| Name | Ping Chen TSAI |
|---|---|
| Title | Assistant Professor |
| Research Interests | Financial Markets,High-frequency,Stochastic Volatility,Price Jumps,Hawkes Process,Financial Statistics,Information Asymmetry. |
| Office | CM3052 |
| Phone | 4825 |
| vincenttsai@mail.nsysu.edu.tw |
| Education | 2013, Ph.D., Accounting and Finance, Lancaster University 2006, Master, Accounting and Finance, Lancaster University 2002, Bachelor, Finance, National Taiwan University |
|---|---|
| Experience | 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, Southern Taiwan University of Science and Technology, Assistant Professor |
| Academic Services | 2024-07-01 ~ 2024-07-31, Economic Analysis and Policy, Reviewer 2024-02-01 ~ 2024-03-08, Journal of Management and Systems, Reviewer 2023-06-01 ~ 2023-08-31, International Review of Financial Analysis, Reviewer 2023-06-01 ~ 2023-08-31, Review of Quantitative Finance and Accounting, Reviewer 2023-05-11 ~ 2023-07-10, International Review of Economics & Finance, Reviewer 2022-03-01 ~ 2022-03-31, Applied Economics incorporating Applied Financial Economics, Reviewer 2021-09-01 ~ 2021-11-19, Journal of the Royal Statistical Society: Series C, Reviewer 2021-01-04 ~ 2021-01-31, Taiwan Economic Forecast and Policy, Reviewer 2020-10-01 ~ 2020-11-30, Mathematics, MDPI, Reviewer 2019-05-01 ~ 2019-06-30, Physica A: Statistical Mechanics and its Applications, Reviewer 2019-05-01 ~ , Pusan National University, PhD Viva external examiner 2014-07-01 ~ 2014-08-31, Journal of Banking and Finance, Reviewer |
| Category | Year | Title |
|---|---|---|
| Journal Article | 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) |
| Journal Article | 2024 | Ping Chen TSAI*, Cheoljun EOM and Chou-Wen Wang (2024). State-dependent Intra-day Volatility Pattern and Its Impact on Price Jump Detection - Evidence from International Equity Indices. International Review of Financial Analysis (國科會“A-”財務領域國際期刊), 103412. (SSCI) |
| Journal Article | 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, 16(2), 1-53. (TSSCI) |
| Journal Article | 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 (Scopus, EconLit), 15(11), 523. (其他期刊) |
| Journal Article | 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) |
| Journal Article | 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) |
| Journal Article | 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) |
| Journal Article | 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) |
| Journal Article | 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) |
| Conference Paper | 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. |
| Conference Paper | 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. |
| Conference Paper | 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. |
| Conference Paper | 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, . |
| Conference Paper | 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. |
| Conference Paper | 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, . |
| Conference Paper | 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, . |
| Conference Paper | 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, . |
| Conference Paper | 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. |
| Conference Paper | 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. |
| Conference Paper | 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. |
| Conference Paper | 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. |
| Conference Paper | 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. |
| Book and Chapter | 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 |
| Book and Chapter | 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 |
| Year | Title |
|---|---|
| 2023 | Is 100% EMI feasible? The use of terminology pre-training in improving student efficacy and performance for the EMI course Financial Data Analysis. Ministry of Education (PMS1123028) |
| 2022 | Designing Excel Computer Workshop to Enhance Learning Achievement for Stochastic Calculus in an Introductory-level Financial Engineering Course. Ministry of Education (PMS1110059) |
| 2021 | Immersion teaching in an EMI course of International Finance: Bridging the local and international gap. Ministry of Education (PBM1101216) |
| Year | Semester | Required / Selected | Department | Course Code | Course |
|---|---|---|---|---|---|
| 112 | 2 | Selected | Department of Finance | FM314 | FINANCIAL ENGINEERING |
| 112 | 2 | Selected | Department of Finance | FM614 | PRACTICE IN FINANCIAL DATA ANALYSIS AND TRADING STRATEGIES |
| 112 | 2 | Required | Department of Finance | FM206 | STATISTICS(II) |
| 112 | 2 | Selected | Department of Finance | FM613J | INDEPENDENT STUDIES(II) |
| 111 | 2 | Selected | Department of Finance | FM804 | EMPIRICAL FINANCE |
| 111 | 2 | Selected | Department of Finance | FM613E | INDEPENDENT STUDIES(II) |
| 111 | 2 | Selected | Department of Finance | FM314 | FINANCIAL ENGINEERING |
| 111 | 2 | Required | Department of Finance | FI605 | INDEPENDENT STUDIES IN MASTER THESIS （II） |
| 111 | 1 | Required | Department of Finance | FI604 | INDEPENDENT STUDIES IN MASTER THESIS （I） |
| 111 | 1 | Selected | Department of Finance | FM601 | INTERNATIONAL FINANCIAL MANAGEMENT |
| 111 | 1 | Selected | Department of Finance | FM426 | BEHAVIORAL FINANCE AND PRIVATE BANKING |
| 111 | 1 | Selected | Department of Finance | FM608 | FINANCIAL ENGINEERING AND FINANCIAL INNOVATION |
| 110 | 2 | Required | Department of Finance | FI605 | INDEPENDENT STUDIES IN MASTER THESIS （II） |
| 110 | 2 | Selected | Department of Finance | FM314 | FINANCIAL ENGINEERING |
| 110 | 2 | Selected | Department of Finance | FM613D | INDEPENDENT STUDIES(II) |
| 110 | 2 | Selected | Department of Finance | FM804 | EMPIRICAL FINANCE |
| 110 | 2 | Selected | Department of Finance | FM614 | PRACTICE IN FINANCIAL DATA ANALYSIS AND TRADING ST |
| 110 | 1 | Selected | Department of Finance | FM601 | INTERNATIONAL FINANCIAL MANAGEMENT |
| 110 | 1 | Selected | Department of Finance | FM426 | BEHAVIORAL FINANCE AND PRIVATE BANKING |
| 110 | 1 | Required | Department of Finance | FI604 | INDEPENDENT STUDIES IN MASTER THESIS （I） |
| 110 | 1 | Selected | Department of Finance | FM608 | FINANCIAL ENGINEERING AND FINANCIAL INNOVATION |
| 110 | 1 | Selected | Department of Finance | FM611F | INDEPENDENT STUDIES(I) |
| Year | Title | Awarding Organization |
|---|---|---|
| 2024 | 教學優良課程獎勵-金融數據分析與交易策略 | National Sun Yat-sen University |
| 2023 | 2023 Manulife and Aberdeen ESG Sustainable Development Doctor and Master Thesis Award | Manulife, Aberdeen Asset Management, Taiwan Finance Association |
| 2022 | 逸仙新進管理學者獎 | 國立中山大學管理學院 |
| 2022 | Top 20% EMI Course of National Sun Yat-sen University (Academic Year 111-1) | National Sun Yat-sen University |
| 2021 | University New Faculty Incentives | National Sun Yat-sen University |
| 2021 | University Outstanding New Faculty Incentives | College of Management, National Sun Yat-sen University |
| 2020 | University New Faculty Incentives | National Sun Yat-sen University |
| Period | Activity | Description | Role |
|---|