Profile
College / Department
Teaching areas
Applied Statistics; Business Mathematics; Extreme value Theory; Financial Mathematics;
Research areas
Extreme Value Analysis, Statistical analysis, Distribution Theory and Financial Risk in analysing Financial Commodities/Markets, Cryptocurrencies, Efficient Markets, Blockchain networks, High-frequency trading, and Investor sentiments.
Education
PhD, Mathematical Sciences, University of Manchester, United Kingdom
Professional experience
EPSRC Doctoral Prize Fellow at University of Manchester(2015 - 2017)
Memberships
American Statistical Association (ASA), 2015 - present
Institute of Mathematical Statistics (IMS), 2015 - present
Contact
schan@aus.edu
+971 6 515 4458
Dr. Stephen Chan
Assistant Professor
PhD in Financial Statistics, University of Manchester, UK
Stephen Chan was awarded the EPSRC Doctoral Prize Fellowship in 2016 at the University of Manchester, UK. His research areas includes extreme value analysis and distribution theory in analyzing financial commodities data and cryptocurrency data. He co-developed and co-wrote an R package, entitled 'VaRES', for computing value at risk and expected shortfall. He is a co-author of the book Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications.
Publications
Yuanyuan Zhang, Stephen Chan, Jeffrey Chu, Hana Sulieman, On the run: a high frequency analysis of the market efficiency and liquidity of cryptocurrencies in bull and bear markets, Submitted, 2019
Yuanyuan Zhang, Jeffrey Chu, Stephen Chan, Brandon Chan, The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk, Published, Physica A: Statistical Mechanics and its Applications, 526, pp. 120900, 2019
Jeffrey Chu, Yuanyuan Zhang, Stephen Chan, The adaptive market hypothesis in the high frequency cryptocurrency market, Published, International Review of Financial Analysis, 64, pp. 221-231, 2019
Emmanuel Afuecheta, Stephen Chan, Saralees Nadarajah, Flexible Models for Stock Returns Based on Student's T Distribution, Published, Manchester School, 87, 3, pp. 403-427, 2019
Stephen Chan, Saralees Nadarajah, Risk: An R Package for Financial Risk Measures, Published, Computational Economics, 53, 4, pp. 1337-1351, 2019
Saralees Nadarajah, Stephen Chan, The exact distribution of the sum of stable random variables, Published, Journal of Computational and Applied Mathematics, 349, pp. 187-196, 2019
Saralees Nadarajah, Emmanuel Afuecheta, Stephen Chan, Ordered random variables, Published, OPSEARCH, 56, 1, pp. 344-366, 2019
Stephen Chan, Yuanyuan Zhang, Saralees Nadarajah, Extreme value analysis of high‐frequency cryptocurrencies, Published, High Frequency , `2, 1, pp. 61-69, 2019
Stephen Chan, Editorial for Special Issue “Finance, Financial Risk Management and their Applications”, Published, International Journal of Financial Studies, 6, 4, pp. 83, 2019
Yuanyuan Zhang, Stephen Chan, Jeffrey Chu, Saralees Nadarajah, Stylised facts for high frequency cryptocurrency data, Published, Physica A: Statistical Mechanics and its Applications, 513, pp. 598-612, 2019
Saralees Nadarajah, Jeffrey Chu, Stephen Chan, An alternative measure of positive correlation, Published, International Journal of Mathematical Education in Science and Technology, 50, 4, pp. 642-645, 2018
Saralees Nadarajah, Emmanuel Afuecheta, Stephen Chan, On the distribution of maximum of multivariate normal random vectors, Published, Communications in Statistics - Theory and Methods, 2018
Saralees Nadarajah, Stephen Chan, A convenient expression for the boys function, Published, Mathematical Scientist, 43, 1, pp. 52-55, 2018
Stephen Chan, Nuclear Catastrophe Risk Bonds in a Markov Dependent Environment, Published, Journal of Risk and Uncertainty in Engineering Systems, 3, 4, 2017
