Professor Cathy Yi-Hsuan Chen

  • Professor of Finance (Accounting & Finance)

Biography

Cathy Yi-Hsuan Chen joined the Adam Smith Business School in March 2019, as Professor in Corporate Finance and Banking. Previously she held a position at the School of Business & Economics in Humboldt-Universität zu Berlin, and Mercator Fellow of International Research Training Group 1792. Her recent work has focused on the intersection of technology, data science, and finance. She is the principal investigator of FinTech Action founded by the European Cooperation in Science and Technology. She has been nominated as a Management Committee substitute representing the UK for the EU FinTech Action.

Personal website: Cathy Chen

Research interests

Cathy is a member of the School's Finance research cluster.

Areas of expertise:

  • Blockchain analytics
  • digital currencies
  • Machine learning in finance
  • network modeling
  • Sentiment analysis

Publications

List by: Type | Date

Jump to: 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2011 | 2008
Number of items: 28.

2022

Chen, C. Y.-H. , Härdle, W. K. and Klochkov, Y. (2022) SONIC: SOcial Network analysis with Influencers and Communities. Journal of Econometrics, 228(2), pp. 177-220. (doi: 10.1016/j.jeconom.2021.02.008)

Chen, C. Y.-H. , Okhrin, Y. and Wang, T. (2022) Monitoring network changes in social media. Journal of Business and Economic Statistics, 42(2), pp. 391-406. (doi: 10.1080/07350015.2021.2016425)

Chen, C. Y.-H. , Fengler, M. R., Härdle, W. K. and Liu, Y. (2022) Media-expressed tone, option characteristics, and stock return predictability. Journal of Economic Dynamics and Control, 134, 104290. (doi: 10.1016/j.jedc.2021.104290)

2021

Mihoci, A., Haerdle, W. and Chen, C. Y.-H. (2021) TERES: tail event risk expectile based shortfall. Quantitative Finance, 21(3), pp. 449-460. (doi: 10.1080/14697688.2020.1786151)

2020

Mihoci, A., Althof, M., Chen, C. Y.-H. and Härdle, W. K. (2020) FRM financial risk meter. In: de Paula, Á., Tamer, E. and Voia, M.-C. (eds.) The Econometrics of Networks. Series: Advances in econometrics (42). Emerald. ISBN 9781838675769

Nasekin, S. and Chen, C. Y.-H. (2020) Deep learning-based cryptocurrency sentiment construction. Digital Finance, 2, pp. 39-67. (doi: 10.1007/s42521-020-00018-y)

Hou, A. J., Wang, W., Chen, C. Y.-H. and Härdle, W. K. (2020) Pricing cryptocurrency options. Journal of Financial Econometrics, 18(2), pp. 250-279. (doi: 10.1093/jjfinec/nbaa006)

Chen, C. Y.-H. and Nasekin, S. (2020) Quantifying systemic risk with factor copulas. European Journal of Finance, 26(18), pp. 1926-1947. (doi: 10.1080/1351847X.2020.1828961)

Qian, Y., Härdle, W. and Chen, C. Y.-H. (2020) Modelling industry interdependency dynamics in a network context. Studies in Economics and Finance, 37(1), pp. 50-70. (doi: 10.1108/SEF-07-2019-0272)

2019

Chen, C. Y.-H. and Hafner, C. M. (2019) Sentiment-induced bubbles in the cryptocurrency market. Journal of Risk and Financial Management, 12(2), 53. (doi: 10.3390/jrfm12020053)

Chen, C. Y.-H. , Härdle, W. K. and Okhrin, Y. (2019) Tail event driven networks of SIFIs. Journal of Econometrics, 208(1), pp. 282-298. (doi: 10.1016/j.jeconom.2018.09.016)

Xu, X., Chen, C. Y.-H. and Härdle, W. K. (2019) Dynamic credit default swap curves in a network topology. Quantitative Finance, 19(10), pp. 1705-1726. (doi: 10.1080/14697688.2019.1585560)

2018

Chen, C. Y.-H. , Chiang, T. C. and Härdle, W. K. (2018) Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. Journal of Banking and Finance, 93, pp. 21-32. (doi: 10.1016/j.jbankfin.2018.05.012)

