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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, 2015
MS, Mathematical Finance, University of Manchester, 2012
BS, Mathematics With Finance, University of Manchester, 2011
Professional experience
Epsrc Doctoral Prize Fellow, University of Manchester, 2015 - 2017
Memberships
American Statistical Association (ASA), August 2015
Institute of Mathematical Statistics (IMS), May 2015
Contact
+971 6 515 4458
Dr. Stephen Chan
Associate Professor
PhD, University of Manchester, United Kingdom
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
Jeffrey Chu, Stephen Chan And Yuanyuan Zhang. An analysis of the return-volume relationship in decentralised finance (DeFi), International Review Of Economics & Finance, 1 May 2023
Yuanyuan Zhang, Stephen Chan And Jeffrey Chu. The adaptive market hypothesis of Decentralized finance (DeFi), Applied Economics, 31 October (4th Quarter/Autumn) 2022
Yuanyuan Zhang, Stephen Chan, Jeffrey Chu And Shou-hsing Shih. The adaptive market hypothesis of Decentralized finance (DeFi), Applied Economics, 31 October (4th Quarter/Autumn) 2022
Stephen Chan, Jeffrey Chu, Yuanyuan Zhang And Saralees Nadarajah. An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies, Research In International Business And Finance, 22 September 2021
Jeffrey Chu, Stephen Chan And Yuanyuan Zhang. Bitcoin versus high-performance technology stocks in diversifying against global stock market indices, Physica A: Statistical Mechanics And Its Applications, 15 June 2021
Emmanuel Afuecheta, Saralees Nadarajah And Stephen Chan. Folded Bivariate Distributions as Models for Magnitude Correlation, Revstat-statistical Journal, 5 June 2021
Stephen Chan, Jeffrey Chu, Yuanyuan Zhang And Saralees Nadarajah. Count regression models for COVID-19, Physica A-statistical Mechanics And Its Applications, 1 February 2021
Emmanuel Afuecheta, Artur Semeyutin, Stephen Chan, Saralees Nadarajah And Andres Perez Ruiz, Diego. Compound distributions for financial returns, Plos One, 20 October (4th Quarter/Autumn) 2020
Saralees Nadarajah, Emmanuel Afuecheta And Stephen Chan. Dependence between bitcoin and African currencies, Quality And Quantity, 1 October (4th Quarter/Autumn) 2020
Stephen Chan, Jeffrey Chu, Yuanyuan Zhang And Saralees Nadarajah. Blockchain and Cryptocurrencies, Journal Of Risk And Financial Management, 9 September 2020
Emmanuel Afuecheta, Saralees Nadarajah And Stephen Chan. A Statistical Analysis of Global Economies Using Time Varying Copulas, Computational Economics, 9 July (3rd Quarter/Summer) 2020
Jeffrey Chu, Yuanyuan Zhang, Stephen Chan And Saralees Nadarajah. Bias reduction in the population size estimation of large data sets, Computational Statistics And Data Analysis, 1 May 2020
Saralees Nadarajah And Stephen Chan. On moments of the unit Lindley distribution, Journal Of Applied Statistics, 3 April (2nd Quarter/Spring) 2020
Jeffrey Chu, Stephen Chan And Yuanyuan Zhang. High frequency momentum trading with cryptocurrencies, Research In International Business And Finance, 1 April (2nd Quarter/Spring) 2020
Stephen Chan And Saralees Nadarajah. Extreme Values and Financial Risk, Journal Of Risk And Financial Management, 11 February 2020
Yuanyuan Zhang, Stephen Chan, Jeffrey Chu And Hana Sulieman. On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market, Journal Of Risk And Financial Management, January (1st Quarter/Winter) 2020
Yuanyuan Zhang, Jeffrey Chu, Stephen Chan And Brandon Chan. The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk, Physica A: Statistical Mechanics And Its Applications, 15 July (3rd Quarter/Summer) 2019
Jeffrey Chu, Yuanyuan Zhang And Stephen Chan. The adaptive market hypothesis in the high frequency cryptocurrency market, International Review Of Financial Analysis, 1 July (3rd Quarter/Summer) 2019
Emmanuel Afuecheta, Stephen Chan And Saralees Nadarajah. Flexible Models for Stock Returns Based on Student's T Distribution, Manchester School, 1 June 2019
Stephen Chan And Saralees Nadarajah. Risk: An R Package for Financial Risk Measures, Computational Economics, April (2nd Quarter/Spring) 2019
Saralees Nadarajah And Stephen Chan. The exact distribution of the sum of stable random variables, Journal Of Computational And Applied Mathematics, 15 March 2019
Saralees Nadarajah, Emmanuel Afuecheta And Stephen Chan. Ordered random variables, Opsearch, 4 March 2019
Stephen Chan, Yuanyuan Zhang And Saralees Nadarajah. Extreme value analysis of high‐frequency cryptocurrencies, High Frequency, 18 January (1st Quarter/Winter) 2019
Stephen Chan. Editorial for Special Issue “Finance, Financial Risk Management and their Applications”, International Journal Of Financial Studies, 1 January (1st Quarter/Winter) 2019
Yuanyuan Zhang, Stephen Chan, Jeffrey Chu And Saralees Nadarajah. Stylised facts for high frequency cryptocurrency data, Physica A: Statistical Mechanics And Its Applications, 1 January (1st Quarter/Winter) 2019
