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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    • Fax: 10099
SCHOLARLY PAPERS

17

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SSRN CITATIONS
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23

CROSSREF CITATIONS

11

Scholarly Papers (17)

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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 K. Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 1,531 (18,486)
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 590 (70,410)
Citation 9

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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 476 (91,423)
Citation 5

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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 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 359 (126,571)
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 204 (223,913)

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

6.

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 123 (339,916)

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

7.

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 K. Härdle
IRTG 1792, Humboldt-Universität 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 110 (368,018)
Citation 2

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Cryptocurrency, price, blockchain mechanism, distributional characteristics, clustering

8.

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 104 (382,512)

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Bitcoin, cryptocurrency, pricing kernel, currency competition

9.

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 89 (423,427)
Citation 2

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

10.

Robo-Advising Under Rare Disasters

Number of pages: 27 Posted: 14 Sep 2022
Jiawen Liang, Cathy Yi‐Hsuan Chen and Bowei Chen
University of Glasgow, University of Glasgow, Adam Smith Business School and University of Glasgow
Downloads 78 (457,672)

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robo advisors, rare disasters, reinforcement learning

11.

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 73 (475,033)
Citation 1

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

12.

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 68 (493,477)

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blockchain, tokenomics, adoption, network effects, martingale

13.

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 57 (538,473)

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

14.

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 45 (596,391)

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

15.

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 42 (612,626)

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

16.

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 34 (659,749)

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Change point, network, CUSUM, sparsity, social media

17.

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 5 (907,607)
Citation 1

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