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, ?, Issue ? (? ????), ?-?, 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, ?, Issue ? (? ????), ?-?, 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 assiste for the following project:

• National Taiwan University
  • Trinomial Trees: Convergence Rate, Implied Tree, and Hedging Analysis (11208--11307)
  • Three Aspects of Barrier Options: Multiple Assets, Stochastic Volatlity, 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

Contacts