Saralees Nadarajah, Jeffrey Chu And Stephen Chan. An alternative measure of positive correlation, International Journal Of Mathematical Education In Science And Technology, 9 October (4th Quarter/Autumn) 2018
Saralees Nadarajah, Emmanuel Afuecheta And Stephen Chan. On the distribution of maximum of multivariate normal random vectors, Communications In Statistics - Theory And Methods, 1 October (4th Quarter/Autumn) 2018
Saralees Nadarajah And Stephen Chan. A convenient expression for the boys function, Mathematical Scientist, 1 June 2018
Stephen Chan. Nuclear Catastrophe Risk Bonds in a Markov Dependent Environment, Journal Of Risk And Uncertainty In Engineering Systems, 1 December 2017
Stephen Chan. A Compendium of Copulas, Statistica, 1 November 2017
Stephen Chan. GARCH Modelling of Cryptocurrencies, Journal Of Risk And Financial Management, 1 October (4th Quarter/Autumn) 2017
Saralees Nadarajah And Stephen Chan. Elementary expressions for moments of truncated negative binomial random variables, Communications In Statistic - Theory And Methods, 1 October (4th Quarter/Autumn) 2017
Saralees Nadarajah And Stephen Chan. Discrete distribution based on inter arrival times with application to football data, Communications In Statistics: Theory And Methods, 1 September 2017
Stephen Chan, Saralees Nadarajah And Emmanuel Afuecheta. Tabulations for value at risk and expected shortfall, Communications In Statistics - Theory And Methods, 18 June 2017
Saralees Nadarajah And Stephen Chan. Estimation Methods for Value at Risk, April (2nd Quarter/Spring) 2016
Saralees Nadarajah, Emmanuel Afuecheta And Stephen Chan. GARCH modeling of five popular commodities, Empirical Economics, 2015
Stephen Chan And Saralees Nadarajah. Extreme value analysis of electricity demand in the UK, Applied Economics Letters, 13 October (4th Quarter/Autumn) 2015
Saralees Nadarajah, Bo Zhang And Stephen Chan. Estimation methods for expected shortfall, Quantitative Finance, 2014
Conference Presentations
Decentralized Finance for Actuaries, The Society Of Actuaries (soa) 2022 Impact Conference, 26 October 2022
Return-volume relationship in DeFi, Royal Statistical Society (rss) 2022 International Conference, 12 September 2022
Bitcoin Versus High-Performance Technology Stocks In Diversifying Against Global Stock Market Indices, Seminar At The Interinstitutional Graduate Program In Statistics At Federal University Of São Carlos, 9 April 2021
The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies, 2019 Ims China Meeting, 6 July 2019
Stylised facts for high frequency cryptocurrency data, 3rd International Conference On Economics, Finance And Statistics, Conference, 25 April 2019
The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk, Joint Statistical Meetings, 28 July 2018
Grants and sponsorships
Grant, Faculty Research Grant 2023 (FRG23), AUS, 1 May 2023 - 31 May 2025
Grant, Faculty Research Grant 2021 (FRG21), AUS, 1 May 2021 - 31 May 2024
Grant, International Research, Cooperation and Expansion Support Grant, Renmin University of China, 1 September 2021 - 30 August 2023
Grant, Faculty Research Grant 2022 (FRG22), AUS, 1 June 2022 - 31 May 2023
Grant, Manchester Institute for Mathematical Sciences (MIMS) funding, University of Manchester - Manchester Institute for Mathematical Sciences (MIMS), 10 January 2022 - 30 July 2022
Grant, Faculty Research Grant 2020 (FRG20), AUS, 1 May 2020 - 1 June 2022
Grant, Faculty Research Grant 2019 - (Blockchain and Cryptocurrencies), AUS: FRG19, 1 May 2019 - 1 June 2021
Grant, 2018 Enhanced Faculty Research Grant (EFRG Smart Cities Research), AUS, 25 May 2018 - 25 May 2020
Grant, Bank of England Research Donation Committee Fund for the Workshop and Conference (2018 Mathematics for Industry Conference: Blockchain and Cyptocurrencies), Bank of England, 8 September 2018 - 20 September 2018
Grant, MI – NET Industrial Workshop Grant (2018 Mathematics for Industry Conference: Blockchain and Cyptocurrencies), The European Cooperation in Science and Technology (COST), 8 September 2018 - 20 September 2018
Data Science Institute Travel Bursary Fund, University of Manchester, 23 October 2017 - 23 October 2017
CAS Seed Grant, American University of Sharjah, 28 September 2017 - 28 September 2017
Grant, Institute of Mathematical Statistics (IMS) Travel Award, Institute of Mathematical Statistics, 5 April 2017 - 5 April 2017
Short –Term Scientific Mission fund, Mathematics for industry Network, European Cooperation in Science and Technology, 30 November 2016 - 30 November 2016
Data Science Institute Travel Bursary Fund, University of Manchester, 1 September 2016 - 1 September 2016
Best poster - Risk Analysis section in ASA, American Statistical Association (ASA), 29 July 2016 - 29 July 2016
Grant, EPSRC Doctoral prize fellow (PI), Engineering and Physical Sciences Research Council (EPSRC), 1 September 2015 - 1 September 2015
