| 姓名 | 蔡秉真 |
|---|---|
| 職稱 | 助理教授 |
| 專長及研究領域 | Financial Markets,High-frequency,Stochastic Volatility,Price Jumps,Hawkes Process,Financial Statistics,Information Asymmetry. |
| 研究室 | CM3052 |
| 分機 | 4825 |
| vincenttsai@mail.nsysu.edu.tw |
| 學歷 | 2013, 博士, 財務, Lancaster University 2006, 碩士, 財務, Lancaster University 2002, 學士, 財務金融, 國立台灣大學 |
|---|---|
| 個人經歷 | 2021-04-16 ~ , Lancaster University Management School Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Visiting Research Fellow 2014-08-01 ~ 2020-07-31, 南臺科技大學, 助理教授 |
| 學術服務 | 2024-02-01 ~ 2024-03-08, 管理與系統 Journal of Management and Systems, 論文審查 2023-06-01 ~ 2023-08-31, International Review of Financial Analysis, 論文審查 Reviewer 2023-06-01 ~ 2023-08-31, Review of Quantitative Finance and Accounting, 論文審查 Reviewer 2023-05-11 ~ 2023-07-10, International Review of Economics & Finance, 論文審查 Reviewer 2022-03-01 ~ 2022-03-31, Applied Economics incorporating Applied Financial Economics, 論文審查 Reviewer 2021-09-01 ~ 2021-11-19, Journal of the Royal Statistical Society: Series C, 論文審查 Reviewer 2021-01-04 ~ 2021-01-31, 台灣經濟預測與政策 Taiwan Economic Forecast and Policy, 論文審查 Reviewer 2020-10-01 ~ 2020-11-30, Mathematics, MDPI, 論文審查 Reviewer 2019-05-01 ~ 2019-06-30, Physica A: Statistical Mechanics and its Applications, 論文審查 Reviewer 2019-05-01 ~ , Pusan National University, PhD Viva external examiner 2014-07-01 ~ 2014-08-31, Journal of Banking and Finance, 論文審查 Reviewer |
| 類別 | 年度 | 名稱 |
|---|---|---|
| 期刊論文 | 2024 | Thi Hong Nhung Nguyen, Ping-Chen Tsai, Chia-Hua Chang, Hsiao-Jung Chen (2024). Comparative Analysis of Estimating Capacity Factor for Wind Energy in Taiwan. Journal of Taiwan Society of Naval Architects and Marine Engineers 中國造船暨輪機工程學刊 . (其他期刊) |
| 期刊論文 | 2023 | Ping Chen TSAI and Cheoljun EOM (2023). Leverage Effect Has an Intraday Pattern and Intraday Volatility Pattern Has a Leverage Effect: A Range-based Approach. Journal of Futures and Options 期貨與選擇權學刊 (accepted). (TSSCI) |
| 期刊論文 | 2022 | Chien-Yuan Lai, Zhen-Yu Lin, Cheoljun Eom, Ping Chen Tsai (2022). Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index. Journal of Risk and Financial Management (ESCI), 15(11), 523. (其他期刊) |
| 期刊論文 | 2021 | P. C. Tsai (2021). Modelling Over-Dispersion in Price Jumps Arrivals: A Comparison between Poisson Mixtures and Linear Hawkes Model. Journal of the Chinese Statistical Association 中國統計學報 (CIS, JEL, EconLit), 59(2), 98-128. (其他期刊) |
| 期刊論文 | 2021 | Hong Nhung Nguyen, Chia Hua Chang and Ping Chen Tsai (2021). Probability-based Capacity Factor in Uncertainty Analysis of Electricity Cost for Individual Wind Projects: a Novel Approach. International Journal of Energy Research, 46(2), 980-994. (SCIE) |
| 期刊論文 | 2021 | P. C. Tsai and C. M. Tsai (2021). Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from Exchange Rate. Journal of Economic Interaction and Coordination, 16(3), 443-470. (SSCI) |
| 期刊論文 | 2020 | P.C. Tsai (2020). Testing for Jumps in Prices under Jump-driven Leverage Effect in Stochastic Volatility: An Empirical and Simulation Study. 期貨與選擇權學刊, 13(2), 1-50. (TSSCI) |
