Dr Serguei Novak
| Name | Dr Serguei Novak |
|---|---|
| Job title | SL in Finance |
| Research institute | |
| Primary appointment | Design Engineering & Mathematics |
| Email address | S.Novak@mdx.ac.uk |
| ORCID | https://orcid.org/0000-0001-7929-7641 |
| Contact category | Academic staff |
Biography
Biography DSc, PhD, MSc.
Teaching I teach "Risk measurement" and "Portfolio analysis" modules to MSc students.
Education and qualifications
Dsc
PhD
MSc.
Grants
Grants from the American Philosophical Society, BSF, International Science Foundation, LMS, Royal Statistical Society, EPSRC.
The recent grant is from EPSRC in 2022-23.
10 Mar 2022
EP/W010607/1
EPSRC
Prizes and Awards
Evidence to public body
Reviewer to a number of international journals.
Annals of Probability, Bernoulli, etc.
External activities
Chair of sections at a number of international conferences, external examiner for a number of modules at the London Metropolitan University.
External examiner
Research outputs
Compound Poisson approximation
Čekanavičius, V. and Novak, S. 2024. Compound Poisson approximation. New York, NY Chapman & Hall.On Poisson approximation
Novak, S. 2024. On Poisson approximation. Journal of Theoretical Probability. https://doi.org/10.1007/s10959-023-01310-4On the T-test
Novak, S. 2022. On the T-test. Statistics & Probability Letters. 189. https://doi.org/10.1016/j.spl.2022.109562Compound Poisson approximation
Čekanavičius, V. and Novak, S. 2022. Compound Poisson approximation. Probability Surveys. 19, pp. 271-350. https://doi.org/10.1214/22-PS8Poisson approximation. Addendum
Novak, S. 2021. Poisson approximation. Addendum. Probability Surveys. 18, pp. 272-275. https://doi.org/10.1214/21-PS2Poisson approximation in terms of the Gini-Kantorovich distance
Novak, S. 2021. Poisson approximation in terms of the Gini-Kantorovich distance. Extremes. 24 (1), pp. 64-87. https://doi.org/10.1007/s10687-020-00392-1On the T-test
Novak, S. 2020. On the T-test.Poisson approximation
Novak, S. 2019. Poisson approximation. Probability Surveys. 16, pp. 228-276. https://doi.org/10.1214/18-PS318On the accuracy of poisson approximation
Novak, S. 2019. On the accuracy of poisson approximation. Extremes. 22 (4), pp. 729-748. https://doi.org/10.1007/s10687-019-00350-6Non-parametric lower bounds and information functions
Novak, S. 2018. Non-parametric lower bounds and information functions. ISNPS-Third Conference of the International Society for Nonparametric Statistics (ISNPS). Avignon, France 11 - 16 Jun 2016 Springer. pp. 69-83 https://doi.org/10.1007/978-3-319-96941-1On the length of the longest head run
Novak, S. 2017. On the length of the longest head run. Statistics & Probability Letters. 30, pp. 111-114. https://doi.org/10.1016/j.spl.2017.06.020Asymptotic properties of the distribution of the length of the longest head run
Novak, S. 1988. Asymptotic properties of the distribution of the length of the longest head run. Thesis Russian Academy of Sciences Institute of Mathematics (Novosibirsk)Measures of financial risk
Novak, S. 2016. Measures of financial risk. in: Longin, F. (ed.) Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications Wiley. pp. 215-237Limit theorems and estimates of rates of convergence in extreme value theory. – DSc thesis
Novak, S. 2013. Limit theorems and estimates of rates of convergence in extreme value theory. – DSc thesis. Thesis St. Petersburg branch of Steklov Institute of Mathematics, Russian Academy of Sciences, and St. Petersburg University St. Petersburg Department of Steklov Institute of MathematicsOn measures of financial risk
Novak, S. 2015. On measures of financial risk. International Conference on Risk Analysis ICRA 6 / RISK 2015. Barcelona, Spain 26 - 29 May 2015 FUNDACIÓN MAPFRE. pp. 541-550Lower bounds to the accuracy of inference on heavy tails
Novak, S. 2014. Lower bounds to the accuracy of inference on heavy tails. Bernoulli. 20 (2), pp. 979-989. https://doi.org/10.3150/13-BEJ512On the accuracy of inference on heavy-tailed distributions
Novak, S. 2013. On the accuracy of inference on heavy-tailed distributions. Theory of Probability and Its Applications. 58 (3), pp. 509-518. https://doi.org/10.1137/S0040585X97986710On exceedances of high levels
Novak, S. and Xia, A. 2012. On exceedances of high levels. Stochastic Processes and their Applications. 122 (2), pp. 582-599. https://doi.org/10.1016/j.spa.2011.09.003Extreme value methods with applications to finance.
