Cathy Yi‐Hsuan Chen

University of Glasgow, Adam Smith Business School

01.03.2019

University Avenue

Glasgow, G12 8QQ

United Kingdom

http://https://gla.cathychen.info

Humboldt Universität zu Berlin

Unter den Linden 6,

Berlin, 10117

Germany

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 43,831

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5

CROSSREF CITATIONS

9

Scholarly Papers (11)

1.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Ai Jun Hou, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Stockholm University, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 854 (30,141)
Citation 10

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Cryptocurrency IndeX, CRIX, Bitcoin, Cryptocurrency, SVCJ, Option pricing, OCRIX

2.

Deep Learning-Based Cryptocurrency Sentiment Construction

Number of pages: 29 Posted: 08 Jan 2019 Last Revised: 18 Feb 2020
Sergey Nasekin and Cathy Yi‐Hsuan Chen
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Glasgow, Adam Smith Business School
Downloads 304 (109,277)
Citation 1

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sentiment analysis, lexicon, social media, word embedding, deep learning, LSTM

3.

What Makes Cryptocurrencies Special? Investor Sentiment and Return Predictability During the Bubble

Number of pages: 36 Posted: 28 Jun 2019 Last Revised: 12 Jul 2019
Cathy Yi‐Hsuan Chen, Romeo Despres, Li Guo and Thomas Renault
University of Glasgow, Adam Smith Business School, affiliation not provided to SSRN, Fudan University - School of Economics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 179 (183,742)
Citation 4

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Cryptocurrency; Sentiment; Bubble; Return Predictability

4.

FRM Financial Risk Meter

Advances in Econometrics, Volume 42, The Econometrics of Networks
Number of pages: 35 Posted: 05 Aug 2019 Last Revised: 07 Apr 2020
Andrija Mihoci, Michael Althof, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Brandenburg University of Technology (BTU), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 144 (220,801)

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Systemic Risk, Quantile Regression, Lasso, Financial Markets, Risk Management, Network Dynamics, Recession

5.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 63 (378,884)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

6.

Investor Attention and Topic Appearance Probabilities: Evidence from Treasury Bond Market

Number of pages: 34 Posted: 05 Aug 2020
Hao Lei, Ying Chen and Cathy Yi‐Hsuan Chen
National University of Singapore (NUS) - Department of Statistics and Applied Probability, Department of Mathematics, National University of Singapore and University of Glasgow, Adam Smith Business School
Downloads 9 (641,576)

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Investor Attention, U.S. Treasury Market, Topic Modeling, Financial News

7.

Media-expressed tone, Option Characteristics, and Stock Return Predictability

Number of pages: 47
Cathy Yi‐Hsuan Chen, Matthias R. Fengler, Wolfgang K. Härdle and Yanchu Liu
University of Glasgow, Adam Smith Business School, University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 4

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option markets, equity markets, stock return predictability, media tone, topic model

8.

Pricing Cryptocurrency Options: The Case of Crix and Bitcoin

Number of pages: 47
Ai Jun Hou, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Stockholm University, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 3

Abstract:

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[coCRyptocurrency IndeX, CRIX, Bitcoin,Cryptocurrency, SVCJ, Option pricing,OCRIXmma separated]

9.

SONIC: SOcial Network with Influencers and Communities

Number of pages: 55
Cathy Yi‐Hsuan Chen, Wolfgang K. Härdle and Yegor Klochkov
University of Glasgow, Adam Smith Business School, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 2

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social media, network, community, opinion mining, natural language processing

10.

Textual Sentiment and Sector specific reaction

Number of pages: 37
Elisabeth Bommes, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 1

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Investor Sentiment, Attention Analysis, Sector-specic Reactions, Volatility, Text Mining, Polarity

11.

Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time‐Varying Transition Probability Models

European Financial Management, Vol. 22, Issue 5, pp. 749-796, 2016
Number of pages: 48 Posted: 22 Nov 2016
Cathy Yi‐Hsuan Chen and Thomas Chinan Chiang
University of Glasgow, Adam Smith Business School and Drexel University - Department of Finance
Downloads 0 (726,702)
Citation 1
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downside risk, Value‐at‐Risk, transition probability model, risk–return relationship