Thuy To

Senior Lecturer

Thuy Duong To is a Senior Lecturer in the School of Banking and Finance, UNSW Business School. Her main teaching are on capital markets, portfolio management and risk management (financial institution risk and credit risk). Her main research interest is asset pricing. At the moment she is doing research on international finance, fixed income markets, incomplete information, supply chain, and banking.

 

Research Interests:

    Asset pricing:

  • Empirical asset pricing
  • International finance
  • Financial economics
  • Financial markets
  • Commodity and energy market
  • Interest rate and credit risk modelling
  • Risk management

 

Personal website

 

Conference Presentations
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To T; Tran N-K, 2020, 'Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets', presented at AEA 2020 - American Economic Association Meeting 2020, San Diego, 03 January 2020 - 05 January 2020
2020
To T; Tran NK, 2019, 'Cheap TIPS or expensive inflation swaps? Mispricing in real asset markets.', presented at 2019 Asia Finance Conference, 08 July 2019 - 09 July 2019
2019
Maurer T; To TD; Tran N-K, 2018, 'Optimal Factor Strategy in FX Markets', presented at FIRS 2018, the Financial Intermediation Research Society 13th Annual Conference, Barcelona, 01 June 2018 - 03 June 2018, https://firsocietyblog.files.wordpress.com/2018/10/firs2018.pdf
2018
Maurer T; To TD; Tran N-K, 2018, 'Pricing Implications of Covariances and Spreads in Currency Markets', presented at Vienna Symposium on Foreign Exchange Markets, Vienna, 20 August 2018 - 21 August 2018, https://www.wu.ac.at/en/isk/conferences/vsfx-2018/
2018
Maurer T; To T; Tran NK, 2018, 'Pricing Implications of Covariances and Spreads in Currency Markets', presented at 2018 CICF China International Conference in Finance, Tianjin, China, 10 July 2018 - 13 July 2018
2018
Maurer T; To TD; Tran N-K, 2017, 'Optimal Factor Strategy in FX Markets', presented at EFA 2017, European Finance Association 44th Annual Meeting, Mannheim, 23 August 2017 - 26 August 2017, http://www.efa2017.org/
2017
Berrada T; Coupy S; To T, 2017, 'Pairwise correlation dynamics and incomplet information', presented at The 30th Australasia Finance and Banking Conference, Sydney, Australia, 13 December 2017 - 15 December 2017, https://www.business.unsw.edu.au/about/schools/banking-finance/seminars-conferences/australasian-finance-banking-conference/past-conferences/30th-australasian-finance-and-banking-conference
2017
Journal articles
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Maurer T; To TD; Tran N-K, 2019, 'Pricing Risks Across Currency Denominations', Management Science, vol. 65, pp. 5308 - 5336, http://dx.doi.org/10.1287/mnsc.2018.3109
2019
Chiarella C; Hsiao CY; Tô TD, 2016, 'Stochastic correlation and risk premia in term structure models', Journal of Empirical Finance, vol. 37, pp. 59 - 78, http://dx.doi.org/10.1016/j.jempfin.2016.02.003
2016
Chiarella C; Kang B; Nikitopoulos CS; Tô TD, 2016, 'The Return-Volatility Relation in Commodity Futures Markets', Journal of Futures Markets, vol. 36, pp. 127 - 152, http://dx.doi.org/10.1002/fut.21717
2016
Chiarella C; Kang B; Nikitopoulos CS; TÔ TD, 2013, 'Humps in the volatility structure of the crude oil futures market: New evidence', Energy Economics, vol. 40, pp. 989 - 1000, http://dx.doi.org/10.1016/j.eneco.2013.05.019
2013
Chiarella C; Kang B; Nikitopoulos CS; Tô T-D, 2013, 'Humps in the volatility structure of the crude oil futures market: New evidence', Energy Economics, http://dx.doi.org/10.1016/j.eneco.2013.05.019
2013
Chiarella C; Hung H; To TD, 2009, 'The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach', Computational Statistics and Data Analysis, vol. 53, pp. 2075 - 2088, http://dx.doi.org/10.1016/j.csda.2008.07.036
2009
Ghandar A; Michalewicz Z; Schmidt M; To T-D; Zurbrugg R, 2009, 'Computational Intelligence for Evolving Trading Rules', IEEE Transactions on Evolutionary Computation, http://dx.doi.org/10.1109/tevc.2007.915992
2009
Ghandar A; Michalewicz Z; Schmidt M; To TD; Zurbrugg R, 2008, 'Computational Intelligence for Evolving Trading Rules', IEEE Transactions on Evolutionary Computation, vol. 13, pp. 71 - 86, http://dx.doi.org/10.1109/TEVC.2007.915992
2008
Chiarella C; To TD, 2006, 'The Multifactor Nature of the Volatility of Futures Markets', Computational Economics, vol. 27, pp. 163 - 183
2006
Chiarella C; To TD, 2003, 'The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison', Journal of Futures Markets, vol. 23, pp. 1125 - 1158, http://dx.doi.org/10.1002/fut.10105
2003
Book Chapters
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Pham V; Nguyen D; To TD, 2008, 'Abnormal Returns after Large Stock Price Changes: Evidence from Asia-Pacific Markets', in ASIA-PACIFIC FINANCIAL MARKETS: INTEGRATION, INNOVATION AND CHALLENGES, Elsevier, NETHERLANDS, pp. 205 - 227, http://dx.doi.org/10.1016/S1569-3767(07)00010-6
2008
Ghandar A; Michalewicz Z; Schmidt M; To TD; Zurbruegg R, 2008, 'Evolving Trading Rules', in Yang A; Shan Y; Bui LT (ed.), Success in Evolutionary Computation, Springer, pp. 95 - 121, http://dx.doi.org/10.1007/978-3-540-76286-7_5
2008
Conference Papers
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Ghandar A; Michalewicz Z; Tô TD; Zurbruegg R, 2008, 'The performance of an adaptive portfolio management system', in 2008 IEEE Congress on Evolutionary Computation, CEC 2008, pp. 2208 - 2216, http://dx.doi.org/10.1109/CEC.2008.4631092
2008
Ghandar A; Michalewicz Z; Schmidt M; Tǒ TD; Zurbruegg R, 2007, 'A computational intelligence portfolio construction system for equity market trading', in 2007 IEEE Congress on Evolutionary Computation, CEC 2007, pp. 798 - 805, http://dx.doi.org/10.1109/CEC.2007.4424552
2007

UTS Vice Chancellor's List (Honour Roll) - PhD thesis

 

  1. Australian Research Council, Discovery Grant DP1095177

Period: 2010 – 2012

Project: The modelling and estimation of volatility in energy markets

Researchers: C. Chiarella; C. Nikitopoulos; T-D. To

  1. Australian Research Council, Discovery Grant DP0773965

Period: 2007 – 2009

Project: The modelling and assessment of credit default risk

Researchers: C. Chiarella, T-D. To

  1. Industry Research Grant

Industry partner: ABP Pension Fund

Period: 2005 - 2007

Project: The design and performance of an adaptive evolutionary algorithm for technical asset allocation management decisions

Subtitle: 'Development of Evolutionary Computation Processes to aid in Stock Selection Picking'

Researchers: Z. Michalewicz, M. Schmidt, T-D.To, R. Zurbruegg

 

  • FINS3634 Credit Analysis and Lending
  • FINS5512 Financial Markets and Institutions
  • FINS5513 Investments and Portfolio Selection
  • FINS5534 Strategic Management of Credit Risk and Loan Policy