Joseph Tzeng

    (Joseph) Chi-Feng Tzeng

• National Tsing Hua University, Associate Professor

  • Lancaster University MRes, Ph.D. in Accounting and Finance  

• University of Southern California, Research Scholar Dornsife Economics 2019/2020.

      Contact Information

• •  Department of Quantitative Finance, National Tsing Hua University

• No. 101, Section 2, Kuang Fu Rd., HsingChu, Taiwan 30013

• TSMC Room 754

• Tel : +886 (0)3 516-2133

• Fax: +886 (0)3 562-1823

  • Email: cftzeng@mx.nthu.edu.tw    

      Current Teaching

• Postgraduate:   Seminar in empirical financial econometrics.

• Undergraduate: Financial management, Business finance.

Research Interests   

• • Foreward-looking information revealed by option prices, volatility forecasting, credit management.

      Publications

• • Taylor, Stephen, Tzeng, Chi-Feng* and Widdicks, Martin. (2018). Information about price and volatility jumps inferred from options prices. Journal of Futures Markets, 1-21.                   ABS 3, NSC A-tier 2.

  • Tzeng, Chi-Feng and Tsai, Tzuhao. (2018). Information content of continuous and jump decomposition of variances. Journal of Financial Studies, 26(3).                                                           TSSCI, Econlit.

  • Tzeng, Chi-Feng*, Stephen, Taylor, and Widdicks, Martin (2016). The predictive power of option-implied densities from high-frequency data. Journal of Financial Studies, 24(1), 1-24. Best Paper Award (2014財務金融學刊最佳論文獎).                                                                        TSSCI, Econlit.

  • Taylor, Stephen, Tzeng, Chi-Feng and Widdicks, Martin* (December 2014). Bankruptcy probability inferred from options data. Journal of Derivatives, 22(2), Winter,8-31.                    ABS 2, NSC A-tier 2.

  • Tzeng, Chi-Feng* (September 2014). Credit spreads and bankruptcy information from options data. Annals of Financial Economics, 9(2),1440008-1-22.                                                    Econlit.

  • Cheng Hung-Wen, Tzeng, Chi-Feng*, Hsieh, Min-Hua and Tsai, Tzuhao (June 2014). Pricing mortality-linked securities with transformed Gamma distribution.  Academia Economic Papers (經濟論文),42(2),271-303.                                                                                                                  TSSCI, Econlit.

     WP

• • Risk premia and return predictability related to the S&P 500 index and individual firms.

   Conference papers

• • "Risk premia and return predictability in market indexes and individual firms" -(2021) International conference of Taiwan Finance Association, National Central University; (2019) 32th  Australasian Finance and Banking Conference, Sydney, Australia.

  • "Information content of continuous and jump decomposition of variances" - (2017) TRIA conference, Hsinchu, Taiwan.

  • "The predictive power of option-implied densities from high-frequency data"  - (2014) International Conference of Taiwan Finance Association, HsinChu, Taiwan.

  • "Bankruptcy probability inferred from option prices" - (2014) the 7th NCTU International Finance Conference, HsinChu, Taiwan; (2013) 中部財金學術聯盟暨第十屆兩岸金融市場發展研討會, Taiwan; (2013) the European Financial Management Association annual conference, Reading, UK; (2012) 25th Australasian Finance and Banking Conference, Sydney, Australia.

  • “Information about price and volatility jumps inferred from option prices” - (2017)The sixth international conference on futures and other derivatives, Ningbo, China; (2016) EFMA, Basel, Switzerland; (2014) High Frequency Data and Derivatives Market, Auckland, New Zealand;  (2013) the  FMA, Chicago, U.S.A.; (2010) the 16th International Conference on Computing in Economics and Finance, London, UK, 2010;  (2010) the European Financial Management Association annual conference, Arhus, Denmark.

     National Science Council project

• • 2015.8-2016.7 The information content of continuous/jump decomposition of implied volatility. (104-2410-H-007-017-)

  • 2012.8-2013.7 Credit spreads and bankruptcy information from options data.( 101-2410-H-007-066-)

     Others

• • A.  Receiving comments via talk(s) at  

  •   Auckland University of Technology, Auckland (Aug. 2014)

  •   Arhus University, Arhus ( Jul. 2010)

  •   Cass Business School, London (Jul. 2010)

  •   National Cheng Chi University, Taipei (Nov. 2012)

  •   National Chiao Tung University, HsinChu (Jun. 2014)

  •   National Chung Cheng University, ChiaYi (2016)

  •   National Chung Hsing University, Taichung (Mar. 2011)

  •   National Taiwan University, Taipei (Dec. 2013, 2016)

  •   National Taiwan University of Sciencce and Technology, Taipei (Dec. 2012) 

  •   National Tsing Hua University, HsinChu (Mar. 2011) 

  •   SooChow University, Taipei (Jan. 2014)

  •   TamKang University, New Taipei (Apr. 2013)

  • B. Academic service:

  •   Referee service for : 中山管理評論, Review of Pacific Basin Financial Markets and Policies, Journal of Futures Markets.

  •   Discussant for : AFA(2012), EFMA(2010, 2016), FMA(2013), ICCEF(2010), The NCTU International Finance Conference(2014,2015), TRIA(2017), The 6-th international conference on international conference on futures and other derivatives(2017), High Frequency Data and Derivatives Market(2013), 中部財金學術聯盟暨第十屆兩岸金 融市場發展研討會(2013), 台灣財務金融學會年會暨國際研討會(2014), 台灣財務工程學會年會暨國際研討會(2018).

    • B. Available data at NTHU:

    •   Datastream: 總圖F107, 人社分圖2F 06號電腦.

    •   Optionmetrics: 伺服器.

    •   Euronext: 總圖.

    •   Compustat: 圖書館下戴軟體.