Jerome YEN  顏至宏
Distinguished Professor

Education | Major Teaching and Research Areas | Industrial Experience | Academic Experience | Teaching | Publications | Research and Development Grants | Other Consulting Services | Professional Community | Contact Details

Education
Major Teaching and Research Areas
  1. Management of Innovation and Entrepreneurship, Venture Capital, and Private Equity.
  2. Financial technologies (FinTech): Blockchain and Artificial Intelligence.
  3. Investment and portfolio management: equities, commodities, FX, fixed income, derivatives, and structured products.
  4. Risk measurement and management: credit, market, operational, and systematic risk identification and management.
  5. Structured products and exotic options design and pricing.

Industrial Experience
Academic Experience
Teaching

Executive Program Development

Developed and delivered lectures in more than ten executive programs and earned high teaching evaluation, include the following:

  1. “Finance Management Program for INVESCO Greatwall Fund Management,  Invesco-Greatwall, HK$ 1.6M, Program Director, March 2007 – October, 2007.
  2. “Investment Management Program for INVESCO Greatwall Fund Management”, Invesco-Greatwall, HK$ 1.6M, Program Director, January 2008 – October, 2008.
  3. “Training of Agricultural Bank of China” Invesco-Greatwall, HK$ 300K, Program Director, May 2008.
Courses Developed over the Past Ten Years
  1. Exotic Options and Structured Products, Dept. of Finance, HKUST, 2010.
  2. China Financial Markets, Dept. of Finance, HKUST, 2012.
  3. Financial Investment and Trading for Engineering Students, Dept of EEE, HKU, 2014.
  4. Algo Trading and High Frequency Trading, Dept. of EEE, HKU, 2014.
  5. Innovation and Entrepreneurship, the University of Macau, 2017.

Publications

Books

  1. “Volatility Surface and Term Structure-based Modeling and Analysis:  High-profit Options Trading Strategies”, Shifei Zhou, Kin Keong Lai, and Jerome Yen, Taylor and Francis, 2013.
  2. China Financial Markets: Issues and Opportunities, Wang Ming, Jerome Yen, and Kin Keong Lai, Taylor and Francis, 2014.
  3. “Emerging Financial Derivatives: Understanding Exotic Options and Structured Products”, Jerome Yen and Kin Keong Lai, Taylor and Francis, 2015.
  4. “區塊鏈企業與流程再造 (Blockchain Enterprise and Process Reengineering)” (Chinese) 290 pages, Jerome Yen and Mu Deng, under formatting, China Post and Telecom Press, November 2019.

