PH.D. LY SEL
	Ph.D. 2021
	lysel@tdtu.edu.vn

A. Education and professional activities

1. Education and degrees

• 2016 – 2020: Ph.D in Mathematical Sciences at Nanyang Technological University, Singapore.

• 2011 – 2013: Master in Probability Theory and Mathematical Statistics at Can Tho University, Vietnam.
• 2007 – 2011: BS in Maths-Informatics Teacher Education at Can Tho University, Vietnam.

 

2. Professional activities

• 8/2021– present: Research fellow at Nanyang Technological University, Singapore.
• 8/2020 – 2/2021: Research assistant at Nanyang Technological University, Singapore.
• 8/2016 – 8/2020: Ph.D candidate at Nanyang Technological University, Singapore.
• 2014 – 7/2016: Lecturer at Ton Duc Thang University, Ho Chi Minh City, Vietnam.

3. Research interests

+ Machine learning and stochastic optimization for power systems

+ Data science
+ Copula theory and applications

      + Financial mathematics

      + Stochastic calculus

B. Publications

 1. Papers in international journals

12. Sel Ly, Songsak Sriboonchitta, Jiechen Tang, Wing-Keung Wong (2022). Exploring dependence structures among European electricity markets: Static and dynamic Copula-GARCH and dynamic state-space model approaches. Energy Reports, 8, 3827-3846. (SCIE, Q1)

11. Sel Ly, and Nicolas Privault (2022). G-Expectation approach to stochastic ordering. Frontiers of Mathematical Finance, accepted, to appear 2022.

10. Kim-Hung Pho, Sel Ly, Richard Lu, Thi Hong Van HOANG, and Wing-Keung Wong (2021). Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China. International Review of Financial Analysis, 74, p. 101674. (SSCI, Q1)

9. Sel Ly, and Nicolas Privault (2021). Stochastic ordering by g-expectations. Probability, Uncertainty and Quantitative Risk, 6(1), p.61. (ESCI)

8. Sel Ly (2020). Stochastic orderings by nonlinear expectations. Doctoral thesis, Nanyang Technological University, Singapore. DOI:10.32657/10356/145282

7. Sel Ly, Kim-Hung Pho, Sal Ly, Wing-Keung Wong (2019). Determining distribution for the product of random variables by using copulas. Risks 2019, 7(1), 23. (Scopus, Q2)

6. Sel Ly, Kim-Hung Pho, Sal Ly, Wing-Keung Wong (2019). Determining distribution for the quotient of random variables by using copulas. Journal of Risk and Financial Management 2019, 12(1), 42. (ESCI)

5. Kim-Hung Pho, Sel Ly, Sal Ly, T. Martin Lukusa (2019). Comparison among Akaike Information Criterion, Bayesian Information Criterion and Vuong’s test in Model Selection: A Case Study of Violated Speed Regulation in Taiwan. Journal of Advanced Engineering and Computation (JAEC) 3(1). 293-303.

4. Hien D. Tran, Uyen H. Pham, Sel Ly, T. Vo-Duy (2017). Extraction dependence structure of distorted copula via a new measure of dependence. Annals of Operations Research, 256(2), 221-236. (SCIE, Q1)

3. Pannapa Changpetch, Dominique Haughton, Mai T.X. Le, Sel Ly, Phong Nguyen, and Tien T. Thach (2016). Alcohol consumption in Thailand: A study of the associations between alcohol, tobacco, gambling, and demographic factors. SSRN. http://dx.doi.org/10.2139/ssrn.2732844

2. Sel Ly, Uyen H. Pham, Radim Bris (2016). On the distortion risk measure using copulas. Proceedings of the 1st International Conference on Applied Mathematics in Engineering and Reliability, CRC Press, 309-315.

1. Hien D. Tran, Uyen H. Pham, Sel Ly, T. Vo-Duy (2015). A new measure of monotone dependence by using Sobolev norms for copula. Proceedings of the 4th Integrated Uncertainty in Knowledge Modelling and Decision Making, Springer, 126-137.

 

2. Preprints

1. Sel Ly, Pareek Parikshit, Hung D. Nguyen (2022), Scalable probabilistic optimal power flow for high renewables using lite polynomial chaos expansion. EEE Systems Journal, first round revised.

2. Sel Ly, Salman Sarwat, Wing-Keung Wong, Muhammad Ramzan, Hung D. Nguyen (2022). A static and dynamic copula-based ARIMA-fGARCH approach to determinants of carbon dioxide emissions in Argentina. Environmental Science and Pollution Research, first round revised.

3. Weng Yu, Sel Ly, Peng Wang, Hung D. Nguyen (2022). Hypothesis testing for mitigation of operational infeasibility on distribution system under rising renewable penetration. IEEE Transactions on Sustainable Energy, first round revising.