• Interests

  • Time series models
  • Simulation modeling
  • Portfolio choice

• Applications

  • Multivariate pairs trading in real time

    • Review of Pairs Trading Strategies
    • Statistical Arbitrage Pairs Trading Strategies: Review and Outlook (by Kai-Chen Chuang)

  • Search for assets with a long-run equilibrium

  • Building of riskless portfolios

Much of his current work involves conducting structural change analysis and co-integration test of the finite order vector autoregressive process and estimating the probability of mean reversion. Such methods are important in a variety of applications, including economic indicators and hedging. One such application is index funds being tied to indexes with very low costs and risks.

Journal

• Tian-Shyr Dai, Yi-Jen Luo, Hao-Han Chang, Chu-Lan Kao, Kuan-Lun Wang, Liang-Chih Liu, “Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading.” Review of Quantitative Finance and Accounting, Vol. 63 (May 22, 2024), 1391–1411, doi: 10.1007/s11156-024-01293-1

• Yen‑Wu Ti, Tian‑Shyr Dai, Kuan‑Lun Wang, Hao‑Han Chang, You‑Jia Sun, “Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters.” Computational Economics, Vol. 64 (January 19, 2024), 2717–2745, doi: 10.1007/s10614-023-10539-4

Conferences

• Hao-Han Chang, Tian-Shyr Dai, Kuan-Lun Wang, Chao-Hsien Chu, Jun-Zhe Wang, “Improving Pair Trading Performances with Structural Change Detections and Revised Trading Strategies.” In 2020 International Conference on Pervasive Artificial Intelligence (ICPAI), Taipei, Taiwan, 2020, pp. 105–109, doi: 10.1109/ICPAI51961.2020.00027

Project

Research assistant for the following project:

• National Taiwan University

  • Trinomial Trees: Convergence Rate, Implied Tree, and Hedging Analysis (11208–11307, 11308–11401)
  • Three Aspects of Barrier Options: Multiple Assets, Stochastic Volatility, and Bankruptcy Prediction (10908–11007, 11008–11107, 11108–11207)
  • Trees for Volatility Models and Simulation Techniques for Greeks Calculations in Pricing Financial Derivatives (10608–10707, 10708–10807, 10808–10907)

• National Chiao Tung University

  • Intelligent OTC Trading and Robo-advising System using Multimodal Big-data Analytics and Distributed Blockchain Computation
  • A Theoretical Framework for Quantitatively Analyzing Debt Structure, Credit Risks, and Market Participants' Behaviors
  • Developing High Frequency Program Trading Mechanism with Parallel Computation Based on Cuda