Tu, A. H. and Chen, C. Y.-H. (2018) A factor-based approach of bond portfolio value-at-risk: the informational roles of macroeconomic and financial stress factors. Journal of Empirical Finance, 45, pp. 243-268. (doi: 10.1016/j.jempfin.2017.11.010)

2017

Lu, M.-J., Chen, C. Y.-H. and Härdle, W. K. (2017) Copula-based factor model for credit risk analysis. Review of Quantitative Finance and Accounting, 49(4), pp. 949-971. (doi: 10.1007/s11156-016-0613-x)

Chen, C. Y.-H. and Chiang, T. C. (2017) Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates. Review of Quantitative Finance and Accounting, 49(1), pp. 1-28. (doi: 10.1007/s11156-016-0584-y)

2016

Chen, C. Y.-H. and Chiang, T. C. (2016) Empirical analysis of the intertemporal relationship between downside risk and expected returns: evidence from time-varying transition probability models. European Financial Management, 22(5), pp. 749-796. (doi: 10.1111/eufm.12079)

Zhang, J. L., Härdle, W. K., Chen, C. Y. and Bommes, E. (2016) Distillation of news flow into analysis of stock reactions. Journal of Business and Economic Statistics, 34(4), pp. 547-563. (doi: 10.1080/07350015.2015.1110525)

2015

Chen, C. Y.-H. and Härdle, W. K. (2015) Common factors in credit defaults swap markets. Computational Statistics, 30(3), pp. 845-863. (doi: 10.1007/s00180-015-0578-6)

Chen, C. Y.-H. and Kuo, I.-D. K. (2015) Survey sentiment and interest rate option smile. International Review of Economics and Finance, 37, pp. 125-137. (doi: 10.1016/j.iref.2014.11.018)

2014

Chen, C. Y.-H. (2014) Does Fear Spill Over? Asia-Pacific Journal of Financial Studies, 43(4), pp. 465-491. (doi: 10.1111/ajfs.12055)

Chen, C. Y.-H. and Kuo, I.-D. (2014) Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets. Review of Quantitative Finance and Accounting, 43(2), pp. 367-391. (doi: 10.1007/s11156-013-0376-6)

Chen, C. Y.-H. , Kuo, I.-D. and Chiang, T. C. (2014) What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem. Journal of International Financial Markets, Institutions and Money, 30, pp. 172-190. (doi: 10.1016/j.intfin.2014.01.009)

2013

Chen, Y.-H. and Tu, A. H. (2013) Estimating hedged portfolio value-at-risk using the conditional copula: an illustration of model risk. International Review of Economics and Finance, 27, pp. 514-528. (doi: 10.1016/j.iref.2013.01.006)

2011

Wang, K., Chen, Y.-H. and Huang, S.-W. (2011) The dynamic dependence between the Chinese market and other international stock markets: a time-varying copula approach. International Review of Economics and Finance, 20(4), pp. 654-664. (doi: 10.1016/j.iref.2010.12.003)

Chen, Y.-H. , Wang, K. and Tu, A. H. (2011) Default correlation at the sovereign level: evidence from some Latin American markets. Applied Economics, 43(11), pp. 1399-1411. (doi: 10.1080/00036840802600467)

Kuo, I.-D. and Chen, C. Y.-H. (2011) Regime dependent information contents of model-free volatility: evidence from the Eurodollar options markets. Review of Futures Markets, 19, pp. 347-380.

2008

Chen, Y.-H. , Tu, A. H. and Wang, K. (2008) Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: evidence from Japan. Journal of International Financial Markets, Institutions and Money, 18(3), pp. 259-271. (doi: 10.1016/j.intfin.2006.10.004)

This list was generated on Sat Jan 25 01:09:14 2025 GMT.
Jump to: Articles | Book Sections
Number of items: 28.

