Curriculum Vitae

DR. KOH YOU BENG

Senior Lecturer
  • Institute of Mathematical Sciences
    Faculty of Science
  • kohyoubeng
  • 603-79674315
  • 012-6787176

AREAS OF EXPERTISE

  • FINANCIAL MATHEMATICS
    Financial Time Series, Stochastic Processes, Computational Statistics, Bayesian Econometrics, Option Pricing

ACADEMIC QUALIFICATION

  • PhD (Financial Mathematics) (Hong Kong), (Financial Mathematics)
    The University of Hong Kong (Hku), Hong Kong
  • MSc (Distinction) (Stat) (UM), (Statistics)
    Universiti Malaya (UM)
  • BSc.(Hons) (Mathematical Economics) (UMS), (Mathematics With Economics)
    Universiti Malaysia Sabah (Ums)

AWARD AND STEWARDSHIP

  • CERTIFICATE OF EXCELLENT SERVICE
    University of Malaya, 2020 (University)
  • CERTIFICATE OF EXCELLENT SERVICE
    University of Malaya, 2019 (University)

PUBLICATIONS

Article in Journal
WoS
  1. De Khoo, Zhi; Ng, Kok Haur; Koh, You Beng; Ng, Kooi Huat (2024). Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE. 71. doi:10.1016/j.najef.2024.102112
  2. Ng, Ze-An; Koh, You-Beng; Loo, Tee-How; Yang, Hailiang (2024). Super-replication of life-contingent options under the Black-Scholes framework, JOURNAL OF APPLIED PROBABILITY. . doi:10.1017/jpr.2024.10
  3. Fo, Kee Wah; Ong, Seng Huat; Ng, Choung Min; Koh, You Beng (2023). An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data, AIMS MATHEMATICS. 8(12), 29116-29139. doi:10.3934/math.20231491
  4. Tan, Yiing Fei; Ng, Kok Haur; Koh, You Beng; Peiris, Shelton (2022). Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution, MATHEMATICS. 10(10). doi:10.3390/math10101621
  5. Zhou, Jing Jia; Ng, Kok Haur; Ng, Kooi Huat; Peiris, Shelton; Koh, You Beng (2022). Asymmetric Control Limits for Weighted-Variance Mean Control Chart with Different Scale Estimators under Weibull Distributed Process, MATHEMATICS. 10(22). doi:10.3390/math10224380
  6. Tan, C. Y., Koh, Y. B., Ng, K. H., & Ng, K. H. (2021). Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. North American Journal of Economics and Finance, 56, 17. doi: 10.1016/j.najef.2021.101377
  7. Tay, H. Z., Ng, K. H., Koh, Y. B., & Ng, K. H. (2020). MODEL SELECTION BASED ON VALUE-AT-RISK BACKTESTING APPROACH FOR GARCH-TYPE MODELS. Journal of Industrial and Management Optimization, 16(4), 1635-1654. doi: 10.3934/jimo.2019021
  8. Tay, Hao-Zhe; Ng, Kok-Haur; Koh, You-Beng; Ng, Kooi-Huat (2020). MODEL SELECTION BASED ON VALUE-AT-RISK BACKTESTING APPROACH FOR GARCH-TYPE MODELS, JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION. 16(4), 1635-1654. doi:10.3934/jimo.2019021
  9. Koh, Y. B., Bukhari, N. A., Mohamed, I. (2019). Parameter-driven state-space model for integer-valued time series with application. Journal of Statistical Computation and Simulation, 89(8), 1394-1409. doi:10.1080/00949655.2019.1582653
  10. Kok-Haur, N., You-Beng, K., Ah-Hin, P. (2019). MODELLING AND FORECASTING COUNT DATA WITH A MODEL BASED ON MULTIVARIATE POWER-NORMAL DISTRIBUTION: A COMPARATIVE STUDY WITH AN APPLICATION. Economic Computation and Economic Cybernetics Studies and Research, 53(3), 221-236. doi:10.24818/18423264/53.3.19.13
  11. Kok-Haur, Ng; You-Beng, Koh; Ah-Hin, Pooi (2019). MODELLING AND FORECASTING COUNT DATA WITH A MODEL BASED ON MULTIVARIATE POWER-NORMAL DISTRIBUTION: A COMPARATIVE STUDY WITH AN APPLICATION, ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. 53(3), 221-236. doi:10.24818/18423264/53.3.19.13
Others
  1. Pooi, A. H., & Koh, Y. B. (2016). Prediction of the Start of Next Recession. Journal of Accounting, Finance and Economics, 6(1), 21-29.
Article in Proceeding
  1. Koh, Y. B., Ng, Y. S., & Pooi, A. H. (2021). An indicator for month-trading of stocks. In ITM Web of Conferences (Vol. 36). EDP Sciences.
  2. Bukhari, N. A., Koh, Y. B., and Ibrahim, M. (2016). Moment structures of parameter-driven count time series models. AIP Conference Proceedings.

RESEARCH INTEREST

  • Financial time series (Volatility models, ACD, Long-memory, High-frequency)
  • Discrete-valued time series (INGARCH, INAR, Overdispersion , Underdispersion )
  • Bayesian Analysis (Sequential Monte Carlo, Gibbs Sampling, Particle Filter)
  • Computational Statistics (Machine Learning, LSTM, SVM)

RESEARCH PROJECT

National
  1. 2021 - 2024, Fundamental Research Grant Scheme (FRGS)
    On The Hazard Function Of Duration Models Applied To High Frequency Financial Data ( Principal Investigator(PI))
  2. 2015 - 2019, Fundamental Research Grant Scheme (FRGS)
    A Class Of Mixed Integer Time Series Models, Coherent Forecasting And Statistical Inference ( Co-Researcher)
  3. 2017 - 2019, Bantuan Khas Penyelidikan (BKP Special)
    Forecasting Of Financial Return Series Using Return Model : Stylized Facts And Distributional Assumption ( Principal Investigator(PI))
  4. 2013 - 2016, Geran Penyelidikan Universiti Malaya (UMRG)
    On Higher Approximation In Generalized Urn Model (UMRG - RP009C-13AFR) ( Co-researcher)

PAPER PRESENTED

INVITED SPEAKER
  1. An indicator for month-trading of stocks, The 16th IMT-GT International Conference on Mathematics, Statistics and Their Applications (ICMSA 2020), Centre for Mathematical Sciences Universiti Tunku Abdul Rahman, Malaysia (International) (23 Nov 2020 - 24 Nov 2020)
  2. Model selection based on value-at-risk backtests approach for Garch-type models, 62nd ISI WORLD STATISTICS CONGRESS 2019, International Statistical Institute, Department of Statistics, Malaysia, Bank Negara Malaysia and Malaysia Institute of Statistics (International) (18 Aug 2019 - 23 Aug 2019)
  3. TRADING STRATEGY BY USING MARKOV REGIME SWITCHING MODELS: THE MALAYSIA CASE, The 6th Malaysia Statistic Conference 2018, Bank Negara Malaysia, Jabatan Perangkaan Malaysia dan Malaysia Institute of Statistics (National) (19 Nov 2018 - 19 Nov 2018)
  4. The Regime-Switching Bubble Model:A Bayesian Gibbs-Sampling Approach, The 3rd International Statistical Conference 2016, ISM, University of Malaya (International) (09 Aug 2016 - 09 Aug 2016)
  5. Forecasting The Collapse of Speculative Bubbles: A Bayesian Gibb-sampling Approach, CMS workshop on Mathematics 2013, Center of Mathematical Sciences, UTAR (University) (30 Jan 2013 - 30 Jan 2013)
PRESENTER
  1. Time Series of Count, Sriwijaya University Research Visit , Faculty of Mathematics and Natural Sciences of Sriwijaya University, Indonesia (International) (16 Jul 2018 - 16 Jul 2018)
  2. Forecasting the Collapse of Speculative Bubbles: A Markov Regime-Switching Approach, The 16th International Congress on Insurance Mathematics and Economics (IME) , The University of Hong Kong (International) (28 Jun 2012 - 30 Jun 2012)
  3. Forecasting the Collapse of Speculative Bubbles: A Bayesian Gibbs-Sampling Approach, The 2012 International Conference on Actuarial and Financial Mathematics, Department of Statistics and Actuarial Science, College of Mathematics and Statistics, Chongqing University, China  (International) (16 Mar 2012 - 17 Mar 2012)

ACADEMIC/PROF. SERVICES

Evaluation
  1. (2020) North American Actuarial Journal, (Reviewer)
  2. (2020) Reviewer for ITISE2021 submission 69 : "Forecasting Electricity Prices Using Bid Data", (Reviewer)
  3. (2019) A member of External Advisory Committee for the School of Mathematical Sciences (SMS) of Sunway University, (Advisory Committee)
  4. (2019) External Examiner for examination of PhD Thesis: Stochastic Reserving in Non-Life Insurance , (External Examiner)
  5. (2018) Master Thesis by coursework: Tan Siow Yun (SQB170007) Modelling and Forecasting Integer-valued Date Using Ingarch-Type Models , (Internal Examiner)
  6. (2018) Master Thesis by coursework: Avy Lau Hui Chwin, Forecasting Volatilities with Range-Based Measures Using Threshold Conditional Autoregressive (CARR) Model , (Internal Examiner)
  7. (2016) Master's Thesis 1. Optimal Dynamic Treatment Regime for Anticoagulation Treatment 2. Some Imputation Methods for Missing Data 3. Statistical Methods in Modeling Count Data., (Internal Examiner)
Contribution to external organisation
  1. (2020) Program Committee Members of 6th International Conference on Artificial Intelligence and Fuzzy Logic Systems (AIFZ 2020) October 24-25, 2020, Sydney, Australia, AIRCC Publishing Corporation, International
  2. (2020) Program Committee Members of International Conference on Time Series and Forecasting (ITISE-2020) September 9 ~ 11 2020, Gran Canaria, Spain, University of Granada, International
  3. (2020) Expert Advisor (External Advisor) for Bachelor of Science in Actuarial Science, Sunway University, Sunway University, University
  4. (2019) Program Committee Members of 9th International Conference on Computer Science, Engineering and Applications (ICCSEA 2019) December 21~22, 2019, Dubai, UAE , AIRCC Publishing Corporation , International
  5. (2019) External Advisory Committee for the School of Mathematical Sciences of Sunway Unversity, Actuarial Science course, Sunway University, University
  6. (2019) Program Committee Members of 11th International Conference on Networks & Communications (NeCoM 2019) August 24~25, 2019, Vienna, Austria , AIRCC Publishing Corporation , International
  7. (2019) Program Committee Members of 5th International Conference on Artificial Intelligence and Fuzzy Logic Systems (AIFZ 2019) August 31 ~ September 01, 2019, Dubai, UAE, AIRCC Publishing Corporation , International
  8. (2019) Program Committee Membersof 6th International Conference on Computer Science, Engineering and Information Technology November 23 ~ 24, 2019, Zurich, Switzerland, AIRCC Publishing Corporation , International
  9. (2019) Reviewer for Journal of Business and Economics, Academic Star Publishing Company, International
  10. (2019) Program Committee Members of 6th International Conference on Advanced Computing (ADCO 2019), August 24~25, 2019, Vienna, Austria, AIRCC Publishing Corporation , International
  11. (2019) Program Committee Members of 6th International Conference on Artificial Intelligence & Applications (ARIA-2019) September 28 ~ 29, 2019, Copenhagen, Denmark, AIRCC Publishing Corporation , International
  12. (2019) Chairman, International Statistical Institute (ISI), International
  13. (2019) AMS 2020 Conference Technical Committee, INTERNATIONAL ACADEMY OF SCIENCE AND ENGINEERING FOR DEVELOPMENT
  14. (2018) Member of Editorial Advisory Board for Asian Journal of Science and Applied Technology, Asian Journal of Science and Applied Technology
  15. (2017) 5th International Conference on Mechanical Engineering (Meche - 2017) , International Journal of Recent advances in Mechanical Engineering (IJMECH)
  16. (2017) Programming Committee Member of 9th International Conference on Networks & Communications (NeCoM 2017) Conference , AIRCC Publishing Corporation
  17. (2017) International Conference on Electrical, Electronic, Computers, Communication, Mechanical and Computing (EECCMC), Priyadarshini Engineering College,
  18. (2017) Program Committee for 7th Annual International Conference on Computational Mathematics, Computational Geometry & Statistics (CMCGS 2018), Global Science and Technology Forum
  19. (2016) The 1st Data Science Symposium: Big Data Analytics and Applications, The University of Malaya Centre for Data Science
  20. (2016) Program Committee for 6th Annual International Conference on Computational Mathematics, Computational Geometry & Statistics (CMCGS 2017), Global Science and Technology forum
  21. (2016) Scretary for the 3rd ISM International Statistical Conference 2016, University of Malaya

SUPERVISION

Postgraduate Student
PhD/ Doctoral
  1. (2024) CURRENCY CRISIS EARLY WARNING SYSTEM USING MARKOV SWITCHING MODELS, SWEE JACK HO
  2. (2024) A CLASS OF HYBRID MACHINE LEARNING MODELS FOR TIME SERIES MODELLING AND FORECASTING, LEI CHEN
  3. (2024) Volatility Modelling and Forecasting with High Frequency Data, ZHI DE KHOO
  4. (2024) STOCK PRICE PREDICTION BASED ON ITRANSFORMER, RONG, ANJIE
  5. (2024) PRICING FINANCIAL DERIVATIVES: THE STOCHASTIC VOLATILITY MODELS AND OTHER STATISTICAL APPROACHES, KOW PU ERN
  6. (2024) CARBON FINANCE AND CARBON DERIVATIVES MARKET IN CHINA, WANG WEI
  7. (2024) FINANCE, YUFENG XIAO
  8. (2024) FORECASTING VOLATILITY AND RETURN OF FINANCIAL ASSETS VIA CLASSICAL，MACHINE LEARNING AND HYBRID MODELS, MENG ZHOU
  9. (2024) THE ANALYSIS OF FINANCIAL DURATION WITH HIGH FREQUENCY DATA, TAN YIING FEI
  10. (2019) THE ANALYSIS OF FINANCIAL DURATION WITH HIGH FREQUENCY DATA, TAN YIING FEI
  11. (2019) MODELLING OF DISPERSION AND STUDY OF RELATED PROBLEMS FOR TIME SERIES OF COUNTS WITH APPLICATIONS, FO KEE WAH
Master
  1. (2023) Pricing and Hedging Exotic Options in Insurance and Finance, ZE-AN NG
  2. (2020) DYNAMIC VOLATILITY MODELLING OF CRYPTOCURRENCIES USING TIME-VARYING TRANSITION PROBABILITY MARKOV-SWITCHING MODELS, TAN CHIA YEN
  3. (2019) ANALYSIS OF CRYPTOCURRENCY MARKET, TAN CHIA YEN
  4. (2017) Modelling and Forecasting Volatility of Returns Using GARCH-Type Models With Skewed Error Distributions, TAY HAO ZHE
  5. (2016) PARAMETER-DRIVEN COUNT TIME SERIES MODELS, NAWWAL BINTI AHMAD BUKHARI
  6. (2016) Modeling and Forecasting Volatility of Returns Using GARCH-Type Models with Skewed Error Distributions, Tay Hao Zhe
  7. (2016) PARAMETER-DRIVEN COUNT TIME SERIES MODELS, NAWWAL BINTI AHMAD BUKHARI
  8. (2015) Support Vector Machine and Application in Finance, Li Ding
  9. (2014) PARAMETER-DRIVEN COUNT TIME SERIES MODELS, NAWWAL BINTI AHMAD BUKHARI
  10. (2014) Interest Rate Model, Choo Ley ya
  11. (2013) Markov Regime Switching in Malaysian Stock Market, Choy Yim Yeng