Novak, S. 2011. Extreme value methods with applications to finance. Chapman & Hall / CRC Press.On limiting cluster size distributions for processes of exceedances for stationary sequences.
Borovkov, K. and Novak, S. 2010. On limiting cluster size distributions for processes of exceedances for stationary sequences. Statistics & Probability Letters. 80 (23-24), pp. 1814-1818. https://doi.org/10.1016/j.spl.2010.08.006A remark concerning value-at-risk
Novak, S. 2010. A remark concerning value-at-risk. International Journal of Theoretical and Applied Finance. 13 (4), pp. 507-515. https://doi.org/10.1142/S0219024910005917Impossibility of consistent estimation of the distribution function of a sample maximum.
Novak, S. 2010. Impossibility of consistent estimation of the distribution function of a sample maximum. Statistics. 44 (1), pp. 25-30. https://doi.org/10.1080/02331880902986497Advances in extreme value theory with applications to finance.
Novak, S. 2009. Advances in extreme value theory with applications to finance. in: Keene, J. (ed.) New business and finance research developments. New York Nova Science Publishers. pp. 199-251Lower bounds to the accuracy of sample maximum estimation.
Novak, S. 2009. Lower bounds to the accuracy of sample maximum estimation. Theory of stochastic processes. 15(31) (2), pp. 156-161.Evaluating currency risk in emerging markets.
Novak, S., Dalla, V. and Giraitis, L. 2007. Evaluating currency risk in emerging markets. Acta applicandae mathematicae.. 97 (1-3), pp. 163-175.Measures of financial risks and market crashes.
Novak, S. 2007. Measures of financial risks and market crashes. Theory of stochastic processes. 13 (1-2), pp. 182-193.The magnitude of a market crash can be predicted
Novak, S. and Beirlant, J. 2006. The magnitude of a market crash can be predicted. Journal of Banking and Finance. 30 (2), pp. 453-462.A new characterization of the normal law
Novak, S. 2006. A new characterization of the normal law. Statistics & Probability Letters. 77 (1), pp. 95-98.On self-normalized sums and student's statistic
Novak, S. 2005. On self-normalized sums and student's statistic. Theory of Probability and Its Applications. 49 (2), pp. 336-344. https://doi.org/10.1137/S0040585X97981081On Gebelein's correlation coefficient
Novak, S. 2004. On Gebelein's correlation coefficient. Statistics & Probability Letters. 69 (3), pp. 299-303.On the accuracy of multivariate compound Poisson approximation
Novak, S. 2003. On the accuracy of multivariate compound Poisson approximation. Statistics & Probability Letters. 62 (1), pp. 35-43. https://doi.org/10.1016/S0167-7152(02)00422-4Inference on heavy tails from dependent data.
Novak, S. 2002. Inference on heavy tails from dependent data. Siberian advances in mathematics. 12 (2), pp. 73-96.On self-normalised sums [supplement]
Novak, S. 2002. On self-normalised sums [supplement]. Mathematical methods of statistics.. 11 (2), pp. 256-258.Long head runs and long match patterns.
Novak, S. and Embrechts, P. 2002. Long head runs and long match patterns. in: Sandmann, K. and Schönbucher, P. (ed.) Advances in finance and stochastics: essays in honour of Dieter Sondermann. London Springer. pp. 57-69Compound poisson approximation for the distribution of extremes
Novak, S., Barbour, A. and Xia, A. 2002. Compound poisson approximation for the distribution of extremes. Advances in applied probability. 34 (1), pp. 223-240. https://doi.org/10.1239/aap/1019160958Multilevel clustering of extremes
Novak, S. 2002. Multilevel clustering of extremes. Stochastic Processes and their Applications. 97 (1), pp. 59-75. https://doi.org/10.1016/S0304-4149(01)00123-5On the mode of an unknown probability distribution
Novak, S. 2000. On the mode of an unknown probability distribution. Theory of Probability and Its Applications. 44 (1), pp. 109-113. https://doi.org/10.1137/s0040585x97977392On self-normalised sums.
