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Associate Professor Simon Kwok is an academic in the School of Economics at The University of Sydney. He holds a PhD in Economics from Cornell University (2012), along with a BSc (Hons) and MPhil from HKU. His research focuses on time series econometrics, statistics, and finance, with particular expertise in specification tests of time series and point process models, tests of Granger causality, and their empirical applications.
His research interests span multiple areas of financial economics:
- Asset and Derivative Pricing
- High Frequency Finance
- Program Evaluation
- Market Microstructure
- Credit Contagion
- Financial Contagion
Professor Kwok's recent publications demonstrate a strong focus on cryptocurrency markets, financial bubbles, and high-frequency data analysis. His work often involves collaborations with researchers like Robert Jarrow and Michael Leong. His research has practical implications for risk management, portfolio construction, and understanding market dynamics, as evidenced by his 2023 study finding that high-risk cryptocurrencies generally underperform their low-risk counterparts.
His notable scientific contributions include:
- Developing tests for autocorrelated jump occurrences in financial markets
- Studying asset price bubble dynamics and explosion time characterization
- Investigating Bitcoin spillovers and cryptocurrency risk exposures
- Creating the PCDID Approach for Difference-in-Differences analysis
Professor Kwok supervises graduate students in econometrics, statistics, and finance. He is currently advising John BILSEL on "Long term Stock-Bond Correlation Dynamics." His work has received funding for research in financial econometrics and time series analysis, with applications to market microstructure and financial contagion.
He is also a member of The University of Sydney Nano Institute, indicating interdisciplinary research interests that extend beyond traditional economics into complex systems analysis.
