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

14

DOWNLOADS
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Top 24,391

in Total Papers Downloads

2,510

SSRN CITATIONS
Rank 26,684

SSRN RANKINGS

Top 26,684

in Total Papers Citations

25

CROSSREF CITATIONS

10

Scholarly Papers (14)

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, affiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 1,175 (21,915)
Citation 15

Abstract:

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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 369 (99,787)
Citation 4

Abstract:

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

3.

What Makes Cryptocurrencies Special? Investor Sentiment and Return Predictability

Number of pages: 36 Posted: 28 Jun 2019 Last Revised: 06 Apr 2021
Cathy Yi‐Hsuan Chen, Li Guo and Thomas Renault
University of Glasgow, Adam Smith Business School, Fudan University - School of Economics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 347 (106,908)
Citation 9

Abstract:

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Cryptocurrency; Sentiment; Momentum, Return Predictability, Bitcoin

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 Blockchain Research Center
Downloads 243 (155,241)
Citation 3

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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 88 (349,682)

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

6.

Media-Expressed Tone, Option Characteristics, and Stock Return Predictability

Number of pages: 47 Posted: 05 Sep 2020
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, Blockchain Research Center and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 56 (446,488)
Citation 2

Abstract:

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

7.

A Fight-to-Safety from Bitcoin to Stock Markets:Evidence from Cyber Attacks

Number of pages: 42 Posted: 11 Jun 2021 Last Revised: 13 Jun 2021
Yang Fang, Cathy Yi‐Hsuan Chen and Chunxia Jiang
University of Aberdeen, University of Glasgow, Adam Smith Business School and University of Aberdeen
Downloads 54 (453,822)

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Cyber-crime; Cryptocurrency; Flight-to-safety; Stock market; Social media

8.

Textual Sentiment and Sector Specific Reaction

Number of pages: 37 Posted: 31 Aug 2020
Elisabeth Bommes, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 45 (490,178)
Citation 1

Abstract:

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

9.

Blockchain Mechanism and Distributional Characteristics of Cryptos

Lin MB, Khowaja K, Chen CYH, Härdle WK (2020) Blockchain mechanism and distributional characteristics of cryptos. Forthcoming in: Book Series: Advances in Quantitative Analysis of Finance & Accounting (AQAFA) , Vol. 18, (2021).
Number of pages: 28 Posted: 20 Mar 2021
Min-Bin Lin, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Humboldt-Universit ?at zu Berlin, Germany, International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 36 (532,201)
Citation 2

Abstract:

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Cryptocurrency, price, blockchain mechanism, distributional characteristics, clustering

10.

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 29 (570,055)

Abstract:

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

11.

SONIC: SOcial Network with Influencers and Communities

Number of pages: 55 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Wolfgang K. Härdle and Yegor Klochkov
University of Glasgow, Adam Smith Business School, Blockchain Research Center and Humboldt University of Berlin
Downloads 25 (595,051)

Abstract:

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

12.

Coins With Benefits: On Existence, Pricing Kernel and Risk Premium of Cryptocurrencies

Number of pages: 49 Posted: 11 Jun 2021 Last Revised: 13 Jun 2021
Cathy Yi‐Hsuan Chen and Dmitri Vinogradov
University of Glasgow, Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 23 (608,361)

Abstract:

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Bitcoin, cryptocurrency, pricing kernel, currency competition

13.

Quantifying Systemic Risk with Factor Copulas

Number of pages: 38 Posted: 11 Jun 2021
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 20 (628,957)

Abstract:

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factor copula, network, Value-at-Risk, tail dependence, eigenvector centrality

14.

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 (795,614)
Citation 1
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Abstract:

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downside risk, Value‐at‐Risk, transition probability model, risk–return relationship