Journal Publications

  1. “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.
  2. “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.
  3. Intraday Price Trend Forecasting - a Pattern Matching Approach”, X. T. Liu, K. K. Lai, and J. Yen, submitted to Mathematical Finance.
  4. “Constructing composite indicators with collective choice and interval-valued TOPSIS: the case of Value Measure”, Y. L. Fu, K. K. Lai, and J. Yen, under review in Social Indicators Research.
  5. “Using social choice theory and acceptability analysis to measure the value of health systems”, Y. L. Fu, K. K. Lai, and J. Yen under review in Health Affairs;
  6. “Entrepreneurship measurement and comparison: Holistic Acceptability Global Entrepreneurship Index”, L. L. Song, K. K. Lai, K. F. G. Tso, and J. Yen, under review in Journal of Systems Science & Complexity.
  7. “Identification of Determinants of Chinese P2P Lending Platform Default”, M. Gao and J. Yen, under review in International Review of Financial Analysis.
  8. “Reconstructing global innovation index to measure national innovative capacity along OBOR: an entropy-based cross efficiency analysis”, L. Huang and J. Yen, under review in International Review of Economics and Finance.
  9.  “Multi-criteria Supplier Selection Using Acceptability Analysis”, Q Zhang, K K Lai, and J. Yen, to appear in Advances in Mechanical Engineer.
  10. “Model of Bias-Driven Trend Followers and Interaction with Manipulators”, K Liu, KK Lai, J Yen, Q Zhu, International Journal of Information Technology & Decision Making, Vol. 17, No. 2, pp. 573-590 (2017).
  11.  “Bi-cubic B-spline Fitting-based Local Volatility Model with Mean Reversion Process”. S. F. Zhou, K. K. Lai, and J. Yen, Journal of System Science and Complexity.Vol.29, No. 1, 119-132 (2016).
  12. “A Model of Stock Manipulation Ramping Tricks”, K Liu, KK Lai, J Yen, Q Zhu, Computational Economics, Vol. 45, pp. 135-150 (2015).
  13. "Bankruptcy Prediction Using SVM Models with a New Approach to Combine Features Selection and Parameters Optimization", L. G. Zhou, K. K. Lai, and J. YenInternational Journal of Systems Science, Vol. 45, No. 3, pp. 241-253.  (2014).
  14. “Model of Bias-Driven Trend Followers and Interaction with Manipulators”, K Liu, KK Lai, J Yen, Q Zhu, International Journal of Information Technology and Decision Making,Vol. 13, No. 1, pp.1-18,  (2014).
  15.  “A Dynamic Meta-Learning Rate-Based Model for Gold Market Forecasting”, S. F. Zhou, K. K. Lai, and J. Yen, Expert Systems with Applications, Vol. 39, No. 6,  pp. 6168-6173 (2013).
  16. “Empirical Models Based on Features Ranking Techniques for Corporate Financial Distress Prediction”, L. G. Zhou, K. K. Lai, and J. Yen, Computers and Mathematics with ApplicationsVol. 64, No. 8, pp. 2484–2496(2012).
  17.  “Ensemble Forecasting of Value at Risk via Multi Resolution Analysis based Methodology in Metals Markets” K. J. He, K. K. Lai, and J. Yen, Expert Systems with Applications, Vol. 39, No. 4,  pp. 4258-4267 (2012).
  18.  “Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach”, K. J. He, K. K. Lai, and J. Yen, Energy Economics, Vol. 33, No. 5, pp. 903-911 (2011)
  19. “Corporate financial distress diagnosis model and application in credit rating for listing firms in China”. L. Zhang, E. Altman, and J. Yen. Frontiers of Computer Science in China, Vol. 4, No. 2,  pp. 220-236 (2010).
  20. “A Hybrid Slantlet Denoising Least Squares Support Vector Regression Model for Exchange Rate Prediction”, K. He, K. K. Lai, and J. Yen. Procedia Computer Science. Vol. 1, pp. 2391-2399 (2010).
  21. “Credit Scorecard Based on Logistic Regression with Random Coefficients”, G. Dong, K. K. Lai, and J. Yen.. Procedia Computer Science. Vol. 1, pp. 2397-2405 (2010).
  22. “A hybrid slantlet denoising least squares support vector regression model for exchange rate prediction” K. He, K. K. Lai, and J. Yen. Procedia Computer Science. Vol. 1, pp. 2463-2468 (2010).
  23. “Credit Scoring Models with AUC Maximization Based on Weighted SVM”,L Zhou, K K Lai & J Yen, International Journal of Information Technology and Decision Making, Vol. 8, No. 4, pp. 677-696 (2009).  
  24.   “False Financial Statements: Characteristics of China's Listed Companies and CART Detecting Approach.” B. Bai, J. Yen, and X. G. Yang. International Journal of Information Technology and Decision Making, Vol. 7., No. 2, pp. 339-359 (2008).
  25. “Modeling VaR in Crude Oil Market: A Multi Scale Nonlinear Ensemble Approach Incorporating Wavelet Analysis and ANN”, K K Lai, K He and J Yen, Lecture Notes in Computer Science, LNCS 4487, Springer-Verleg, pp554-561 (2007).
  26.  “An Analysis of the China Aviation Oil (Singapore) Incident Based on Risk Management”, Z. F.  Li, J. Yen, J. Yao, T. Fan, and L. Chang. Journal of Systems Engineering, Theory, and Applications, Vol. 27, No.1, pp.23-32 (2007).
  27. “从中航油(新加坡)事件看国有海外企业的风险管理”,颜至宏,杨晓光,史敏,汪寿阳, 管理评论, Vol. 17, No. 3 (2005), pp. 30-36. 
  28. "Electronic Disclosure and Financial Knowledge Management" (2005) J. Yen, P. Yuen, and L. Bai, Journal of Systems Science and Systems Engineering (JSSSE), Vol. 14, No. 5, pp. 326-346.
  29.  “Dynamic Negotiations,” (2004), J. Yen and F. Szidarovszky, CUBO Matematica Educacional, Vol. 5, No. 3, pp. 349-365.
  30.  “Electronic Bill Presentment and Payment (EBPP): The Case at Hong Kong Shanghai Commercial (HSBC) Bank” (2004), J. Yen, L. Bai, and W. M. Choi, International Journal of Electronic Business Management (IJEBM), Vol. 2, No. 1, pp. 1-13.
  31.  “A Multi-attribute NSS with market signaling for electronic markets” (2002). T. Bui, J. Hu, and J. Yen.  Group Decision and Negotiation Support Systems (GDNSS), Vol. 10, No. 6, pp. 515 -537.