Articles

Chen, C. Y.-H. , Härdle, W. K. and Klochkov, Y. (2022) SONIC: SOcial Network analysis with Influencers and Communities. Journal of Econometrics, 228(2), pp. 177-220. (doi: 10.1016/j.jeconom.2021.02.008)

Chen, C. Y.-H. , Okhrin, Y. and Wang, T. (2022) Monitoring network changes in social media. Journal of Business and Economic Statistics, 42(2), pp. 391-406. (doi: 10.1080/07350015.2021.2016425)

Chen, C. Y.-H. , Fengler, M. R., Härdle, W. K. and Liu, Y. (2022) Media-expressed tone, option characteristics, and stock return predictability. Journal of Economic Dynamics and Control, 134, 104290. (doi: 10.1016/j.jedc.2021.104290)

Mihoci, A., Haerdle, W. and Chen, C. Y.-H. (2021) TERES: tail event risk expectile based shortfall. Quantitative Finance, 21(3), pp. 449-460. (doi: 10.1080/14697688.2020.1786151)

Nasekin, S. and Chen, C. Y.-H. (2020) Deep learning-based cryptocurrency sentiment construction. Digital Finance, 2, pp. 39-67. (doi: 10.1007/s42521-020-00018-y)

Hou, A. J., Wang, W., Chen, C. Y.-H. and Härdle, W. K. (2020) Pricing cryptocurrency options. Journal of Financial Econometrics, 18(2), pp. 250-279. (doi: 10.1093/jjfinec/nbaa006)

Chen, C. Y.-H. and Nasekin, S. (2020) Quantifying systemic risk with factor copulas. European Journal of Finance, 26(18), pp. 1926-1947. (doi: 10.1080/1351847X.2020.1828961)

Qian, Y., Härdle, W. and Chen, C. Y.-H. (2020) Modelling industry interdependency dynamics in a network context. Studies in Economics and Finance, 37(1), pp. 50-70. (doi: 10.1108/SEF-07-2019-0272)

Chen, C. Y.-H. and Hafner, C. M. (2019) Sentiment-induced bubbles in the cryptocurrency market. Journal of Risk and Financial Management, 12(2), 53. (doi: 10.3390/jrfm12020053)

Chen, C. Y.-H. , Härdle, W. K. and Okhrin, Y. (2019) Tail event driven networks of SIFIs. Journal of Econometrics, 208(1), pp. 282-298. (doi: 10.1016/j.jeconom.2018.09.016)

Xu, X., Chen, C. Y.-H. and Härdle, W. K. (2019) Dynamic credit default swap curves in a network topology. Quantitative Finance, 19(10), pp. 1705-1726. (doi: 10.1080/14697688.2019.1585560)

Chen, C. Y.-H. , Chiang, T. C. and Härdle, W. K. (2018) Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. Journal of Banking and Finance, 93, pp. 21-32. (doi: 10.1016/j.jbankfin.2018.05.012)

Tu, A. H. and Chen, C. Y.-H. (2018) A factor-based approach of bond portfolio value-at-risk: the informational roles of macroeconomic and financial stress factors. Journal of Empirical Finance, 45, pp. 243-268. (doi: 10.1016/j.jempfin.2017.11.010)

Lu, M.-J., Chen, C. Y.-H. and Härdle, W. K. (2017) Copula-based factor model for credit risk analysis. Review of Quantitative Finance and Accounting, 49(4), pp. 949-971. (doi: 10.1007/s11156-016-0613-x)

Chen, C. Y.-H. and Chiang, T. C. (2017) Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates. Review of Quantitative Finance and Accounting, 49(1), pp. 1-28. (doi: 10.1007/s11156-016-0584-y)

Chen, C. Y.-H. and Chiang, T. C. (2016) Empirical analysis of the intertemporal relationship between downside risk and expected returns: evidence from time-varying transition probability models. European Financial Management, 22(5), pp. 749-796. (doi: 10.1111/eufm.12079)

Zhang, J. L., Härdle, W. K., Chen, C. Y. and Bommes, E. (2016) Distillation of news flow into analysis of stock reactions. Journal of Business and Economic Statistics, 34(4), pp. 547-563. (doi: 10.1080/07350015.2015.1110525)

Chen, C. Y.-H. and Härdle, W. K. (2015) Common factors in credit defaults swap markets. Computational Statistics, 30(3), pp. 845-863. (doi: 10.1007/s00180-015-0578-6)

Chen, C. Y.-H. and Kuo, I.-D. K. (2015) Survey sentiment and interest rate option smile. International Review of Economics and Finance, 37, pp. 125-137. (doi: 10.1016/j.iref.2014.11.018)

Chen, C. Y.-H. (2014) Does Fear Spill Over? Asia-Pacific Journal of Financial Studies, 43(4), pp. 465-491. (doi: 10.1111/ajfs.12055)