| 期刊論文 | 2020 | Hai, H.V., J.W. Park, P.C. Tsai and C. Eom (2020). Lottery Mindset, Mispricing and Idiosyncratic Volatility Puzzle: Evidence from the Chinese Stock Market. North American Journal of Economics and Finance, 54(2020), 101266. (SSCI) |
| 研討會論文 | 2023 | Ping Chen TSAI, Jhih Jhong YING and Cheoljun EOM (2023). Amihud Illiquidity, Intraday Volatility Pattern and Price Jump Detection – International Stock Markets Evidence. The 31st Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management (PBFEAM), 2-3 June, 2023, Taiwan. |
| 研討會論文 | 2023 | 劉永翔 蔡秉真 (2023). 股權集中程度對資訊不對稱的影響 -台灣上市公司實證結果. 2023中部財金學術聯盟研討會, Taiwan. |
| 研討會論文 | 2023 | Ping Chen TSAI and Cheoljun EOM (2023). How One Country’s Policy Rate Changes are Induced by Another: A Hawkes Process Approach. 2023臺灣財務金融學會年會暨國際研討會, Taiwan. |
| 研討會論文 | 2023 | Ping Chen TSAI and Cheoljun EOM (2023). Can Price Jumps Be Explained by Leverage Effect of Volatility? An HAR-Hawkes framework. The 6th International Conference on Econometrics and Statistics (EcoSta 2023), Japan. |
| 研討會論文 | 2023 | Kuei-Han JHU and Ping Chen TSAI (2023). Correcting for Negative Values in Range-based Spread Estimator – A Conditional Auto-Regressive Range (CARR) Approach. 2023 International Conference and Annual Meeting of the Financial Engineering Association of Taiwan, Taiwan. |
| 研討會論文 | 2023 | I Chun CHEN, Yen-Hsun CHUANG and Ping Chen TSAI (2023). Constructing a Time Series Prediction Model for Taiwan Index by Integrating News Sentiment and International Derivative - A Case Study of the Steel Market. 2023 International Conference on AI for a Sustainable Society (ICAISS 2023), Taiwan. |
| 研討會論文 | 2023 | Ping Chen TSAI and Cheoljun EOM (2023). State-dependent intra-day volatility pattern and price jump detection: Evidence from international equity indices . Financial Econometrics Conference, Lancaster University Management School, . |
| 研討會論文 | 2022 | Ping Chen TSAI and Cheoljun EOM (2022). Leverage Effect Has an Intraday Pattern and Intraday Volatility Pattern Has a Leverage Effect: A Range-based Approach . 2022 New Futures期貨學術與實務交流研討會, Taiwan. |
| 研討會論文 | 2022 | Ping Chen TSAI and Cheoljun EOM (2022). Asymmetric Intra-day Volatility Pattern and Price Jump Detection: Evidence from International Equity Indices. 2022台灣經濟計量學會年會, . |
| 研討會論文 | 2022 | Ping Chen TSAI and Cheoljun EOM (2022). State-dependent intra-day volatility pattern and price jump detection: Evidence from international equity indices . 2022 TRIA-FeAT Joint Annual Meeting and International Conference of Risk, Insurance, and Financial Engineering, Providence University, Taiwan, . |
| 研討會論文 | 2021 | P. C. Tsai, C. Eom and C. W. Wang (2021). An intraday range model with leverage effect in intraday volatility pattern. 第30屆南區統計研討會, . |
| 研討會論文 | 2020 | Ping Chen TSAI and Hsiao Jung CHEN (2020). Leverage Effect in Volatility and in Price Jumps: New Empirical Evidence. The 28th Conference on the Theories & Practices of Securities and Financial Markets (SFM), Taiwan. |
| 研討會論文 | 2019 | P. C. Tsai (2019). How stochastic are the innovations to a comprehensive volatility model? A point process analysis on high-frequency data. 18th Winter school on Mathematical Finance, Netherlands. |