  32. “Adoption of On-line Trading of Investors in Hong Kong Financial Market” (2002). With A. Lau, J. Yen, and P. Y. K. Chau.  Journal of Electronic Commerce Research (JECR), Vol. 2, No. 2, pp. 58-65.
  33. “A Multi-agent Approach to the Wholesale Cross-border Trade Planning” (2001).  P. Wei, Y. Yan, Y. Ni, J. Yen, and F. F. Wu. IEEE Transactions on Power System, Vol. 16, No. 4, pp. 833-838.
  34. “Using Contextual Analysis for News Event Detection” (2001).  With W. Lam, H. M. L. Meng, K. L. Lai, and J. Yen. International Journal of Intelligent Systems, Vol. 16, 525 – 540.
  35. “From unstructured HTML to structured XML: how XML supports financial knowledge management on the Internet” L.T. Yuen, W. Yue, A. S. M. Lau, and J. Yen, Library Hi Tech. Sep 2001, Vol. 19 No. 3 pp. 242 – 256.
  36.  “A Multi-Agent Based Negotiation Support System for Distributed Transmission Cost Allocation" (2001). Y. H. Yan, J. Yen, and T. Bui. International Journal of Intelligent Systems in Accounting, Finance and Management, Vol. 10, No. 3, 187-200. 
  37.  “Applying Multi-Agent Technology to Supply Chain Management” (2000). S. K. Yung, J. Yen, and C. C. Yang. Journal of Electronic Commerce Research (JECR), Vo1. 1, No. 3, pp. 119-132.
  38. “Multi-agent Approach to the Coalition Formation in the Power Industry” (2000). J. Yen, Y. H. Yan, P. C. Ma, and F. F. Wu. Decision Support Systems (DSS), Vol. 28, No. 3, pp. 279-290.
  39.  “Editorial: Special Issue of Decision Support Systems – Intelligent Agents and Digital Economy” (2000). J Yen.  Decision Support Systems (DSS), Vol. 28, No. 3, pp. 217-218.
  40. “Intelligent Internet Searching Engine Based on Hybrid Simulated Annealing” (2000).  C.C. Yang, J. Yen, and H. Chen. Decision Support Systems (DSS), Vol. 28, No. 3, pp. 269-278.
  41. “Combination and Boundary Detection Approaches on Chinese Indexing” (2000). With C. C. Yang, S. K. Yung, J. W. K. Luk, and J. Yen. Journal of American Association of Information Sciences (JASIS), Vol. 51, No. 4, pp. 340-351.  
  42.  “Digital Library Research in Asia” (1999). H. Chen, J. Yen, and C. C. Yang.  IEEE Computer, Vol. 32, No. 2, pp. 48-49.
  43. "The Negotiable Alternatives Identifier (NAI) for Group Negotiation Support" (1999). J. Yen and T. X. Bui.  Applied Mathematics and Computations, Vol. 104, pp. 259-276.
  44.  “Monotonicity, Convergence and Control in Dynamic Bargaining Processes” (1999). J. Yen, F. Szidarovszky, and C. H. Lin. Pure Mathematics and Applications, Vol. 10, No. 2, pp.225-239.
  45. "Dynamic Negotiation with Time-varying Pareto Frontier. (1998)" F. Szidarovszky, J. Yen, and C. H. Lin.  Applied Mathematics and Computations, Vol. 91, pp. 99-109. 
  46. "Intelligent Meeting Facilitation Agents: An Experiment on GroupSystems" (1996).  H. Chen, A. Houston, J. Yen, and J. F. Nunamaker. IEEE Computer, Vol. 29, No. 8, pp. 62-70.
  47. "Affective Reward and the Adoption of Group Support Systems: Productivity is not Always Enough" (1995/1996).  B. A. Reinig, R. O. Briggs, M. S. Shepherd, J. Yen, and J. F. Nunamaker, Jr. Journal of Management Information Systems, Vol. 12, No. 3, pp. 171-185.
  48. "Invoking Social Comparison To Improve Electronic Brainstorming: Beyond Anonymity" (1995/1996). M. S. Shepherd, R. O. Briggs, B. A. Reinig J. Yen, and J. F. Nunamaker, Jr.  Journal of Management Information Systems. Vol. 12, No. 3, pp. 155-170.
  49. "Short-term and Long-term Strategies in Dynamic Markets" (1995). J. Yen and F. Szidarovszky.  Keio Economic Studies. Vol. XXXIII, No. 1, pp. 39-65.
  50. "Dynamic Cournot Oligopolies with Production Adjustment Costs" (1995). F. Szidarovszky and J. Yen.  Journal of Mathematical Economics, Vol. 24, pp. 95-101.
  51. "On The Price Trajectory Control of Discrete Dynamic Producer-Consumer Markets" (1995).  F. Szidarovszky, J. Yen, and S. Molnar.  Applied Mathematics and Computations, Vol. 73, No. 2 & 3, pp. 249-256.
  52. "The Stability of the Cournot Solution under Adaptive Expectation: A Further Generalization" (1994). F. Szidarovszky, J. Yen, and S. Rassenti.  International Review of Economics and Finance, Vol. 3, No. 2, PP. 173-181. 
  53. "Adaptive and Cournot Expectations in a Special Consumer-Producer Market" (1994). F. Szidarovszky and J. Yen. Journal of Pure Mathematics and Applications, Vol. 4, No. 3, pp. 363-368.
  54. "Control in a Special Consumer-Producer Market" (1993).  F. Szidarovszky and J. Yen. Journal of Pure Mathematics and Applications, Vol. 4, No.4, pp. 501-505. 
  55. "Cournot Expectations Revisited" (1993). F. Szidarovszky and J. Yen. Keio Economics Studies.  Vol. XXX, No. 3, p.p. 39-41.
  56. "On the Stability of Dynamic Oligopolies" (1992). F. Szidarovszky and J. Yen.  Journal of Pure Mathematics and Applications. Ser. B. Vol. 3, No. 1, pp. 45-52.
  57. "On the Controllability of Discrete Dynamic Oligopolies under Adaptive Expectations" (1993).  F. Szidarovszky and J. Yen. Applied Mathematics and Computations. Vol. 56, No. 1, pp. 49-57. (Impact Factor: 1.534)
  58. "On the Stability of Special Class of Economic Systems" (1992). F. Szidarovszky and J. Yen. Journal of Pure Mathematics and Applications. Ser. B. Vol. 3, No. 1, pp. 42-52.
  59. "Modified Cournot Expectations in Dynamic Oligopolies". F. Szidarovszky, J. Yen, and F., S. Rassenti.  Journal of Pure Mathematics and Applications. Ser. B. Vol. 3, No. 2-3-4, pp. 143-150.
  60. "Stability of a Special Oligopoly Market" (1991). F. Szidarovszky and J. Yen. Journal of Pure Mathematics and Applications. Ser. B. Vol. 2, No. 2-3, pp. 93-100.
  61. "Computer Experiments of Dynamic Market System" (1991). X. Wu and J. Yen. Journal of Pure Mathematics and Applications. Ser. B. Vol. 2, No. 2-3, pp. 101-111.

