Dr Maggie Chen

Dr Maggie Chen

Senior Lecturer in Financial Mathematics

Email:
chenj60@cardiff.ac.uk
Telephone:
+44 (0)29 2087 5523
Location:
M/1.38, 1st Floor, Mathematics Institute, Senghennydd Road, Cardiff, CF24 4AG

Research Group

I am a member of the Operational Research Group

Research Interests

  • Stochastic Processes and Financial Applications
  • Market Microstructure and Ultra-High Frequency Trading
  • Financial Modelling of Volatility
  • Jumps and Liquidity
  • Hawkes Process

Dr Jing (Maggie) Chen holds BSc in Computer Science from the Lanzhou Jiaotong University, China, MSc in Finance & Investment Management and PhD in Finance from the University of Aberdeen, UK (2011).

Prior to coming to the UK, Dr Chen worked at China Telecom and Dell (China) ltd. She started her business career as a computer software engineer, specialising in programming and system design before moving into company management and subsequently, pursuing an academic career in finance and investment. From September 2010 to August 2015, Dr Chen has been a lecturer and senior lecturer in the School of Management at Swansea University and senior lecturer in financial mathematics in the School of Mathematics at Cardiff University afterwards. During the 2014/2015 academic year, Maggie holds visiting/adjunct professorship in the Statistics Departments in both the Columbia University (New York City) and University College London.

Maggie’s main research focus is on liquidity provision, information dynamics and their relation to policy changes in financial markets. To date, her research agenda has focused on modelling the effect of various liquidity measures on trading decisions in different segments of financial markets in both developed countries (e.g., the UK) and emerging economies (e.g., China). Recently, this research has mainly focused on applying Hawkes processes to model jumps in financial markets. The overarching goal of the research agenda has been to obtain more robust and powerful empirically derived measures of liquidity utilising market microstructure theories drawn from the academic finance literature. She anticipates that this area of research activity could help investors, analysts, regulators and others to better assess information on market liquidity, and so more effectively predict future prices and trades. The applications of Hawkes types of models can also be extended to users in other industries such as insurance, into which industry Maggie has invested time and effort to form good understanding.

Dr Chen has built-up an international research profile by publishing her work in leading academic finance journals. Her work has appeared in esteemed international scholarly journals including the Pacific Basin Finance Journal, European Journal of Finance, Journal of Economics Behaviour and Organisation and Journal of Forecasting. Additionally, her study on the link between CDSs and the current Eurozone sovereign debt crisis has been cited in the House of Lords and the Organisation for Economic Cooperation and Development (OECD).Her research was reported in the Financial Times in its edition of 14 November 2011. - See more at here.

Most recently, her research on Jump detection has attracted wide interest from the U.S. regulators and practitioners from the industry. This work is presented in the Commodity Futures Trading Commission (CFTC), the Office of Financial Research (OFR) and International Monetary Fund (IMF). Other on-going projects Maggie collaborates with CFTC will potentially build up policy impact in the area of High Frequency Trading.

MAT012 Credit Risk Scoring

Maggie’s main research focus is on liquidity provision, information dynamics and their relation to policy changes in financial markets. To date, her research agenda has focused on modelling the effect of various liquidity measures on trading decisions in different segments of financial markets in both developed countries (e.g., the UK) and emerging economies (e.g., China). Recently, this research has mainly focused on applying Hawkes processes to model jumps in financial markets. The overarching goal of the research agenda has been to obtain more robust and powerful empirically derived measures of liquidity utilizing market microstructure theories drawn from the academic finance literature. She anticipates that this area of research activity could help investors, analysts, regulators and others to better assess information on market liquidity, and so more effectively predict future prices and trades. The applications of Hawkes types of models can also be extended to users in other industries such as insurance, into which industry Maggie has invested time and effort to form good understanding.

Selected Conference Talks

  • The 52th Gregynog Statistical Conference. Gregynog. 04/2016 (Organizer)
  • Emerging Risk Modelling Conference 2015. London UK. 10/2015 (Industry Conference)
  • The 51st Gregynog Statistical Conference. Gregynog. 04/2015 (Organizer)
  • St. John's University School of Risk Management Conference (jointly with the International Insurance Society). New York. 10/2014
  • Catastrophic Risk Modelling Conference 2013. Cambridge UK. 09/2013 2015 (Industry Conference)
  • Welsh Universities Accounting and Finance Colloquium 2013, Gregynog, UK. 05/2013(also the Colloquium Coordinator)
  • BAFA South Region Conference 2012, Aberystwyth, UK. 08/2012
  • A Workshop on Ultra-high Frequency Econometrics, Market Liquidity and Microstructure. Isle of Skye, Scotland. 06/2012. (Acted as the co-chair)
  • Welsh Universities Accounting and Finance Colloquium 2012, Gregynog, UK. 05/2012 (also the Colloquium Organizer)
  • The 5th International Conference MAF 2012 (Mathematical and Statistical Methods for Actuarial Sciences and Finance). Venice, Italy. 04/ 2012
  • OECD Banking Law Symposium 2011. Paris, France.10/2011(Invited Panel Discussant)
  • Conference on Financial Sector Performance & Risk (Post-Crisis). Bangor. 06/201
  • Asian Finance Association Annual Meeting (AsianFA2011), Macau. 07/2011
  • HUKU 2011 Conference. Copenhagen, Denmark. 05/2011
  • International Conference on Financial Markets, Shanghai, China, 07/2010
  • The 27th Spring Conference of the French Finance Association, Saint-Malo, France, 04/2010
  • Finance and Corporate Governance Conference (FGCG), Melbourne, Australia, 04/2010

Seminar Series

  • School of Management, University of Bath. 02/2016 (Scheduled)
  • School of Mathematics, Cardiff University. 11/2015
  • Plymouth Business School, Plymouth University. 11/2015
  • Commodity Futures Trading Committee (CFTC), The Federal Reserve (Feds), International Monetary Fund (IMF) & Office of Finance Research (OFR) special seminar. Washington DC.10/2015
  • Department of Statistics, University College London. 04/2015
  • Department of Informatics, King’s College London. 03/2015
  • Department of Management, King’s College London. 03/2015
  • Cardiff Business School, Cardiff University. 03/2015
  • Steven’s Institute Research Seminar Series (New Jersey). 01/2015
  • Steven’s Institute Research Seminar Series (New Jersey). 10/2014
  • Swansea University Texas Strategic Partnership & Research Showcase (Houston, College Station & Austin). 10/2014
  • Credit Suisse Seminar Series. Credit Suisse (New York). 10/2014
  • Institution of Insurance, Risk Management & Actuarial Science, St. John’s University (New York). 10/2014
  • Credit Suisse Seminar Series. Credit Suisse (London). 09/2013
  • Department of Economics, College of Business, Economics and Law, Swansea University. 12/2012
  • School of Business and Economics, Loughborough University. 03/2012
  • Business School, Leeds University. 11/2011
  • School of Management, University of Bath. 11/2011
  • School of Business and Economics, Swansea University. 11/2011
  • Cardiff Business School, Cardiff University. 10/2011
  • School of Economics, Finance and Management, University of Bristol. 10/2011

Academic Schools