| 研討會論文 | 2018 | P. C. Tsai (2018). Applying Statistical Thinking to Bank's Know-Your-Customer (KYC) Questions Design. 2018年調查研究方法與應用學術研討會, Taiwan. |
| 研討會論文 | 2018 | P. C. Tsai and C. M. Tsai (2018). Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from CHF/EUR Exchange Rate. The 23rd Annual Workshop on Economic Science with Heterogeneous Interacting Agents (WEHIA), Japan. |
| 研討會論文 | 2017 | P. C. Tsai (2017). Do Jumps in Financial Prices Cluster? Evidence from High-Frequency Data. 2017 Asian Meeting of the Econometric Society (AMES), Hong Kong. |
| 專書及專章 | 2020 | P. C. Tsai and S. H. Dai (2020). Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range, Advanced Studies of Financial Technologies and Cryptocurrency Markets. Springer |
| 專書及專章 | 2016 | P. C. Tsai and M. B. Shackleton (2016). Detecting Jumps in High-Frequency Prices under Stochastic Volatility: A Review and a Data-Driven Approach, Handbook of High-Frequency Trading and Modeling in Finance. Wiley |
| 年度 | 名稱 |
|---|---|
| 2023 | 百分百全英文授課可行嗎? 以專業術語預訓練增進 EMI 課程金融數據分析之學習動機與成效. 教育部 (PMS1123028) |
| 2022 | Excel電腦上機實作對提升財務工程概論中隨機微積分學習成效之實踐研究. 教育部 (PMS1110059) |
| 2021 | 以融滲式教學進行全英授課之國際金融課程: 連結在地與國際. 教育部 (PBM1101216) |
| 學年度 | 學期 | 必選修 | 開課系所 | 課號 | 課程名稱 |
|---|---|---|---|---|---|
| 112 | 2 | 選 | 財管系 | FM314 | 財務工程概論 |
| 112 | 2 | 選 | 財管系 | FM614 | 金融數據分析與交易策略 |
| 112 | 2 | 必 | 財管系 | FM206 | 統計學（二） |
| 112 | 2 | 選 | 財管系 | FM613J | 專題研究（二） |
| 111 | 2 | 選 | 財管系 | FM804 | 財務實證方法 |
| 111 | 2 | 選 | 財管系 | FM613E | 專題研究（二） |
| 111 | 2 | 選 | 財管系 | FM314 | 財務工程概論 |
| 111 | 2 | 必 | 財管系 | FI605 | 碩士論文專題（二） |
| 111 | 1 | 必 | 財管系 | FI604 | 碩士論文專題（一） |
| 111 | 1 | 選 | 財管系 | FM601 | 國際財管理論與實務 |
| 111 | 1 | 選 | 財管系 | FM426 | 行為財務與私人銀行實務 |
| 111 | 1 | 選 | 財管系 | FM608 | 財務工程與金融創新 |
| 110 | 2 | 必 | 財管系 | FI605 | 碩士論文專題（二） |
| 110 | 2 | 選 | 財管系 | FM314 | 財務工程概論 |
| 110 | 2 | 選 | 財管系 | FM613D | 專題研究（二） |
| 110 | 2 | 選 | 財管系 | FM804 | 財務實證方法 |
| 110 | 2 | 選 | 財管系 | FM614 | 金融數據分析與交易策略 |
| 110 | 1 | 選 | 財管系 | FM601 | 國際財管理論與實務 |
| 110 | 1 | 選 | 財管系 | FM426 | 行為財務與私人銀行實務 |
| 110 | 1 | 必 | 財管系 | FI604 | 碩士論文專題（一） |
| 110 | 1 | 選 | 財管系 | FM608 | 財務工程與金融創新 |
| 110 | 1 | 選 | 財管系 | FM611F | 專題研究（一） |
| 年度 | 指導學生 | 學位 | 名稱 |
|---|---|---|---|
| 2022 | 劉永翔 | 碩士 | 市場波動度對資訊不對稱的分析 -台灣上市公司董事股權的影響力 |
| 2022 | 朱奎翰 | 碩士 | 基於全距價差模型之負值改進-以CARR法為例 |
| 2022 | 應執中 | 碩士 | Amihud流動性、日內波動型態與價格跳躍–國際股票市場實證研究 |
| 2022 | 王洺洋 | 碩士 | 運用混合模型與隱藏馬可夫模型探討外匯極端非流動事件之群聚現象 |
| 2022 | 周郁容 | 碩士 | 石油價格波動對股票市場報酬之影響 |
| 2022 | 陳依君 | 碩士 | 整合新聞情緒分析與國際衍生性金融商品構建台灣指數預測模型——以鋼鐵市場為例 |
| 2021 | 林珍羽 | 碩士 | 價差估計模型之研究—以KOSPI高頻交易資料為例 |
| 2021 | 孫晨訓 | 碩士 | Corwin-Schultz價差估計量與價格跳躍，由日內韓國綜合股價指數(KOSPI)資料實證 |
| 2021 | 賴建元 | 碩士 | 市場日內動能：以韓國KOSPI為例 |
| 2021 | 楊富宸 | 碩士 | 藉由VPIN探究市場交易情形：以韓國KOSPI為例 |
| 年度 | 名稱 | 頒獎機構 |
|---|---|---|
| 2023 | 2023宏利投信暨安本ESG永續發展碩博士論文獎碩士組優等(指導學生劉永翔) | 宏利投信 安本 政治大學投資人研究中心 政治大學財管系 台灣財務金融學會 |
| 2022 | 逸仙新進管理學者講 | 國立中山大學管理學院 |
| 2021 | 新進教師獎勵 | 國立中山大學 |
| 2021 | 逸仙新進管理學者獎 | 國立中山大學管理學院 |
| 2020 | 新進教師獎勵 | 國立中山大學 |
| 起迄日期 | 計劃/活動名稱 | 計劃/活動內容 | 擔任角色 |
|---|