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Professor Maggie Chen

Professor Maggie Chen

Personal Chair

School of Mathematics

Email
chenj60@cardiff.ac.uk
Telephone
+44 (0)29 2087 5523
Campuses
M/1.38, Maths and Education Building , Senghennydd Road, Cardiff, CF24 4AG
Users
Available for postgraduate supervision

Overview

Research Group

I am a member of the Operational Research Group. I am, by training, a financial economist specialized in quantitative methods. I am interested in theory-underpinned finance research that focuses on real problems from the financial market and industry. Currently, I have established research groups to comprehensively study Hawkes processes and aim to apply them to various real problems, especially in new problems related to FinTech. My ultimate goal is to establish robust modeling frameworks that are directly applicable by practitioners and regulators.

I am the program director for BSc Financial Mathematics, which was nominated to be the ' ‘Best Educational Program’ by the Welsh Government FinTech Award, 2019. I welcome Phd applications in line with one of the areas. MSc students with strong quants skills and interests in finance problems are encouraged to discuss the possiblity of a dissertation project.

Research Interests

  • Financial System Stability & Network Approach
    • Financial system stability & reliability
    • Financial Networks
    • New FinTech problems (e.g. smart finance) & cyber risk
  • Stochastic Point Processes (Hawkes Processes): Theory & Financial Applications
    • Volatility & financial jumps
    • Market Microstructure, Ultra-High Frequency Trading & Financial regulations
    • New portfolio optimization & risk strategies

Biography

Professor 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, Professor 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, Professor Chen has held academic positions in the School of Management at Swansea University before joining Cardiff in 2015. 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. She now holds visiting positions in a few top Chinese Universities such as BJUT.

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.

Professor 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. From June, 2020, I have been Deputy Lead of Economic Intelligence for the strategic partnership between Cardiff and Officie of National Statistics.

Since February 2016 she has been the Director of Internationals of the School of Mathematics. I have led the signing of MoA (Memorandum of Agreement) with four top universities in China.

She has chaired an EPSRC doctoral scholarship interview panel within the School of Mathematics and is a member of the School Board. Outside Cardiff,  she is currently the external examiner in finance at Bath, Stirling and Plymouth Universities. She also contributes to 'Women in Science' and 'Women in Mathematics' to encourage young girls and female academics to prosper.

Publications

2020

2019

2018

2017

2014

2013

2011

Teaching

MA1800 Economics for Financial Mathematics
MA2801 Finance I
MA3800 Behavioural Finance
MSc Dissertation supervision (also jointly with Principality, Lloyds & Admiral)
PhD Supervision

Maggie’s main research focus is on information dynamics, financial risk modeling, FinTech and their impact on financial markets,  policy changes and wider communities. To date, her research agenda has focused on modelling the effect of various risk measures and forecasting related to trading decisions in different segments of financial markets. Recently, this research has mainly focused on applying Hawkes processes to model financial jumps, systemic risk and portfolio decompositions. I have been working with a wide range of academics and professionals to look at new modeling approaches that can better reflect market provisions and decision making processes. The research has also expanded swiftly into the new areas of FinTech and Machine learning. 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. Maggie has been speaking at various FinTech, finance, financial Mathematics conferences and engaging with the industry, regulatory and government agents. She is also the deputy lead of the 'Economic Intelligence' in the University's strategic partnership with the Officien of National Statistics (ONS) as well as involved in the Data Innovation Accelerator program funded by the Welsh European funding office.

ORCID ID: https://orcid.org/0000-0001-7135-2116

Selected Publications

- Chen, J., Hawkes, A. & Scalas, E. (2020). A Fractional Hawkes Process. Spinger Sema-Simai Book chapter. Forthcoming.

- Chen, J., Hawkes, A., Liu, A. & Yang, S. (2020). Information Transition Trading and its Effects on Market Efficiency: An Entropy Approach. Proceeding of the First International Academic Forum on Financial Mathematics and Financial Technology. Springer. Forthcoming.

- Chen, J., Calice, G. & Williams, J. (2020). The Importance of Jumps in Modeling Volatility during the 2008 Financial Crisis. The Journal of Derivatives. 27(3), pp45-74. https://doi.org/10.3905/jod.2019.1.094  

- Chen, J., Buckle, M., Guo, Q. & Li, X. (2019). The Impact of Multilateral Trading Facilities on Price Discovery: Further Evidence from the European Markets. Financial Markets, Institutions & Instruments. 28 (4), pp 321-343. https://doi.org/10.1111/fmii.12121  

- Chen, J., Buckle, M., Guo, Q. & Li, X. (2018). The Impact of Multilateral Trading Facilities on Price. Financial Markets, Institutions & Instruments. 27 (4), pp145-165. https://10.1111/fmii.12096

- Chen, J., Buckle, M. & Tong, C (2018). A Network Visualization Approach and Global Stock Market. International Journal of Finance and Economics. 23 (3), pp 296-314. https://doi.org/10.1002/ijfe.161  

