Statistician Tackles Complexities of Cryptocurrency

Following research into one of the world’s most dynamic financial arenas – cryptocurrency, Dr Stephanie Subramoney graduated from UKZN with a PhD in Statistics.

Her groundbreaking thesis, titled: ‘Statistical Risk Modelling of Cryptocurrencies Using Generalised Autoregressive Score (GAS)-Type Models’, tackled the complexities of cryptocurrency volatility through sophisticated statistical tools, earning her international recognition and two published journal articles.

Having completed her BSc, BSc Honours and master’s degrees at UKZN, Subramoney’s decision to pursue a PhD at the same institution was rooted in familiarity, trust and academic support. “UKZN already felt like home to me,” she said. “I had built strong relationships with my lecturers and especially my supervisors, who encouraged me to pursue a PhD. Their guidance and belief in my potential gave me the confidence to take on the challenge.”

Under the supervision of Professor Knowledge Chinhamu and Professor Retius Chifurira, Subramoney’s research was situated at the intersection of statistics and finance, focusing specifically on the notoriously volatile cryptocurrency market. Her work introduced hybrid Generalised Autoregressive Score (GAS) models with heavy-tailed and extreme value mixture innovations to estimate Value-at-Risk (VaR) for major cryptocurrencies.

“My research focused on understanding and predicting the risks in cryptocurrency markets, which are known for being highly volatile and unpredictable,” Subramoney explained. “In simple terms, it’s about creating better tools to measure and manage financial risk in an area that is becoming increasingly important to investors, businesses and even regulators.”

Subramoney’s fascination with financial markets began long before her doctoral research, but the opportunity to study cryptocurrencies – an emerging and globally relevant area – was especially motivating. “It was a chance to combine my interest in finance with a new and fast-growing area where advanced statistical methods could really make a difference,” she explained.

The significance of her work extends well beyond academic circles. As more investors and institutions enter the cryptocurrency market, accurate risk assessment becomes critical. “My research helps make sense of the risks in cryptocurrency markets, providing investors and businesses with tools to make smarter decisions,” she said. “More broadly, it shows how South African researchers can contribute to an emerging global market that is rapidly growing in importance.”

Currently based in the United Kingdom, Subramoney is applying her expertise as a data scientist, a role that continues to evolve in tandem with technological innovation. “I aim to grow into a specialist in artificial intelligence and machine learning,” she said. “I hope to be at the forefront of applying these technologies in innovative ways that shape industries and open up new opportunities for the future.”

Subramoney credited her father and grandmother as central figures in her academic journey. “My father has always been my biggest supporter, reminding me that I was capable of achieving more than I thought possible,” she said. “My grandmother was equally influential, always encouraging me to excel and reminding me of the importance of striving for more as a woman.”

Beyond her professional and academic life, Subramoney enjoys a balance of recreation and exploration. “In my spare time, I enjoy cooking and experimenting with new recipes, spending time with friends, hiking and discovering new places,” she shared.

Subramoney offered words of encouragement to current and aspiring students: “Embrace every challenge, because it will shape you into more than you imagined. With hard work, perseverance and the right support system, anything is possible.”

Words: Sally Frost

Photograph: Sethu Dlamini