Chen, C. Y.-H. and Kuo, I.-D. (2014) Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets. Review of Quantitative Finance and Accounting, 43(2), pp. 367-391. (doi: 10.1007/s11156-013-0376-6)

Chen, C. Y.-H. , Kuo, I.-D. and Chiang, T. C. (2014) What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem. Journal of International Financial Markets, Institutions and Money, 30, pp. 172-190. (doi: 10.1016/j.intfin.2014.01.009)

Chen, Y.-H. and Tu, A. H. (2013) Estimating hedged portfolio value-at-risk using the conditional copula: an illustration of model risk. International Review of Economics and Finance, 27, pp. 514-528. (doi: 10.1016/j.iref.2013.01.006)

Wang, K., Chen, Y.-H. and Huang, S.-W. (2011) The dynamic dependence between the Chinese market and other international stock markets: a time-varying copula approach. International Review of Economics and Finance, 20(4), pp. 654-664. (doi: 10.1016/j.iref.2010.12.003)

Chen, Y.-H. , Wang, K. and Tu, A. H. (2011) Default correlation at the sovereign level: evidence from some Latin American markets. Applied Economics, 43(11), pp. 1399-1411. (doi: 10.1080/00036840802600467)

Kuo, I.-D. and Chen, C. Y.-H. (2011) Regime dependent information contents of model-free volatility: evidence from the Eurodollar options markets. Review of Futures Markets, 19, pp. 347-380.

Chen, Y.-H. , Tu, A. H. and Wang, K. (2008) Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: evidence from Japan. Journal of International Financial Markets, Institutions and Money, 18(3), pp. 259-271. (doi: 10.1016/j.intfin.2006.10.004)

Book Sections

Mihoci, A., Althof, M., Chen, C. Y.-H. and Härdle, W. K. (2020) FRM financial risk meter. In: de Paula, Á., Tamer, E. and Voia, M.-C. (eds.) The Econometrics of Networks. Series: Advances in econometrics (42). Emerald. ISBN 9781838675769

This list was generated on Sat Jan 25 01:09:14 2025 GMT.

Grants

2021.09-2023.02, principal investigator, “Privacy-preserving Data Sharing and Trading Ecosystem for Distributed Wireless IoT Networks”, EPSRC, 179,000 pounds.

2020.03-2023.03, principal investigator, ” Fintech and Artificial Intelligence in Finance -- Towards a transparent financial industry ” granted by European Cooperation in Science and Technology, 520,000 Euro.

2018.10 – 2022.03: International Research Training Group 1792, award EUR 200,000

Supervision

Cathy is interested in supervising projects examining:

Current doctoral supervision

Jiawen Liang
"How Robo-advisors learn Rare Disasters"
Co-supervisor: Bowei Chen

 

Daniel Mittendorf

"Compressed time series text regression"

Co-supervisor:Dimitris Korobilis

 

Completed PhDs

Alla Petukhina (HU-Berlin)
Sergey Nasekin (HU-Berlin)
Hien Pham-Thu (HU-Berlin)
Petra Burdejova (HU-Berlin)
Lenka Zbonakova (HU-Berlin)

  • Farhod, Ahmed
    The Impact of Financial Reporting Quality on Risk Composition, Stock Returns and Trading Volume

Teaching

Information retrieval with Python

Econometrics

Professional activities & recognition

Prizes, awards & distinctions

  • 2019-2023: Privacy-preserving Data Sharing and Trading Ecosystem for Distributed Wireless IoT Networks (EPSRC Peer Review)

Research fellowships

  • 2019 - 2023: Mercator Fellowship of German Research Foundation

Editorial boards

  • 2020 - ongoing: Review of Quantitative Finance and Accounting
  • 2016 - ongoing: Computational Statistics
  • 2019 - ongoing: Digital Finance

Additional information

  • Associate Editor of Review of Quantitative Finance and Accounting 
  • Associate Editor of Digital Finance and also Computational Statistics
  • Special issue editor of “Machine learning in Finance” in Digital Finance
  • Mercator Fellow of International Research Training Group 1792 in Germany
  • Management Committee substitute representing the UK for the EU FinTech Action
  • Fellow of Blockchain Research Center in Berlin

Professor Cathy Yi-Hsuan Chen, Professor in Corporate Finance and Banking