Stephen is working on a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory. He has an interest in both theoretical and empirical problems. Many of his research problems are motivated by practical investment issues. Stephens' current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. He is active in researching the UK mortgage and housing markets.

Stephen has strong links with Inquire (Institute for Quantitative Investment Research). This is a city-based organization that finances academic research on quantitative investment. He is also on the management committee of LQG (London Quant Group).

Stephen is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.