Phd, Assistant Professor of Finance
College of Business, STUST
Research interests
Teaching
Publications
Personal website of Ping-chen Tsai (Vincent Tsai).
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Last updated on July 2017.
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BA: Microeconomics, Introduction to Calculus, Review on Topics in Finance Certificate Exams, Calculus for Business, International Financial Management
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MSc: Review on Topics in Finance Certificate Exams
In STUST
2014-2015
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BA (English-taught): Statistics, Financial News Reading and Discussion
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BA: Introduction to Calculus, Review on Topics in Finance Certificate Exams, Calculus for Business
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Exchange program (English-taught): Financial Markets
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MSc: Review on Topics in Finance Certificate Exams
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PhD (English-taught): Seminar in Financial Decision Analysis
In STUST
2015-2016
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BA (English-taught): Statistics, Financial News Reading and Discussion, Financial Markets, International Finance
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BA: Introduction to Calculus, Review on Topics in Finance Certificate Exams, Calculus for Business
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Exchange program (English-taught): Financial Markets
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MSc: Review on Topics in Finance Certificate Exams
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PhD (English-taught): Seminar in Financial Decision Analysis
In STUST
2016-2017
Do Jumps In Financial Prices Cluster? Evidence From High-Frequency Data
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Presented in:
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2017 Asian Meeting of the Econometric Society, The Chinese University of Hong Kong (CUHK)
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Department of Statistics, National Cheng-Kung University (NCKU)
Tsai, P.C.
2017
Detecting Jumps in High-frequency Prices under Stochastic Volatility: a Data-driven Approach, in Handbook of High-frequency Trading and Modelling in Finance, John Wiley, Hoboken, New Jersey. (peer-reviewed)
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Tsai, P. C. and M. B. Shackleton
2016
2002
BA in Finance, National Taiwan University
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Degree with distinction.
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Thesis: Option Bounds & Option Pricing with Limited Information
2006
MSc in Finance, Lancaster University
2013
PhD in Finance, Lancaster University
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Dissertation: An Empirical Study on Jumps in Asset Prices Using High-frequency Data: Volatility Specification, Jumps Detection & the Modelling of Jump Intensity
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The stationary condition and weighting kernel (decay function) of Hawkes process
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Residual analysis of linear Hawkes process
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Superposition of point processes
Linear Hawkes process
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Use of Extreme Value Theorem in determining the rejection region of jump tests.
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The impact of intra-day volatility pattern and jump-driven leverage effect on the size and power properties of jump tests.
High-frequency data and jump detection
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Hidden Markov models (HMM)
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Principal component analysis (PCA)
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Markov Chain Monte Carlo simulation (MCMC)
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Quantile regression
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Copulas
Methods in financial econometrics
2007-2009
In Lancaster
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BA/BSc: tutorial for International Financial Management
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MSc: tutorial for Financial Econometrics; tutorial for MSc thesis on risk-neutral density from option data
2017
Tsai, P.C.
Testing For Jumps In Prices Under Jump-Driven Leverage Effect In Volatility: A Simulation Study
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Presented in:
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The 1st International Conference on Econometrics and Statistics (ECOSTA 2017), HKUST
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The 26th South Taiwan Statistics Conference, National Taipei University
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2009
Tsai, P.C.
Decomposing Realized Variance: a Point Process of Relevant Price Changes with Long Memory in Volatility
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Presented in:
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Quantitative & Qualitative Analysis in Social Sciences (QASS) Conference on Financial Econometrics & Realized Volatility, Queen Mary University, London
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The 1st Annual Conference on Modelling High-frequency Data in Finance, Stevens Institute of Technology, Hoboken, New Jersey​
2009
Tsai, P.C.
Volatility Modelling with Heterogeneous Impulse Response Function: Introducing Non-parametric Jumps into the FIEGARCH Model
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Presented in:
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The 2009 Far East and South Asia Meeting of the Econometric Society, University of Tokyo