Jerome Yen
Professor
Business Administration
University of Macau
Macao
Biography
Jerome Yen received his PhD in Systems Engineering and Management Information Systems, University of Arizona, USA.
Research Interest
Internet finance, especially the financial supermarket as well as its business model, technologies, and services. Risk measurement and management: credit, market, operational, and tail (extreme event) risk Trading strategies, trade planning and execution of Algo Trading and High Frequency trading. Investment and portfolio management: equities, commodities, FX, fixed income, derivatives, and structured products. Pricing and risk assessment of structured products that built with derivatives and exotic options.
Publications
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“Intraday Price Trend Forecasting – a Pattern Matching Approach”, X. T. Liu, K. K. Lai, and J. Yen, submitted to Mathematical Finance
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“Modeling and Forecasting VHSI index using GARCH and HAR Approach” Y. H. Chen, K. K. Lai, and J. Yen, submitted to Asia-Pacific Financial Markets
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“A Novel Term Structure-Based Stochastic Model with Adaptive Correlation” S. F. Zhou, K. K. Lai, and J. Yen, submitted to Expert Systems with Applications.