Conference Publications

  1. “Identification of Determinants of Chinese P2P Lending Platform Default”, M. Gao, The Seventh International Conference on Internet Finance, Hangzhou, 2019.
  2. “Reconstructing Global Innovation Index to Measure National Innovative Capacity Along OBOR: An Entropy-based Cross Efficiency Analysis”, L. Huang and J. Yen, The Seventh International Conference on Internet Finance, Hangzhou, 2019.
  3. “A Weighted Least-square Dissimilarity Method to Measure Olympics Performance”, L. Huang, J. Yen, and Y. L. Fu, The 2019 International conference on Intelligent Transportation and Logistics with Big Data and The Seventh International Forum on Decision Sciences, 2019, Windsor, Canada.  
  4. “Empirical Study on the Prediction of HSI Opening Price with GA-ENN Model”, T. Luo, X. R. Qi, K. K. Lai, and J. Yen, First International Conference on Command, Control and Artificial Intelligence and the Third International Conference on Computational Finance and Management, 2019, Changsha, China, pp. 339-347.
  5. “Patent Valuation Based on a Multi-criteria Analysis Model”L. Huang and J. Yen, The 19th Asia Pacific Industrial, and Management systems (APIEMS2018),Hong Kong SAR, 2018.
  6.  “Credit Scorecard Based on Logistic Regression with Random Coefficients”, G Dong, K K Lai & J Yen, Proceedings of the International Conference on Computational Science (ICCS), Netherlands, 2010.
  7.  “A Hybrid Slantlet Denoising Least Squares Support vector Regression Model for Exchange Rate Prediction”, K He, K K Lai & J Yen, Proceedings of the International Conference on Computational Science (ICCS), Netherlands, 2010
  8.  “Theoretical Model of stock Trading Behaviour with Biases”, K Liu, K K Lai & J Yen, Proceedings of the 2010 International Conference on Financial Engineering (ICFE), World Congress on Engineering, London, June 2010.
  9. “Morphological Component Analysis based Hybrid Approach for Prediction of Crude Oil Price”, K. He, K. K. Lai, J. