Stepan MazurCurriculum Vitae

Fakultetsgatan 1, Novahuset701 82 Örebro

SwedenT +46 (19) 30 31 17

B stepan.mazur@oru.se

Personal InformationBorn Oct. 25, 1988; Novyy Stav, Ukraine

Marital status Married, two kidsCitizenship UkrainianLanguages Ukrainian - native, English - fluent, Russian - fluent, Polish - intermediate, Swedish

- intermediate

Academic Career

Jan. 2017

present Assistant Professor, Unit of Statistics, Örebro University School of Business,Sweden.

Sept. 2016Dec. 2016 Postdoctoral Researcher, Department of Mathematics, The T.N. Thiele Centre

for Applied Mathematics in Natural Science, Aarhus University, Denmark.

Sept. 2014

Aug. 2016 Postdoctoral Researcher, Department of Statistics, School of Economics andManagement, Lund University, Sweden.

Jan. 2014

Aug. 2014 Research Assistant, Department of Mathematical Statistics, Institute of Mathe-matics, Humboldt University of Berlin, Germany.

Sept. 2013Dec. 2013 Research Assistant, Department of Statistics, University of Augsburg, Germany.

Sept. 2011

Aug. 2013 Research Assistant, Department of Statistics, European University Viadrina Frank-furt (Oder), Germany.

Education

Sept. 2011Nov. 2014 Ph.D. in Economics, "On the use of the Wishart Distribution in Statistics and

Econometrics with Applications in Bayesian Estimation of Optimal Portfolios",Department of Statistics, European University Viadrina Frankfurt (Oder), Germany.Grade: summa cum laude (1.0)Ph.D. Advisors: Prof. Taras Bodnar, Prof. Wolfgang Schmid

Sept. 2010June 2011 M.Sc. in Statistics, Lecturer, “Basic Mathematical Characteristics of Composite

Function of Payments in Continuous Time Market Model”, Department of Theoreti-cal and Applied Statistics, Ivan Franko National University of Lviv, Ukraine.GPA: 5.0/5.0M.Sc. Advisor: Prof. Yaroslav Yelejko

Sept. 2006June 2010 B.Sc. in Mathematics, "Multifractal Products of Diffusion Processes and Ran-

domized Scenario", Department of Theoretical and Applied Statistics, Ivan FrankoNational University of Lviv, Ukraine.GPA: 5.0/5.0B.Sc. Advisor: Prof. Yaroslav Yelejko

Sept. 2003June 2006 General Secondary Education, Lviv Physics and Mathematics Lyceum, Ukraine.

Academic Training{ Learning and Teaching in Higher Education (LATHE) 1, Qualifying Course inUniversity Teaching, PIL - Centre for Academic Development, Örebro University,Sweden. Semester: Fall 2017.

{ Learning and Teaching in Higher Education (LATHE) 2, Qualifying Course inUniversity Teaching, PIL - Centre for Academic Development, Örebro University,Sweden. Semester: Spring 2018.

{ Supervising PhD Students, Qualifying Course for PhD Supervisors, PIL - Centrefor Academic Development, Örebro University, Sweden. Semester: Spring 2019.

Areas of Research Interests{ Multivariate Statistics{ Random Matrix Theory{ High-Dimensional Data Analysis{ Statistical Methods in Finance{ Stochastic Processes{ Bayesian Statistics

PublicationsArticles in Journals

1. Gulliksson, M. and S. Mazur (2020+). An iterative approach to ill-conditionedoptimal portfolio selection. Forthcoming in Computational Economics.

2. Javed, F., Mazur, S., and E. Ngailo (2020+). Higher order moments of the estimatedtangency portfolio weights. Forthcoming in Journal of Applied Statistics.

3. Mazur, S., Otryakhin, D. and M. Podolskij (2020). Parameter estimation for linearfractional stable motion. Bernoulli, 26 (1), 226–252.

4. Bodnar, T., Mazur, S., Ngailo, E. and N. Parolya (2019). Discriminant analysis insmall and large dimensions. Theory of Probability and Mathematical Statistics,100, 24–42.

5. Bodnar, T., Mazur, S. and N. Parolya (2019). Central limit theorems for functionalsof large sample covariance matrix and mean vector in matrix-variate location mixtureof normal distributions. Scandinavian Journal of Statistics, 46 (2), 636–660.

6. Bodnar, T., Mazur, S., Podgórski, K. and J. Tyrcha (2019). Tangency portfolioweights in small and large dimensions: estimation and test theory. Journal ofStatistical Planning and Inference, 201, 40–57.

7. Bauder, D., Bodnar, T., Mazur, S. and Y. Okhrin (2018). Bayesian inference for thetangent portfolio. International Journal of Theoretical and Applied Finance,21(8).

8. Bodnar, T., Mazur, S., Muhinyuza, S. and N. Parolya (2018). On the product of asingular Wishart matrix and a singular Gaussian vector in high dimension. Theoryof Probability and Mathematical Statistics, 99(2), 37–50.

9. Loperfido, N., Mazur, S. and K. Podgórski (2018). Third cumulant for multivariateaggregate claim models. Scandinavian Actuarial Journal, 2018(2), 109–128.

10. Bodnar, T., Mazur, S. and K. Podgórski (2017). A test for the global minimumvariance portfolio for small sample and singular covariance. AStA Advances inStatistical Analysis, 101(3), 253–265.

11. Bodnar, T., Mazur, S. and Y. Okhrin (2017). Bayesian estimation of the globalminimum variance portfolio. European Journal of Operational Research,256(1), 292–307.

12. Bodnar, T., Mazur, S. and K. Podgórski (2016). Singular inverse Wishart distributionand its application to portfolio theory. Journal of Multivariate Analysis, 143,314–326.

13. Kotsiuba, I. and S. Mazur (2015). On the asymptotic and approximate distributionsof the product of an inverse Wishart matrix and a Gaussian random vector. Theoryof Probability and Mathematical Statistics, 93, 95–104.

14. Kotsiuba, I. and S. Mazur (2014). Conditions of equilibrium for European option.Mathematical and Computer Modelling, Series: Physical & MathematicalSciences, 11, 114–122.

15. Bodnar, T., Mazur, S. and Y. Okhrin (2014). Distribution of the product of singularWishart matrix and normal vector. Theory of Probability and MathematicalStatistics, 91, 1–15.

16. Bodnar, T., Mazur, S. and Y. Okhrin (2013). On the exact and approximatedistributions of the product of a Wishart matrix with a normal vector. Journal ofMultivariate Analysis, 122, 70–81.

17. Yeleyko, Ya., Lazariv, T. and S. Mazur (2012). Main mathematical characteristicsof payment functional. Bulletin of the Lviv University, Series in Mathematics& Informatics, 18, 157–164 (In Ukrainian).

18. Yeleyko, Ya., Lazariv, T. and S. Mazur (2011). Multifractal products of diffusionprocesses and randomized scenario. Bulletin of the Lviv University, Series inMechanics & Mathematics, 74, 83–88 (In Ukrainian).

Submitted Articles1. Mazur, S. and D. Otryakhin. Linear fractional stable motion with the RLFSM R

package.

Software{ R-package "rlfsm": Simulations and Statistical Inference for Linear FractionalStable Motions (with D. Otryakhin).

Funding and Grant ApplicationsExternal

Jan. 2019June 2021The Jan Wallander and Tom Hedelius Research Foundation, ”Models for

Macro and Financial Economics after the Financial Crisis”, jointly with F. Javed, S.Karlsson and P. Österholm (PI), awarded amount: SEK 1.75mln.

Internal

Jan. 2020Dec. 2021Faculty Board of Business, Science and Engineering at Örebro University,

research funding, awarded amount: 40% of salary.

Jan. 2018Dec. 2019Faculty Board of Business, Science and Engineering at Örebro University,

research funding, awarded amount: 50% of salary.

Apr. 2017Dec. 2017 Faculty Board of Business, Science and Engineering at Örebro University,

research funding, awarded amount: 50% of salary.

Other2019 Funding of internalisation activities from International Board at Örebro University

for hosting Prof. Yarema Okhrin from University of Augsburg (Germany), awardedamount: SEK 11 000.

2018 Funding from the Faculty Board of Business, Science and Engineering at ÖrebroUniversity for organizing Workshop on Financial Econometrics (with F. Javed and S.Karlsson), awarded amount: SEK 198 400.

2017 Funding of internalisation activities from International Board at Örebro University forhosting Prof. Mark Podolskij from Aarhus University (Denmark), awarded amount:SEK 9 750.

2014 Travel Grant from Patnerskap Foundation, Lund University (Sweden), awardedamount: SEK 7 126.

2012 Travel Grant from Viadrina Center for Graduate Studies, European UniversityViadrina Frankfurt (Oder), Germany.

Conferences, Workshops and SeminarsDec. 2019 The 12th International Conference of the ERCIM Working Group on Computational

and Methodological Statistics, London, UK, Invited TalkOct. 2019 Statistics Seminar, Linköping University, Sweden, Invited TalkOct. 2019 The 2nd International Conference on Stochastic Processes and Algebraic Structures

– From Theory Towards Applications, Västerås, Sweden, TalkSept. 2019 The 10th European Seminar on Bayesian Econometrics, St Andrews, UK, PosterNov. 2018 MAM Workshop in Probability Theory, Mathematical Statistics and Applications,

Västerås, Sweden, Invited TalkNov. 2018 Workshop on Predicting Asset Returns, Örebro, Sweden, DiscussantSept. 2018 Statistical Week 2018, Linz, Austria, TalkJuly 2018 The 12th International Vilnius Conference on Probability Theory and Mathematical

Statistics and 2018 IMS Annual Meeting on Probability and Statistics, Vilnius,Lithuania, Poster

June 2018 The 27th Nordic Conference in Mathematical Statistics, Tartu, Estonia, TalkJune 2018 The 6th Linnaeus University Workshop on Stochastic Analysis and Applications,

Växjö, Sweden, Invited TalkApril 2018 Brown Bag Seminar, Örebro University, Sweden, TalkJan. 2018 Statistics Seminar, Stockholm University, Sweden, Invited TalkNov. 2017 Statistics Seminar, Örebro University, Sweden, TalkOct. 2017 Crámer Society Autumn Meeting, Big Data and High-Dimensional Statistical Infer-

ence: Recent Advances and Challenges, Stockholm, Sweden, Invited TalkOct. 2017 International Conference on Stochastic Processes and Algebraic Structures – From

Theory Towards Applications, dedicated to Professor Dmitrii S. Silvestrov’s 70thbirthday, Västerås and Stockholm, Sweden, Talk

July 2017 European Meeting of Statisticians, Helsinki, Finland, TalkMay 2017 Statistics Seminar, Örebro University, Sweden, TalkFeb. 2017 Statistics Seminar, Uppsala University, Sweden, Invited TalkFeb. 2017 Statistics Seminar, Lund University, Sweden, Invited TalkDec. 2016 Study Group on Ambit Fields, Aarhus University, Denmark, TalkNov. 2016 Internal Research Workshop in Statistics, Örebro University, Sweden, TalkSept. 2016 Statistical Week 2016, Augsburg, Germany, TalkAug. 2016 Conference on Ambit Fields and Related Topics, Aarhus, Denmark, PosterJune 2016 The 26th Nordic Conference in Mathematical Statistics, Copenhagen, Denmark,

Flash Talk & PosterMay 2016 1st joint KWC-CFF Workshop, Säröhus, Sweden, TalkMay 2016 Statistics Seminar, Örebro University, Sweden, Invited TalkApr. 2016 Finance Research Seminar, Institute for Empirical Economics, Leibniz University of

Hannover, Germany, Invited Talk

Mar. 2016 Statistics Seminar, Lund University, Sweden, TalkMar. 2016 The 12th German Probability and Statistics Days, Bochum, Germany, TalkFeb. 2016 Thiele Seminar, Aarhus University, Denmark, Invited TalkDec. 2015 The 8th International Conference of the ERCIM Working Group on Computational

and Methodological Statistics, London, UK, TalkSept. 2015 Mathematical Statistics Seminar, Stockholm University, Sweden, Invited TalkSept. 2015 Statistics Seminar, Lund University, Sweden, TalkSept. 2015 Statistical Week 2015, Hamburg, Germany, TalkJune 2015 Aarhus Conference of Probability, Statistics and their Applications – Celebrating the

Scientific Achievements of Ole E. Barndorff-Nielsen, Aarhus, Denmark, PosterMay 2015 Arne Ryde Workshop in Financial Economics, Lund, Sweden, TalkApr. 2015 Statistics Seminar, University of Augsburg, Germany, Invited TalkFeb. 2015 Bayes@Lund 2015, a Mini-conference on Bayesian Methods, Lund, Sweden, TalkDec. 2014 The 7th International Conference of the ERCIM Working Group on Computational

and Methodological Statistics, Pisa, Italy, TalkJuly 2014 IV International Research and Practice Conference ”Knowledge Bases and Their Key

Role in Progress of Knowledge-Driven Economy of Modern Information Society”,Lviv, Ukraine, Talk

May 2014 Statistics Seminar, Lund University, Sweden, Invited TalkSept. 2013 Statistical Week 2013, Berlin, Germany, TalkMar. 2012 XII National Scientific Conference for Students on Theoretical and Applied Aspects

of Financial Systems Analysis, Lviv, Ukraine, TalkSept. 2012 Statistical Week 2012, Vienna, Austria, TalkDec. 2011 Statistics Seminar, European University Viadrina Frankfurt (Oder), Germany, TalkJune 2011 Statistics Seminar, European University Viadrina Frankfurt (Oder), Germany, Invited

TalkMay 2011 XVII International Conference on Problems of Decision Making under Uncertainties,

Skhidnytsia, Ukraine, TalkApr. 2011 Statistics Seminar, Ivan Franko National University of Lviv, Ukraine, TalkMar. 2011 XI National Scientific Conference for Students on Theoretical and Applied Aspects

of Financial Systems Analysis, Lviv, Ukraine, TalkNov. 2010 Statistics Seminar, Ivan Franko National University of Lviv, Ukraine, Talk

Research VisitsFeb. 01-03,

2017Department of Statistics, Lund University, Sweden, hosted by Krzysztof Podgórski

Apr. 20-24,2016

Institute for Empirical Economics, Leibniz University of Hannover, Germany, hostedby Nestor Parolya

Feb. 01-03,2016

The T.N. Thiele Centre for Applied Mathematics in Natural Science, Aarhus Univer-sity, Aarhus, Denmark, hosted by Mark Podolskij

Apr. 13-17,2015

Department of Statistics, University of Augsburg, Germany, hosted by YaremaOkhrin

Professional ActivitiesRefereeing and ReviewingCommunications in Statistics – Theory and Methods (1), Computational Economics(1), Econometrics and Statistics (1), Heliyon (2), International Journal of Envi-ronment and Sustainable Development (1), Journal of Industrial and ManagementOptimization (1), Journal of Multivariate Analysis (2), Mathematical Reviews (16),Risks (1), Scandinavian Actuarial Journal (1), Theory of Probability and Mathemat-ical Statistics (1).

MembershipsSwedish Statistical Society; Cramér Society; Nordic Econometric Network; CFE-networks on Econometrics and Finance, General Methodological Statistics, MatrixComputations and Statistics; The stat@oru Group at Örebro University; Macroe-conomics and Financial Econometrics Group at Örebro University; The ResearchEnvironment in Economics and Statistics at Örebro University.

Co-organizer{ Workshop on Financial Econometrics, Örebro, Sweden, 2018–2020

TeachingMaster Level{ Bayesian Statistics, Örebro University, Sweden. Semester: Spring 2017.{ Econometrics, Örebro University, Sweden. Semester: Fall 2017.{ Micro Econometrics, Örebro University, Sweden. Semesters: Spring 2017–2020.{ Register Data Analysis and Causal Inference, Örebro University, Sweden. Semester:Fall 2018–2019.

