- Associate Editor of International Journal of Finance & Economics
- Member of University Senate
- Director of Undergraduate Studies
- Part 2 Cohort Lead
Areas of interest
- Financial Econometrics
- Change-Point Detection
- Statistical Forecasting
- Functional Data Analysis
- Futures Market
- Energy Economics
I am interested in supervising research on functional data analysis in finance. Please visit the description on FindAPhD for details.
My previous PhD students have been appointed as Assistant Professors (first placements) in UK and China, such as the University of East Anglia and Sun Yat-Sen University.
My main research focuses on the econometrics of change-points (structural breaks), functional data analysis, and empirical applications of those in macroeconomics and finance. Additionally, I am also interested in using techniques of data analytics and machine learning for operations management. My theoretical work has been published in Annals of Statistics, Journal of Econometrics, Econometric Reviews, etc. My applied work has appeared in International Journal of Forecasting, Energy Economics, among others.
Before joining the University of Reading in 2018, I was a postdoctoral research associate in statistical forecasting at Cardiff Business School, Cardiff University, where I worked on an Engineering and Physical Sciences Research Council (EPSRC) project. In 2017, I received my PhD degree from the University of Birmingham, where I was funded by the Economic and Social Research Council (ESRC). In 2016, I was awarded a Royal Economic Society (RES) junior fellowship.
I serve as an Associate Editor of the International Journal of Finance and Economics (Wiley) which has an Association of Business Schools 3* ranking.
Academic qualificationsI hold a PhD in Economics, a MSc (distinction) in Money, Banking and Finance, a BSc in Economics, and a BEng in Electrical Engineering and Automation. I am also a Fellow of the Higher Education Academy.
- Pan, W. , Reade, J. ORCID: 0000-0002-8610-530X , Wang, S. ORCID: 0000-0003-2113-5521 (2022) Measuring US regional economic uncertainty. Journal of Regional Science ISSN: 1467-9787 | doi: https://dx.doi.org/10.1111/jors.12590
- Horváth, L. , Kokoszka, P. , VanderDoes, J. , Wang, S. ORCID: 0000-0003-2113-5521 (2022) Inference in functional factor models with applications to yield curves. Journal of Time Series Analysis ISSN: 1467-9892 | doi: https://dx.doi.org/10.1111/jtsa.12642
- Liu, Z. , Lu, S. , Wang, S. ORCID: 0000-0003-2113-5521 (2021) Asymmetry, tail risk and time series momentum. International Review of Financial Analysis , 78 ISSN: 1057-5219 | doi: https://dx.doi.org/10.1016/j.irfa.2021.101938
- Bouri, E. , Lau, C. , Saeed, T. , Wang, S. ORCID: 0000-0003-2113-5521 , Zhao, Y. (2021) On the intraday return curves of Bitcoin: predictability and trading opportunities. International Review of Financial Analysis , 76 ISSN: 1057-5219 | doi: https://dx.doi.org/10.1016/j.irfa.2021.101784
- Han, X. , Liu, Z. , Wang, S. ORCID: 0000-0003-2113-5521 (2021) An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. Journal of Commodity Markets ISSN: 2405-8513 | doi: https://dx.doi.org/10.1016/j.jcomm.2021.100188
- Wang, S. ORCID: 0000-0003-2113-5521 , Rangan, G. , Yue-Jun, Z. (2021) Bear, bull, sidewalk, and crash: the evolution of the US stock market using over a century of daily data. Finance Research Letters ISSN: 1544-6123 | doi: https://dx.doi.org/10.1016/j.frl.2021.101998
- Pan, W. , Wang, X. , Wang, S. ORCID: 0000-0003-2113-5521 (2021) Measuring economic uncertainty in China. Emerging Markets Finance and Trade ISSN: 1540-496X | doi: https://dx.doi.org/10.1080/1540496X.2021.1873764
- Horváth, L. , Kokoszka, P. , Wang, S. ORCID: 0000-0003-2113-5521 (2021) Monitoring for a change point in a sequence of distributions. Annals of Statistics , 49 (4). pp. 2271-2291. ISSN: 2168-8966 | doi: https://dx.doi.org/10.1214/20-AOS2036
- Apergis, N. , Lau, C. , Şen, F. , Wang, S. ORCID: 0000-0003-2113-5521 (2021) Market integration between Turkey and Eurozone countries. Emerging Markets Finance and Trade , 57 (9). pp. 2674-2686. ISSN: 1540-496X | doi: https://dx.doi.org/10.1080/1540496X.2019.1658070
- Li, H. , Liu, Z. , Wang, S. ORCID: 0000-0003-2113-5521 (2020) Vines climbing higher: risk management for commodity futures markets using a regular vine copula approach. International Journal of Finance and Economics ISSN: 1099-1158 | doi: https://dx.doi.org/10.1002/ijfe.2280
