Dr Thuy Duong To
Senior Lecturer

Dr Thuy Duong To

  • PhD, University of Technology Sydney
  • MBus, University of Technology Sydney
  • BCom, University of New South Wales
Business School
School of Banking and Finance

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

 

Phone
+61 2 9385 5865
Location
UNSW Business School - Ref E12 Level 3, Office 359B

Publications

  • Book Chapters | 2008
    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
    Book Chapters | 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
  • Journal articles | 2019
    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
    Journal articles | 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
    Journal articles | 2016
    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
    Journal articles | 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
    Journal articles | 2013
    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
    Journal articles | 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
    Journal articles | 2009
    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
    Journal articles | 2008
    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
    Journal articles | 2006
    Chiarella C; To TD, 2006, 'The Multifactor Nature of the Volatility of Futures Markets', Computational Economics, vol. 27, pp. 163 - 183
    Journal articles | 2003
    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
    Book Chapters | 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
    Book Chapters | 2008
    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
  • Conference Presentations | 2020
    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
    Conference Presentations | 2019
    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
    Conference Presentations | 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/
    Conference Presentations | 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
    Conference Presentations | 2018
    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
    Conference Presentations | 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
    Conference Presentations | 2017
    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/
    Conference Papers | 2008
    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
    Conference Papers | 2007
    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
    Preprints |
    To TD; Tran N-K, Cheap TIPS or Expensive Inflation Swaps?: Mispricing in Real Asset Markets, http://dx.doi.org/10.2139/ssrn.3324915
    Preprints |
    Maurer TA; To TD; Tran N-K, Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2797483
    Preprints |
    Chiarella C; Hsiao C-Y; To TD, Stochastic Correlation and Risk Premia in Term Structure Models, http://dx.doi.org/10.2139/ssrn.1785148
    Preprints |
    To TD; Tran N-K, Growth Risk of Nontraded Industries and Asset Pricing, http://dx.doi.org/10.2139/ssrn.3400845
    Preprints |
    Maurer TA; To TD; Tran N-K, Internet Appendix: Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2837851
    Preprints |
    Chiarella C; To TD, The Multifactor Nature of the Volatility of the Eurodollar Futures Market, http://dx.doi.org/10.2139/ssrn.893089
    Preprints |
    Chiarella C; Hung H; To TD, The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach, http://dx.doi.org/10.2139/ssrn.893088
    Preprints |
    Ghandar A; Michalewicz Z; Schmidt M; To T-D; Zurbruegg R, Computational Intelligence for Evolving Trading Rules, http://dx.doi.org/10.2139/ssrn.1008796
    Preprints |
    Chiarella C; Hsiao C-Y; To TD, Risk Premia and Wishart Term Structure Models, http://dx.doi.org/10.2139/ssrn.1573184
    Preprints |
    Chiarella C; Kang B; Nikitipoulos Sklibosios C; To TD, Volatility of Commodity Derivatives: Humped, Unspanned and Stochastic, http://dx.doi.org/10.2139/ssrn.2022752
    Preprints |
    Chiarella C; Kang B; Nikitipoulos Sklibosios C; To TD, Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence, http://dx.doi.org/10.2139/ssrn.2083726
    Preprints |
    Maurer TA; To TD; Tran N-K, Pricing Risks Across Currency Denominations, http://dx.doi.org/10.2139/ssrn.2589545
    Preprints |
    Chiarella C; Kang B; Nikitopoulos Sklibosios C; To TD, The Return-Volatility Relation in Commodity Futures Markets, http://dx.doi.org/10.2139/ssrn.2617525
    Preprints |
    Maurer TA; To TD; Tran N-K, Pricing Implications of Covariances and Spreads in Currency Markets, http://dx.doi.org/10.2139/ssrn.3166997
    Journal articles | 2019
    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
    Journal articles | 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
    Journal articles | 2016
    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
    Journal articles | 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
    Journal articles | 2013
    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
    Journal articles | 2009
    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
    Journal articles | 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
    Journal articles | 2008
    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
    Journal articles | 2006
    Chiarella C; To TD, 2006, 'The Multifactor Nature of the Volatility of Futures Markets', Computational Economics, vol. 27, pp. 163 - 183
    Journal articles | 2003
    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

Awards

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

 

Grants

  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

 

Media

Current working papers:

1. “Pricing Implications of Covariances and Spreads in Currency Markets” (with T. Maurer and N-K. Tran)

Forthcoming at The Review of Asset Pricing Studies

2. “Market Timing and Predictability in FX Markets” (with T. Maurer and N-K. Tran)

Revise and Resubmit (R&R) at Review of Finance

3. “Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing” (with N-K Tran)

Revise and Resubmit (R&R) at Management Science

4. “Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets” (with N-K. Tran)

AEA American Economic Association Meeting (2020, San Diego); AsFA Asian Finance Association Meeting (2019, Hochiminh City); FMA Asia Pacific Meeting (2019, Hochiminh City).

5. “Pairwise Correlation Dynamics and Incomplete Information” (with S. Coupy and T. Berrada)

AFBC Australasia Finance and Banking Conference (2017, Sydney);

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