will stay in touch with either on personal or professional terms. It was truly an enriching experience, the state of awakening when you leave your comfort zone and embark on an adventure.