Novak, S. 2000. On self-normalised sums. Mathematical methods of statistics.. 9 (4), pp. 415-436.Confidence intervals for a tail index estimator
Novak, S. 2000. Confidence intervals for a tail index estimator. in: Franke, J., Stahl, G. and Hardle, W. (ed.) Measuring risk in complex stochastic systems London Springer.Generalised kernel density estimator
Novak, S. 1999. Generalised kernel density estimator. Theory of Probability and Its Applications. 44 (3), pp. 570-583. https://doi.org/10.1137/S0040585X97977781On blocks and runs estimators of extremal index
Weissman, I. and Novak, S. 1998. On blocks and runs estimators of extremal index. Journal of Statistical Planning and Inference. 66 (2), pp. 281-288. https://doi.org/10.1016/S0378-3758(97)00095-5On the limiting distribution of extremes
Novak, S. 1998. On the limiting distribution of extremes. Siberian Adv. Math.. 8 (2), pp. 70-95.On the joint limiting distribution of the first and the second maxima
Novak, S. and Weissman, I. 1998. On the joint limiting distribution of the first and the second maxima. Communications In Statistics. Stochastic Models. 14 (1-2), pp. 311-318. https://doi.org/10.1080/15326349808807473On the Erdös-Rènyi maximum of partial sums
Novak, S. 1998. On the Erdös-Rènyi maximum of partial sums. Theory of Probability and Its Applications. 42 (2), pp. 254-270. https://doi.org/10.1137/S0040585X97976118On extreme values in stationary sequences
Novak, S. 1996. On extreme values in stationary sequences. Siberian Adv. Math.. 6 (3), pp. 68-80.On the distribution of the ratio of sums of random variables
Novak, S. 1996. On the distribution of the ratio of sums of random variables. Theory of Probability and Its Applications. 41 (3), pp. 479-503. https://doi.org/10.1137/S0040585X97975228Statistical estimation of the maximal eigenvalue of a matrix
Novak, S. 1996. Statistical estimation of the maximal eigenvalue of a matrix. Russian Math. (Izvestia Vys. Ucheb. Zaved.). 41 (5), pp. 46-49.Long match patterns in random sequences
Novak, S. 1995. Long match patterns in random sequences. Siberian Adv. Math.. 5 (3), pp. 128-140.Asymptotic expansions for the maximum of random number of random variables
Novak, S. 1994. Asymptotic expansions for the maximum of random number of random variables. Stochastic Processes and their Applications. 51 (2), pp. 297-305. https://doi.org/10.1016/0304-4149(94)90047-7Poisson approximation for the number of long match patterns in random sequences
Novak, S. 1994. Poisson approximation for the number of long match patterns in random sequences. Theory of Probability and Its Applications. 39 (4), pp. 593-603. https://doi.org/10.1137/1139045On the asymptotic distribution of the number of random variables exceeding a given level
Novak, S. 1993. On the asymptotic distribution of the number of random variables exceeding a given level. Siberian advances in mathematics. 3 (4), pp. 108-122.Inference about the Pareto--type distribution
Novak, S. 1992. Inference about the Pareto--type distribution. Transactions of the Eleventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes. Prague 26 - 31 Aug 1990 pp. 251-258Longest runs in a sequence of m-dependent random variables
Novak, S. 1992. Longest runs in a sequence of m-dependent random variables. Probability Theory and Related Fields. 91 (3-4), pp. 269-281. https://doi.org/10.1007/BF01192057Rate of convergence in the limit theorem for the length of the longest head run
Novak, S. 1991. Rate of convergence in the limit theorem for the length of the longest head run. Siberian Mathematical Journal. 32 (3), pp. 444-448. https://doi.org/10.1007/BF00970481On the distribution of the maximum of random number of random variables
Novak, S. 1991. On the distribution of the maximum of random number of random variables. Theory Probab. Appl.. 36 (4), pp. 714-721.Asymptotics of the distribution of the ratio of sums of random variables
Novak, S. and Utev, S. 1990. Asymptotics of the distribution of the ratio of sums of random variables. Siberian Mathematical Journal. 31 (5), pp. 781-788. https://doi.org/10.1007/BF00974491Asymptotic expansions in the problem of the longest head run for Markov chain with two states
Novak, S. 1989. Asymptotic expansions in the problem of the longest head run for Markov chain with two states. Trudy Inst. Math. (Novosibirsk). 13, pp. 136-147.Time intervals of constant sojourn of a homogeneous Markov chain in a fixed subset of states
Novak, S. 1988. Time intervals of constant sojourn of a homogeneous Markov chain in a fixed subset of states. Siberian Mathematical Journal. 29 (1), pp. 100-109. https://doi.org/10.1007/BF009750213124
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