(Joseph) Chi-Feng Tzeng   2010.10.16 lancs campus

   Teach courses

• • Postgraduate:   Seminar in empirical financial econometrics,  Financial theory and application.

  • Undergraduate:  International  Financial Management, Financial Management.

  Research Interests   

• • Forward-looking information revealed by option prices, financial engineering, volatility forecasting, credit management.

  Publications

• • Tzeng, Chi-Feng*, Lin, Yu-Yang, and Tsai, Ping-Chen. 2026.  The market characteristics and the determinants of TX price jumps. Journal of Futures and Options,    TSSCI .  (pdf)

  • Tzeng, Chi-Feng* and Tsai, Ping-Chen. 2026.  Risk premia and return predictability related to the S&P 500 index and individual firms. Review of Pacific Basin Financial Markets and Policies, 29(3).  https://doi.org/10.1142/S0219091526600015. (pdf)  NSC B.  

  • 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.  https://onlinelibrary.wiley.com/doi/10.1002/fut.21914. (pdf)  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).   link journal. (pdf) 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).  link journal .   (pdf)  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.  link journal . (pdf) 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.  link journal . (pdf) 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.  link journal . TSSCI, Econlit.

     Working papers

• • Multi-horizon density forecasts and cross-asset return predictability: evidence from WTI crude oil market, with Dudley Gilder.

  • How one country's policy rate changes are induced by another: a linear Hawkes process approach, with Ping-Chen Tsai.

  • The comparison of methods for extracting bankruptcy chance, with Chen Yi Sun.

  • Market illiquidity, intraday volatility pattern and price jump detection- international stock market evidence, with Ping-Chen Tsai.

  • The up and downside corridor risk premia and S&P 500 index returns, with Dudley Gilder.

   Conference papers

• • Multi-horizon density forecasts and cross-asset return predictability: evidence from WTI crude oil market. 2026 Derivative markets conference, Auckland New Zealand.

  • Volatility forecasting for TAIEX futures: Information content of realized volatility and implied volatility under intraday volatility patterns. 2026 New Futures 期貨與選擇權論文徵集, Taipei.

  • The market characteristics and the factors of TX price jumps. 2025 New Futures 期貨與選擇權論文徵集, Taipei.

  •  The comparison of methods for extracting risk-neutral bankruptcy chance.  2025. 台灣財務工程學會會暨國際學術研討會,中正大學;  2025. the 33rd Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Taiwan; 2026 TeAT 台灣財務工程學會研討會, NYCU; 2026 TRIA.

  • The density and state price density forecasts of WTI crude-oil futures prices.  2024. the 18th NYCU International Finance Conference, HsinChu, Taiwan; 2026 TeAT 台灣財務工程學會研討會, NYCU.

  • How One Country’s Policy Rate Changes Are Induced by Another: A Linear Hawkes Process Approach.  2024. the 18th NYCU International Finance Conference, HsinChu, Taiwan.

  • Forecasting crude oil densities.  2024 July.  the 2024 Tri-University annual conference, Cardiff, UK.

  • Risk premia and return predictability related to the S&P 500 index and individual firms.  2022. the 16th NYCU International Finance Conference, HsinChu, Taiwan.

  • 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.

 Others 

• A. Academic service:

  • Referee service for : 

  Journal of Financial Studies                                                                2019/5,  2019/6,  2021,  2022, 2026/7

   Journal of Futures Markets                                                                2022,  2023

   North American Journal of Economics and Finance           2018

   Review of Quantitative Finance and Accounting                  2025

                   中山管理評論                                                                                           2012/9 

   Review of Pacific Basin Financial Markets and Policies 

• •   Discussant for : 

  台灣財務工程學會年會暨國際研討會 FeAT         2014, 2018,  2025(中正大學),  2026(陽明交通大學)

  The NYCU International Finance Conference  2014,  2015,  2022, 2024 

  AFA        2012 

  EFMA   2010, 2016 

  FMA      2013 

  ICCEF  2010 

  ICFOD The international conference on international conference on futures and other derivatives -

                 2017 ( U. of Nottingham  Ningbo, China), 2026 (XJTLU, Suzhou, CN) 

  TRIA     2017, 2026 

  High Frequency Data and Derivatives Market  2013 (Auckland, NZ) 

  Derivative markets conference                                  2026 (Auckland, NZ) 

 中部財金學術聯盟暨第十屆兩岸金融市場發展研討會   2013 

• B.  Receiving comments via talk(s) at  

  •   National Sun Yat-sen University.  2023.

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

  •   National Chung Cheng University, ChiaYi.  2016.

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

  •    SooChow University, Taipei. Jan. 2014.

  •   TamKang University, New Taipei. Apr. 2013.

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

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

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

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

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

  •  Cass Business School, London.  Jul. 2010. 

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-)

• • B. Available data at NTHU:

    •   Optionmetrics: 伺服器.

    •   Euronext: 總圖.

    •   Compustat: 圖書館下戴軟體.