Publication

• Chen S. and Schienle M. (2022) Large spillover networks of non-stationary systems, Journal of Business & Economic Statistics. doi.org/10.1080/07350015.2022.2099870

• Chen S., Härdle W.K. and Wang W. (2021) The common and specific components of inflation expectations across European countries, Empirical Economics: 1-28. doi: 10.1007/s00181-021-02027-1

• Chen S., Härdle W.K. and Lopez-Cabrera B. (2019) Regularization approach for network modeling of German power derivative market, Energy Economics, Volume 83, 180-196. doi:10.1016/j.eneco.2019.06.021

• Chen S., Härdle W.K. and Chen C.Y. (2017) Econometric Analysis of Cryptocurrency for Portfolio Investment, in Handbook of Blockchain, Digital Finance and Inclusion, Vol 1, Cryptocurrency, FinTech, InsurTech, and Regulation, David LEE Kuo Chuen Robert Deng, eds. ISBN: 9780128104415, Academic Press, Elsevier. arXiv link or doi.org/10.1016/B978-0-12-810441-5.00008-7

Papers under revision/submitted papers

• Chen S., Härdle W.K. and Schienle M. (2023) High-dimensional statistical learning techniques for time-varying limit order book networks, under review. Available at SSRN: dx.doi.org/10.2139/ssrn.3702349

• Chen S. and Schienle M. (2024) Consistent model determination of ultra-high dimensional cointegrated time series, ready for submision.

Working papers and ongoing work

• Inference on Network topology from a mix of stationary and non-stationary variables, working in progress

• Statistical arbitrage strategies in NASDAQ market: a graph-theory analysis, working in progress.

• Market integration of European electricity system, working in progress.

• News sentiment analysis in the high-frequency cryptocurrency market, working in progress.