Taylor has spent his academic career at
Lancaster University where he has been Lecturer in Operational Research (1977–88), Lecturer in Finance (1988–89), Reader in Finance (1989–93) and professor of Finance from 1993 until retiring in 2020.[1]
Taylor's research interests in the decade from 2010 to 2020 included one-minute stock index returns, jumps in asset prices, model-free measures of
volatility and forward-looking information revealed by
option prices.[1]
S.J. Taylor, 1982 & 2005, Financial returns modelled by the product of two stochastic processes …., reprinted in Stochastic Volatility: Selected Readings,
Neil Shephard editor,
Oxford University Press, 60–82[1]
S. Poon and S.J. Taylor, 1992, Stock returns and volatility: an empirical study of the UK stock market,
Journal of Banking and Finance 16, 37–59[1]
S.J. Taylor, 1994, Modelling stochastic volatility: a review and comparative study, Mathematical Finance 4, 183–204[1]
S.J. Taylor and X. Xu, 1997, The incremental volatility information in one million foreign exchange quotations, Journal of Empirical Finance 4, 317–340[1]
B.J. Blair, S. Poon and S.J. Taylor, 2001, Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns,
Journal of Econometrics, 105, 5–26[1]
S. Pong, M.B. Shackleton, S.J. Taylor and X. Xu, 2004, Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models,
Journal of Banking and Finance 28, 2541–2563[1]
M.B. Shackleton, S.J. Taylor and P. Yu, 2010, A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices,
Journal of Banking and Finance 34, 2678–2693[1]
D. Gilder, M.B. Shackleton and S.J. Taylor, 2014, Cojumps in stock prices: empirical evidence,
Journal of Banking and Finance 40, 443–459[1]
S.J. Taylor, C. Tzeng and M. Widdicks, 2018, Information about price and volatility jumps inferred from option prices,
Journal of Futures Markets 38, 1206–1226[1]