Cathy Yi-Hsuan Chen
Research Interests
My recent research interests focus on three angles.
First, I focus on textual analysis in social media and news. The statistical analytics such as Machine Learning, Lexicon Projection, Latent Semantic Analysis, Latent Dirichlet Allocation and Topic Modeling, have been comprehensively applied to distil and analyze information content of social media and financial news. The visualization of microblog users' network:
Second, I create asset class-specific lexicon. The specific asset classes are targetted by investor communities with different risk preferences. The cryptocurrency-specific lexicon is constructed by the labelled messages from stock twits. I quantify the sentiment for highly speculative and risky digital assets. The word clouds of the positive and negative lexicon are respectively shown below.
Third, I apply innovative econometric methods to important financial issues and risk management.
Industry Consulting
Cathay Life Insurance (2011.03-2013.06)
China Life Insurance (2012.01-2013.01)
NanShan Life Insurance (2014.06-2016.01)
Positions
Professor, International Research Training Group, 1792 - High Dimensional Non Stationary Time Series, Humboldt University, Berlin
Member, Princeton-Humboldt Cooperation and Collective Cognition Network (CoCCoN)
Visiting Fellow of Sim Kee Boon Institute of Financial Economics, Singapore Management University
Books
Applied Quantitative Finance 3 rd edition, WK, Härdle, Cathy YH Chen, L. Overbeck. Springer. 2017
http://www.springer.com/de/book/9783662544853
Publications
Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, Yarema Okhrin, 2018. ' Tail event driven networks of SIFIs ' , Journal of Econometrics 208, 282-298.
Cathy Yi-Hsuan Chen, Thomas C. Chiang, and Wolfgang K. Härdle, 2018. 'Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 countries', Journal of Banking & Finance 93, 21-32.
Cathy Yi-Hsuan Chen, Antony Tu., 2018. 'A Factor-Based Approach to Bond Portfolio Value-at-Risk: the Information Role of Macroeconomic and Financial Stress Factors', Journal of Empirical Finance 45, 243-268.
Cathy Yi-Hsuan Chen, Thomas C. Chiang, 2017. 'Surprises, sentiments and expectations of the term structure of interest rates', Review of Quantitative Finance and Accounting 49 (1), 1-28 . (Leading article).
Zhang, Wolfgang K. Härdle, Cathy Yi-Hsuan Chen, Elisabeth Bommes, 2016. ' Distillation of new information flow into the analysis of stock responses'. Journal of Business & Economic Statistics 34, 547-563.
Cathy Yi-Hsuan Chen, Thomas C. Chiang, 2016. 'Empirical analysis of the intertemporal relationship between downside risk and expected returns', European Financial Management 22, 749-796. (Leading article)(SSCI)
M. Linton, EGS Teo, E. Bommes, Cathy Yi-Hsuan Chen, WK Härdle, 2016. 'Dynamic modeling topic for crypto currency community forums', Applied Quantitative Finance 3 rd edition, Springer Verlag, Heidelberg.
S. Chen, Cathy Yi-Hsuan Chen, WK Härdle, 2016. 'A first econometric analysis of the CRIX family', Handbook of Digital Finance and Financial Inclusion: Crypto Currency, FinTech, InsurTech, and Regulation.
Meng-Jou Lu , Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2016. 'Copula-based Factor Model for Credit Risk Analysis', has been accepted and forthcoming in Review of Quantitative Finance and Accounting .
Cathy Yi-Hsuan Chen, Wolfgang K. Härdle, 2015. 'Common factors in credit defaults swaps markets', Computational Statistics 30, 845-863. (SCI)
Cathy Yi-Hsuan Chen, I-Doun Kuo, 2015. 'Survey sentiment and interest rate option smile', International Review of Economics & Finance 37, 125-137. (SSCI)
Cathy Yi-Hsuan Chen, I-Doun Kuo, Thomas C. Chiang, 2014. 'What is the explanation of the hypothesis? Market irrationality vs. The peso trouble', Journal of International Financial Markets, Institutions & Money 30, 172-190 (SSCI)
Cathy Yi-Hsuan Chen, I-Doun Kuo, 2014. 'Investor sentiment and interest rate volatility smile: Evidence from Eurodollar options markets', Review of Quantitative Finance and Accounting 43, 367-391
Cathy Yi-Hsuan Chen, 2014. 'Does fear spill over?' Asia-Pacific Journal of Financial Studies, 43 (4), 465-491. (SSCI)
Cathy Yi-Hsuan Chen, Anthony H. Tu, 2013, 'Estimating hedged portfolio value at risk using the conditional copula: An illustration of model risk', International Review of Economics & Finance . 27, 514-528 (SSCI)
Teaching
WS 15/16 Statistics of Financial Markets
Economic Risk Seminar
Privatissimum
SS 16 Advance Methods in Quantitative Finance
Q-Kolleg: Digital Economy and Decision Analytics
Economic Risk Seminar
Privatissimum
SS 17 Advance Methods in Quantitative Finance
Q-Kolleg: Digital Economy and Decision Analytics
Economic Risk Seminar
Privatissimum
WS 17/18 Digital Economy and Decision Analytics
Statistics of Financial Markets
Economic Risk Seminar
Privatissimum