- Bouri, E. , Gupta, R. , Wang, S. ORCID: 0000-0003-2113-5521 (2020) Nonlinear contagion between stock and real estate markets: international evidence from a local Gaussian correlation approach. International Journal of Finance and Economics ISSN: 1099-1158 | doi: https://dx.doi.org/10.1002/ijfe.2261
- Apergis, N. , Gozgor, G. , Lau, C. , Wang, S. (2020) Dependence structure in the Australian electricity markets: new evidence from regular vine copulae. Energy Economics , 90 ISSN: 0140-9883 | doi: https://dx.doi.org/10.1016/j.eneco.2020.104834
- Bonato, M. , Gupta, R. , Lau, C. , Wang, S. (2020) Moments-based spillovers across gold and oil markets. Energy Economics , 89 ISSN: 0140-9883 | doi: https://dx.doi.org/10.1016/j.eneco.2020.104799
- Horváth, L. , Kokoszka, P. , Wang, S. (2020) Testing normality of data on a multivariate grid. Journal of Multivariate Analysis , 179 ISSN: 0047-259X | doi: https://dx.doi.org/10.1016/j.jmva.2020.104640
- Chen, C. , Liu, Y. , Wang, S. , Sun, X. , Di Cairano-Gilfedder, C. , Titmus, S. , Syntetos, A. (2020) Predictive maintenance using cox proportional hazard deep learning. Advanced Engineering Informatics , 44 ISSN: 1474-0346 | doi: https://dx.doi.org/10.1016/j.aei.2020.101054
- Balcilar, M. , Gupta, R. , Wang, S. , Wohar, M. (2020) Oil price uncertainty and movements in the US Government bond risk premia. North American Journal of Economics and Finance , 52 ISSN: 1062-9408 | doi: https://dx.doi.org/10.1016/j.najef.2020.101147
- Horváth, L. , Liu, Z. , Rice, G. , Wang, S. (2020) Sequential monitoring for changes from stationarity to mild non-stationarity. Journal of Econometrics , 215 (1). pp. 209-238. ISSN: 0304-4076 | doi: https://dx.doi.org/10.1016/j.jeconom.2019.08.010
- Horváth, L. , Liu, Z. , Rice, G. , Wang, S. (2020) A functional time series analysis of forward curves derived from commodity futures. International Journal of Forecasting , 36 (2). pp. 646-665. ISSN: 0169-2070 | doi: https://dx.doi.org/10.1016/j.ijforecast.2019.08.003
- Apergis, N. , Gozgor, G. , Lau, C. , Wang, S. (2019) Decoding the Australian electricity market: new evidence from three-regime hidden semi-Markov model. Energy Economics , 78 pp. 129-142. ISSN: 0140-9883 | doi: https://dx.doi.org/10.1016/j.eneco.2018.10.038
- Antoch, J. , Hanousek, J. , Horváth, L. , Hušková, M. , Wang, S. (2019) Structural breaks in panel data: large number of panels and short length time series. Econometric Reviews ISSN: 1532-4168 | doi: https://dx.doi.org/10.1080/07474938.2018.1454378
- Goltsos, T. , Ponte, B. , Wang, S. , Liu, Y. , Naim, M. , Syntetos, A. (2019) The boomerang returns? Accounting for the impact of uncertainties on the dynamics of remanufacturing systems. International Journal of Production Research , 57 (23). pp. 7361-7394. ISSN: 0020-7543 | doi: https://dx.doi.org/10.1080/00207543.2018.1510191
- Bouri, E. , Gupta, R. , Lau, C. , Roubaud, D. , Wang, S. (2018) Bitcoin and global financial stress: a copula-based approach to dependence and causality in the quantiles. The Quarterly Review of Economics and Finance , 69 pp. 297-307. ISSN: 1062-9769 | doi: https://dx.doi.org/10.1016/j.qref.2018.04.003
- Liu, Z. and Wang, S. (2017) Understanding the Chinese stock market: international comparison and policy implications. Economic and Political Studies , 5 (4). pp. 441-455. ISSN: 2095-4816 | doi: https://dx.doi.org/10.1080/20954816.2017.1384616
- Liu, Z. and Wang, S. (2017) Decoding Chinese stock market returns: three-state hidden semi-Markov model. Pacific-Basin Finance Journal , 44 pp. 127-149. ISSN: 0927538X | doi: https://dx.doi.org/10.1016/j.pacfin.2017.06.007
- Lau, M. , Vigne, S. , Wang, S. , Yarovaya, L. (2017) Return spillovers between white precious metal ETFs: the role of oil, gold, and global equity. International Review of Financial Analysis , 52 pp. 316-332. ISSN: 1057-5219 | doi: https://dx.doi.org/10.1016/j.irfa.2017.04.001
- Horváth, L. , Pouliot, W. , Wang, S. (2017) Detecting at-most-m changes in linear regression models. Journal of Time Series Analysis , 38 (4). pp. 552-590. ISSN: 1467-9892 | doi: https://dx.doi.org/10.1111/jtsa.12228
- Liu, Z. , Han, D. , Wang, S. (2016) Testing bubbles: exuberance and collapse in the Shanghai a-share stock market. In: Song, L. , Garnaut, R. , Cai, F. , Johnston, L. , (eds.) China's New Sources of Economic Growth. , 1. CHINA’S NEW SOURCES OF ECONOMIC GROWTH , 1 pp. 247-270. ISBN: 9781760460358 | doi: https://dx.doi.org/10.22459/CNSEG.07.2016.11