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

  • University of Glasgow, Adam Smith Business School

  • Humboldt Universität zu Berlin

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SCHOLARLY PAPERS

23

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6,794

TOTAL CITATIONS
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Top 19,505

in Total Papers Citations

66

Scholarly Papers (23)

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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, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,786 (21,150)
Citation 15

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

2.

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 1,138 (41,451)
Citation 25

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Cryptocurrency; Sentiment; Momentum, Return Predictability, Bitcoin

3.

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 620 (93,914)
Citation 13

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

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 Karl 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 Humboldt-Universität zu Berlin
Downloads 514 (118,954)
Citation 3

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

5.

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 374 (172,377)
Citation 2

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

6.

Blockchain Mechanism and Distributional Characteristics of Cryptos

Lin MB, Khowaja K, Chen CYH, Härdle WK. Blockchain mechanism and distributional characteristics of cryptos. Advances in Quantitative Analysis of Finance & Accounting (AQAFA) , Vol. 18, 2021. DOI:10.6293/AQAFA.202112_(18).0006
Number of pages: 27 Posted: 20 Mar 2021 Last Revised: 03 Feb 2022
Min-Bin Lin, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
affiliation not provided to SSRN, 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 Humboldt-Universität zu Berlin
Downloads 345 (188,440)
Citation 2

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Cryptocurrency, price, blockchain mechanism, distributional characteristics, clustering

7.

The Pricing of Digital Art

Downloads 245 (269,587)

The Pricing of Digital Art

Center for Financial Studies Working Paper No. 716, 2023
Number of pages: 32 Posted: 20 Mar 2024
Cathy Yi‐Hsuan Chen, Roman Kräussl and Patrick Verwijmeren
University of Glasgow, Adam Smith Business School, Bayes Business School (formerly Cass) and Erasmus University Rotterdam (EUR)
Downloads 131 (472,665)

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Digital art, conspicuous consumption, utility dividends, risk premium, valuation

The Pricing of Digital Art

Number of pages: 29 Posted: 25 Sep 2023 Last Revised: 26 Dec 2023
Cathy Yi‐Hsuan Chen, Roman Kräussl and Patrick Verwijmeren
University of Glasgow, Adam Smith Business School, Bayes Business School (formerly Cass) and Erasmus University Rotterdam (EUR)
Downloads 114 (527,803)

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Digital art, conspicuous consumption, utility dividends, risk premium, valuation

8.

Robo-Advising Under Rare Disasters

Number of pages: 26 Posted: 14 Sep 2022 Last Revised: 27 Jul 2023
Jiawen Liang, Cathy Yi‐Hsuan Chen and Bowei Chen
University of Glasgow, University of Glasgow, Adam Smith Business School and University of Glasgow
Downloads 221 (298,014)

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robo advisors, rare disasters, reinforcement learning

9.

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 171 (377,564)
Citation 1

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Bitcoin, cryptocurrency, pricing kernel, currency competition

10.

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 169 (383,426)

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

11.

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 Karl Härdle and Yanchu Liu
University of Glasgow, Adam Smith Business School, University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 154 (413,142)
Citation 2

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

12.

What Drives Crypto’s Volatility Persistence: A Data Analytic Probe on Ethereum

Number of pages: 56 Posted: 08 Feb 2024
Min-Bin Lin, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
affiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 150 (424,549)

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Blockchain, Ethereum, ETH, cryptonomics, the Merge, volatility components

13.

Are There 'Winner-Takes-It-All' Effects in Blockchain User Adoption?

Number of pages: 41 Posted: 11 Oct 2021 Last Revised: 18 Jul 2022
Cathy Yi‐Hsuan Chen and Felix Irresberger
University of Glasgow, Adam Smith Business School and Durham University
Downloads 145 (433,966)

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blockchain, tokenomics, adoption, network effects, martingale

14.

News-Driven Uncertainty and Volatility Feedback

Number of pages: 25 Posted: 29 Sep 2023
Ankush Agarwal, Jozef Baruník and Cathy Yi‐Hsuan Chen
University of Glasgow - Adam Smith Business School, Charles University in Prague - Department of Economics and University of Glasgow, Adam Smith Business School
Downloads 132 (468,182)

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feedback effect, leverage effect, stochastic volatility, uncertainty, sentiment

15.

Textual Sentiment and Sector Specific Reaction

Number of pages: 37 Posted: 31 Aug 2020
Elisabeth Bommes, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 129 (476,887)
Citation 1

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

16.

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, National University of Singapore (NUS) - Department of Mathematics and University of Glasgow, Adam Smith Business School
Downloads 93 (605,338)

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

17.

SONIC: SOcial Network with Influencers and Communities

Number of pages: 55 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Wolfgang Karl Härdle and Yegor Klochkov
University of Glasgow, Adam Smith Business School, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 87 (630,949)

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

18.

Monitoring Network Changes in Social Media

Accepted and forthcoming in Journal of Business and Economic Statistics
Number of pages: 36 Posted: 12 Oct 2021 Last Revised: 02 Dec 2021
Cathy Yi‐Hsuan Chen, Yarema Okhrin and Tengyao Wang
University of Glasgow, Adam Smith Business School, University of Augsburg and University College London
Downloads 76 (682,882)
Citation 2

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Change point, network, CUSUM, sparsity, social media

19.

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 69 (720,549)

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

20.

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

Number of pages: 1 Posted: 21 Oct 2024
Yang Fang, Cathy Yi‐Hsuan Chen and Chunxia Jiang
Westminster Business School, University of Glasgow, Adam Smith Business School and University of Aberdeen
Downloads 60 (775,285)

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

21.

Dynamic Forward Intensities for Multiperiod Default 

Number of pages: 34 Posted: 16 Jul 2024
Dedy Dwi Prastyo, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Institute of Technology Sepuluh Nopember (ITS) - Department of Statistics, 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 Humboldt-Universität zu Berlin
Downloads 46 (880,427)

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Forward default intensity, Local adaptive, Mutiperiod prediction

22.

Dynamic Forward Intensities for Multiperiod Default

Number of pages: 34 Posted: 17 Jun 2024
Dedy Dwi Prastyo, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Institute of Technology Sepuluh Nopember (ITS) - Department of Statistics, 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 Humboldt-Universität zu Berlin
Downloads 45 (888,969)

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Forward default intensity, Local adaptive, Mutiperiod prediction

23.

Clarity of Monetary Stance and Market Uncertainty

Number of pages: 24 Posted: 29 May 2024
Cathy Yi‐Hsuan Chen
University of Glasgow, Adam Smith Business School
Downloads 25 (1,096,008)

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textual analysis, Bayesian Lasso, FOMC, Uncertainty, clarity