Shixuan Wang

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+44 (0) 118 378 6031
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Associate Professor
- Associate Editor of International Journal of Finance & Economics
- Member of University Senate
- Department Director of Academic Tutoring
Areas of interest
- Financial Econometrics
- Change-Point Detection
- Statistical Forecasting
- Functional Data Analysis
- Futures Market
- Energy Economics
Postgraduate supervision
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.
Background
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 research has been published in Annals of Statistics, Journal of Econometrics, Journal of Business & Economic Statistics, European Journal of Operational Research, 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 qualifications
I 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.Websites/blogs
Publications
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Lazar, E.
ORCID: 0000-0002-8761-0754 , Wang, S.
ORCID: 0000-0003-2113-5521 , Xue, X. (2023) Loss function-based change point detection in risk measures. European Journal of Operational Research , 310 (1). pp. 415-431. ISSN: 0377-2217 | doi: https://dx.doi.org/10.1016/j.ejor.2023.03.033
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Apergis, N.
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Pan, W.
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Reade, J.
ORCID: 0000-0002-8610-530X , Wang, S.
ORCID: 0000-0003-2113-5521 (2023) Modelling Australian electricity prices using indicator saturation. Energy Economics , 120 ISSN: 1873-6181 | doi: https://dx.doi.org/10.1016/j.eneco.2023.106616
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Liu, Z.
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Lu, S.
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Li, B.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2023) Time series momentum and reversal: intraday information from realized semivariance. Journal of Empirical Finance , 72 pp. 54-77. ISSN: 0927-5398 | doi: https://dx.doi.org/10.1016/j.jempfin.2023.03.001
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Li, B.
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Liu, Z.
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Teka, H.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2023) The evolvement of momentum effects in China: evidence from functional data analysis. Research in International Business and Finance , 64 ISSN: 1878-3384 | doi: https://dx.doi.org/10.1016/j.ribaf.2022.101833
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Rostami-Tabar, B.
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Goltsos, T.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2023) Forecasting for lead-time period by temporal aggregation: whether to combine and how. Computers in Industry , 145 ISSN: 0166-3615 | doi: https://dx.doi.org/10.1016/j.compind.2022.103803
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Wang, S.
ORCID: 0000-0003-2113-5521 , Syntetos, A. , Liu, Y. , Di Cairano-Gilfedder, C. , Naim, M. (2023) Improving automotive garage operations by categorical forecasts using a large number of variables. European Journal of Operational Research , 306 (2). pp. 893-908. ISSN: 0377-2217 | doi: https://dx.doi.org/10.1016/j.ejor.2022.06.062
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Horváth, L.
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Liu, Z.
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Rice, G.
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Wang, S.
ORCID: 0000-0003-2113-5521 , Zhan, Y. (2022) Testing stability in functional event observations with an application to IPO performance. Journal of Business and Economic Statistics ISSN: 0735-0015 | doi: https://dx.doi.org/10.1080/07350015.2022.2118127
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Pan, W.
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Reade, J.
ORCID: 0000-0002-8610-530X , Wang, S.
ORCID: 0000-0003-2113-5521 (2022) Measuring US regional economic uncertainty. Journal of Regional Science , 62 (4). pp. 1149-1178. ISSN: 1467-9787 | doi: https://dx.doi.org/10.1111/jors.12590
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Horváth, L.
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Kokoszka, P.
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VanderDoes, J.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2022) Inference in functional factor models with applications to yield curves. Journal of Time Series Analysis , 43 (6). pp. 872-894. ISSN: 1467-9892 | doi: https://dx.doi.org/10.1111/jtsa.12642
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Han, X.
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Liu, Z.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2022) An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. Journal of Commodity Markets , 25 ISSN: 2405-8513 | doi: https://dx.doi.org/10.1016/j.jcomm.2021.100188
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Pan, W.
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Wang, X.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2022) Measuring economic uncertainty in China. Emerging Markets Finance and Trade , 58 (5). pp. 1359-1389. ISSN: 1540-496X | doi: https://dx.doi.org/10.1080/1540496X.2021.1873764
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Li, H.
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Liu, Z.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2022) Vines climbing higher: risk management for commodity futures markets using a regular vine copula approach. International Journal of Finance and Economics , 27 (2). pp. 2438-2457. ISSN: 1099-1158 | doi: https://dx.doi.org/10.1002/ijfe.2280
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Bouri, E.
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Gupta, R.
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Wang, S.
ORCID: 0000-0003-2113-5521 (2022) Nonlinear contagion between stock and real estate markets: international evidence from a local Gaussian correlation approach. International Journal of Finance and Economics , 27 (2). pp. 2089-2109. ISSN: 1099-1158 | doi: https://dx.doi.org/10.1002/ijfe.2261
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Liu, Z.
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Lu, S.
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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
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Bouri, E.
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Lau, C.
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Saeed, T.
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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
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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 , 43 ISSN: 1544-6123 | doi: https://dx.doi.org/10.1016/j.frl.2021.101998
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Horváth, L.
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Kokoszka, P.
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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
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Apergis, N.
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Lau, C.
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Şen, F.
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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
- 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