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Associate Professor Thuy Duong To

Associate Professor Thuy Duong To

Associate Professor
  • PhD (Finance and Economics), University of Technology Sydney
Business School
School of Banking and Finance

Dr Thuy-Duong To is an Associate Professor at the School of Banking and Finance, UNSW Business School. She also serves as the Deputy Head of School (Education). Her main teaching is on capital markets, portfolio management and risk management. Her main research interest is asset pricing. At the moment she is doing research on international finance, incomplete information, risk management, supply chain, and empirical corporate finance.

     

     
    Phone
    +61 2 9385 5865
    E-mail
    td.to@unsw.edu.au
    Location
    UNSW Business School - Ref E12 Level 3, Office 359B
    • 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://www.springer.com/engineering/book/978-3-540-76285-0
      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
    • Journal articles | 2024
      Tǒ TD; Tran NK, 2024, 'Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing', Management Science, 70, pp. 8448 - 8463, http://dx.doi.org/10.1287/mnsc.2022.03697
      Journal articles | 2023
      Maurer TA; Tô TD; Tran NK, 2023, 'Market Timing and Predictability in FX Markets', Review of Finance, 27, pp. 223 - 246, http://dx.doi.org/10.1093/rof/rfac014
      Journal articles | 2022
      Maurer T; To TD; Tran N-K, 2022, 'Pricing Implications of Covariances and Spreads in Currency Markets', The Review of Asset Pricing Studies, 12, http://dx.doi.org/10.1093/rapstu/raab019
      Journal articles | 2019
      Maurer T; To TD; Tran N-K, 2019, 'Pricing Risks Across Currency Denominations', Management Science, 65, pp. 5308 - 5336, http://dx.doi.org/10.1287/mnsc.2018.3109
      Journal articles | 2016
      Chiarella C; Hsiao CY; Tô TD; To TD, 2016, 'Stochastic correlation and risk premia in term structure models', Journal of Empirical Finance, 37, pp. 59 - 78, http://dx.doi.org/10.1016/j.jempfin.2016.02.003
      Journal articles | 2016
      Chiarella C; Kang B; Nikitopoulos CS; Tô TD; To TD, 2016, 'The Return-Volatility Relation in Commodity Futures Markets', Journal of Futures Markets, 36, pp. 127 - 152, http://dx.doi.org/10.1002/fut.21717
      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, 40, pp. 989 - 1000, http://dx.doi.org/10.1016/j.eneco.2013.05.019
      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 | 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, 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, 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, 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, 23, pp. 1125 - 1158
    • 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 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 |
      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; Hsiao C-Y; To TD, Stochastic Correlation and Risk Premia in Term Structure Models, http://dx.doi.org/10.2139/ssrn.1785148
      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 |
      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 |
      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; Nikitopoulos Sklibosios C; To TD, The Return-Volatility Relation in Commodity Futures Markets, http://dx.doi.org/10.2139/ssrn.2617525
      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 |
      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 |
      Maurer TA; To TD; Tran N-K, Internet Appendix: Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2837851
      Preprints |
      Maurer TA; To TD; Tran N-K, Optimal Factor Strategy in FX Markets, http://dx.doi.org/10.2139/ssrn.2797483
      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
      Preprints |
      Maurer TA; To TD; Tran N-K, Pricing Risks Across Currency Denominations, http://dx.doi.org/10.2139/ssrn.2589545
      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 |
      To TD; Tran N-K, Growth Risk of Nontraded Industries and Asset Pricing, http://dx.doi.org/10.2139/ssrn.3400845

    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

     

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

     

    Recent publications

    1. 'Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing' (with N-K Tran), 2024, Management Science, v70, n12, pp 8448–8463, http://dx.doi.org/10.1287/mnsc.2022.03697
    2. 'Market Timing and Predictability in FX Markets' (with T.A. Maurer and N-K Tran), 2023, Review of Finance, 27, pp. 223 - 246, http://dx.doi.org/10.1093/rof/rfac014
    3. 'Pricing Implications of Covariances and Spreads in Currency Markets', 2022, The Review of Asset Pricing Studies, 12, http://dx.doi.org/10.1093/rapstu/raab019
    4. 'Pricing Risks Across Currency Denominations', 2019, Management Science, 65, pp. 5308 - 5336, http://dx.doi.org/10.1287/mnsc.2018.3109

    Current working papers:

    1. 'Cheap TIPS or Expensive Inflation Swaps: Mispricing in Real Asset Markets" (with N-K Tran) 
    2. 'Pairwise Correlation Dynamics and Incomplete Information' (with S. Coupy and T. Berrada)
    3. 'Investment Financing Through Risk Sharing Supplier Relationships' (with S. Schraeder)
    4. 'Employee Rights and Cashflow Sensitivity' (with E. Wu and R. Zhao)
     

    My Research Supervision

    • Suardi,Lenny, PhD, "The Evaluation of Crack Spread Options with Stochastic Volatility and Jumps" (co-supervising)
    • Rojasavachai,Ravipa, PhD, "The impact of oil supply and demand shocks on stock market returns and the economy" (co-supervising)

    My Teaching

    • FINS3634 Credit Analysis and Lending
    • FINS5512 Financial Markets and Institutions
    • FINS5513 Investments and Portfolio Selection
    • FINS5530 Financial Institution Management
    • FINS5534 Strategic Management of Credit Risk and Loan Policy