Shixuan Wang

Email:
shixuan.wang@reading.ac.uk
Phone:
+44 (0) 118 378 6031
Job title:
Associate Professor

Responsibilities:

Director of Undergraduate Studies
University Senate member

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.

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 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.

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

Liu, Z. , Lu, S. , Wang, S. ORCID: 0000-0003-2113-5521 (2021) Asymmetry, tail risk and time series momentum. International Review of Financial Analysis ISSN: 1057-5219
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

Shixuan Wang

Areas of interest

Postgraduate supervision

Background

Academic qualifications

Websites/blogs

Publications

2021

2020

2019

2018

2017

2016