- Chen, J., Buckle, M., Guo, Q. & Tong, C (2018). Do ETFs lead the price moves? Evidence from the major US markets. International Review of Financial Analysis. 58 (July), pp. 91-103. https://doi.org/10.1016/j.irfa.2017.12.005   

- Chen, J., Dong, Y., Hou, W. & McMillan, D (2018). Does feedback trading drive return of cross-listed shares? International Financial Markets, Institutions and Money (JIFMIM), Special Issue on “Cross Country Issues on Credit, Banking, Asset Pricing, and Market Liquidity”. 53 (March), pp 179- 199. https://doi.org/10.1016/j.intfin.2017.09.018  

- Chen, J., Hawkes, A. & Khaldoun, K (2018). A Slightly Depressing Jump Model. Quantitative Finance, Special Issue on ‘Hawkes Processes in Finance’. 18 (2), pp 213-224. https://10.1080/14697688.2017.1403139    

- Chen, J., Hawkes, A., Scalas, E. & Trinh, M (2018). Performance of Information Criteria used for Model Selection of Hawkes Process Models of High-frequency Financial Data. Quantitative Finance, Special Issue on ‘Hawkes Processes in Finance’. 18 (2), pp 225-235. https://10.1080/14697688.2017.1403140  

- Chen, J., Hawkes, A., Liu, A. & Yang, S (2018). Applications of Multi-variate Hawkes Process to Joint Modelling of Sentiment and Market Return Events. Quantitative Finance, Special Issue on ‘Hawkes Processes in Finance’. 18 (2), pp. 295-310. https://10.1080/14697688.2017.1403156 

- Chen, J., Buckle, M. & Williams, J. (2014). Realized Higher Moments: Theory and Practice. The European Journal of Finance. Special Issue of papers presented at the Fifth International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance. 33 (13), pp 1272-1291. http://dx.doi.org/10.1080/1351847X.2014.885456   

- Chen, J., Buckle, M. & Williams, J. (2014). How Predictable Are Equity Covariance Matrices? Evidence from High Frequency Data for Four Markets. Journal of Forecasting. 33 (7), pp 542-557. http://dx.doi.org/10.1002/for.2310  

- Chen, J., Calice, G. & Williams, J. & (2013). 'Are There Benefits to Being Naked? The Returns and Diversification Impact of Capital Structure Arbitrage'. The European Journal of Finance, 19 (9), pp. 815-840. DOI: https://10.1080/1351847X.2011.637115 (This is featured in Financial Times on Nov14, 2011 and is documented as evidence to the House of Lords).

- Chen, J., Calice, G. & Williams, J. (2013). Liquidity Interactions in Credit Markets: A Preliminary Analysis of the Eurozone Sovereign Debt Crisis. Journal of Economics Behavior and Organization. 85 (January), pp 122-143. https://10.1016/j.jebo.2011.10.013 (This is documented as a chapter for OECD Law Symposium proceedings, 2011).

- Chen, J., Buckland, R. & Williams, J. (2011). Regulatory Changes, ‘Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets’. Pacific Basin Finance Journal. 19(4), pp 351-373. https://10.1016/J.PACFIN.2011.01.002

Editorial Work

-Associate Editor: The European Journal of Finance, 08/2020-08/2023

-Associate Editor: Cogent Economics & Finance. 2017- 09/2017

-Guest Editor: The European Journal of Finance, special issue on 'Hawkes processes in finance, market structure and impact'. 2017-2019

-Guest Editor: Quantitative Finance, special issue on 'Hawkes processes in finance'. 2017-2018

Supervision

Past projects

I am, by training, a financial economist specialized in quantitative methods. I am interested in theory-underpinned finance research that focuses on real problems from the financial market and industry. Currently, I have established research groups to comprehensively study Hawkes processes and aim to apply them to various real problems. My ultimate goal is to establish robust modeling frameworks that are directly applicable by practitioners and regulators. Here are a few problems I am actively working on at present and I welcome Phd applications in line with one of the areas. MSc students with strong quants skills and interests in finance problem are encouraged to discuss the possiblity of a dissertation project  related to my research interests.

Research Interests

  • Stochastic Point Processes (Hawkes Processes): Theory & Financial Applications
    • Volatility & financial jumps
    • Market Microstructure, Ultra-High Frequency Trading & Financial regulations
    • New portfolio optimization & risk strategies
  • Financial System Stability & Network Approach
    • Financial system stabiity & reliability
    • Financial Networks (dynamic networks)

Research students

  • Dr Xiaoxi Li (2016). Thesis: Impact of MiFiD on Financial Markets.
  • Dr Chen Tong (2016). Theis: Network Approach and Applications in Finance: Linking Financial Networks to Trade Networks.
  • Dr Aimee Ridsdale (2016). Thesis: How Trading Migration Affects the Market Structure: moving from OTC to Central Clearing Houses.
  • Mr Sebastien Pierre (In progress). Topic: Forecasting Modeling for Complex Financial Systems Utilising an Intensity Based Point Process.