{ Register Data Analysis, Örebro University, Sweden. Semester: Fall 2017.{ Statistical Theory, Örebro University, Sweden. Semesters: Fall 2017–2018.Undergraduate Level{ Bayesian Methods, Lund University, Sweden. Semester: Fall 2015.{ Time Series Analysis and Forecasting, Örebro University, Sweden. Semesters:Spring 2017, 2018.

SupervisionMaster Level{ Mohammad Ehtasham Billah, ”Optimization of Swedish Municipalities DebtPortfolios”, Unit of Statistics, Örebro University School of Business, Sweden,Spring 2019.

{ Mohammad Ehtasham Billah, ”Effect of Financial Crisis on Swedish Local Gov-ernments Debt Maturity Structures”, Unit of Statistics, Örebro University Schoolof Business, Sweden, Fall 2018.

{ Anders Lönnquist, ”The Economic Relevance of Multivariate GARCH Models”,Unit of Statistics, Örebro University School of Business, Sweden, Spring 2018.

{ Muneeb Asif, ”Bayesian Inference for the Global Minimum Variance Portfolio”,Unit of Statistics, Örebro University School of Business, Sweden, Spring 2018.

{ Leila Sati, ”Estimation and Test Theory of Optimal Portfolios: Evidence from theInternational Portfolio”, Unit of Statistics, Örebro University School of Business,Sweden, Spring 2018.

{ Björn Wikrén, ”Bayesian Portfolio Selection: Estimation and Inference for theGlobal Minimum Variance and Tangency Portfolios”, Department of Statistics,Uppsala University, Sweden, Spring 2016.

{ Roman Karasyov, ”Environmental Pollution in Germany and Russia: DirectComparison on the Example of Berlin and Moscow”, Department of Statistics,European University Viadrina, Germany, Spring 2012.

Undergraduate Level{ Elise Wester, ”Econometrical Analysis of the Sample Efficient Frontier: Evidencefrom the International Portfolio”, Unit of Mathematics, School of Science andTechnology, Örebro University, Sweden, Spring 2019.

{ John Larsson, ”Estimation and Theory of Tangency Portfolio Weights: Evidencefrom S&P 500 Data”, Unit of Mathematics, School of Science and Technology,Örebro University, Sweden, Spring 2018.

{ Martin de Capretz, ”Portfolio Selection with a Bayesian Approach”, Departmentof Statistics, Lund University, Sweden, Spring 2015.

ExaminationMaster Level{ Muhammad Amin Sadiq, ”Predicting Accuracy of Default Credit Card Clients byUsing Various Machine Learning Techniques”, Unit of Statistics, Örebro UniversitySchool of Business, Sweden, Spring 2019.

{ Anders Lönnquist, ”The Efficiency of the Swedish Stock Market: An EmpiricalEvaluation of All Stocks Listed on the OMX30”, Unit of Statistics, ÖrebroUniversity School of Business, Sweden, Fall 2018.

{ Mohammad Ehtasham Billah, ”Classifying Microscopic Images for Acute Lym-phoblastic Leukemia (ALL) Using Bayesian Convolutional Neural Networks”, Unitof Statistics, Örebro University School of Business, Sweden, Spring 2018.

{ Viktor Eriksson, ”The Entropy of Different Classes of Generalized HyperbolicDistributions”, Unit of Statistics, Örebro University School of Business, Sweden,Spring 2018.

{ Martin Carlsson, ”Variance Estimation of the Calibration Estimator with Measure-ment Errors in the Auxiliary Information”, Unit of Statistics, Örebro UniversitySchool of Business, Sweden, Spring 2018.

Collaboration with Industry{ Two master thesis projects for Kommuninvest (Örebro) on debt maturity structuresand debt portfolios.

Programming SkillsLaTeX, Maple, Mathematica, R, SAS, Stata

Last updated: March 5, 2020