Stephen Chan, A Compendium of Copulas, Published, Statistica, 77, 4, pp. 49, 2017
Stephen Chan, GARCH Modelling of Cryptocurrencies, Published, Journal of Risk and Financial Management, 4, 17, pp. 10, 2017
Saralees Nadarajah, Stephen Chan, Elementary expressions for moments of truncated negative binomial random variables, Published, Communications in statistic - Theory and Methods, 47, 1, pp. 11, 2017
Saralees Nadarajah, Stephen Chan, Discrete distribution based on inter arrival times with application to football data, Published, Communications in Statistics: Theory and Methods, 47, 1, pp. 11, 2017
Stephen Chan, Saralees Nadarajah, Emmanuel Afuecheta, Tabulations for value at risk and expected shortfall, Published, Communications in Statistics - Theory and Methods, 46, 12, pp. 5956-5984, 2017
Saralees Nadarajah, Stephen Chan, Estimation Methods for Value at Risk, Published, pp. 283-356, 2016
Saralees Nadarajah, Emmanuel Afuecheta, Stephen Chan, GARCH modeling of five popular commodities, Published, EMPIRICAL ECONOMICS, 48, 4, pp. 1691-1712, 2015
Stephen Chan, Saralees Nadarajah, Extreme value analysis of electricity demand in the UK, Published, Applied Economics Letters, 22, 15, pp. 1246-1251, 2015
Saralees Nadarajah, Bo Zhang, Stephen Chan, Estimation methods for expected shortfall, Published, QUANTITATIVE FINANCE, 14, 2, pp. 271-291, 2014
Conference Presentations
Stephen Chan, Stylised facts for high frequency cryptocurrency data, 3rd International Conference on Economics, Finance and Statistics, Conference , April, 2019
Stephen Chan, The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk, Joint Statistical Meetings, Vancouver, Canada, July, 2018
Grants and sponsorships
2019 Faculty Research Grant - (Blockchain and Cryptocurrencies), American University of Sharjah, 2021
2018 Enhanced Faculty Research Grant (EFRG Smart Cities Research), American University of Sharjah, 2020
Bank of England Research Donation Committee Fund for the Workshop and Conference (2018 Mathematics for Industry Conference: Blockchain and Cyptocurrencies), Bank of England, 2018
MI – NET Industrial Workshop Grant (2018 Mathematics for Industry Conference: Blockchain and Cyptocurrencies), American University of Sharjah, 2018
Data Science Institute Travel Bursary Fund, University of Manchester, 2017
CAS Seed Grant, American University of Sharjah, 2017
Institute of Mathematical Statistics (IMS) Travel Award, Institute of Mathematical Statistics, 2017
Short –Term Scientific Mission fund, Mathematics for industry Network, European Cooperation in Science and Technology, 2016
Data Science Institute Travel Bursary Fund, University of Manchester, 2016
Best poster - Risk Analysis section in ASA, American Statistical Association (ASA), 2016
EPSRC Doctoral prize fellow (PI), Engineering and Physical Sciences Research Council (EPSRC), 2015
Awards and Honors
EPSRC Doctoral Prize Fellow Research Grant (PI), GBP £60,000, University of Manchester, 2015-2
Institute of Mathematical Statistics (IMS) Travel Award $2000 grant, August 2017.
Other creative/research
Guest Editor Special Issue "Extreme Values and Financial Risk", Journal of Risk and Financial Management.
Software Packages: Nadarajah, S, Chan, S (2017). R package “Risk”, Computes 26 Financial Risk Measures for Any Continuous Distribution. R package version 1.0.
Software Packages: Nadarajah, S, Chan, S, and Afuecheta, E (2013). R package “VaRES”,Computes value at risk and expected shortfall for over 100 parametric distributions. R package version 1.0.
Published Book Chapter: Chan, S, and Nadarajah, S. Estimation methods for value at risk. Chapter 12 of Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications (edited by F. Longin), pp. 283-356. John Wiley and Sons, Chichester. (2016)
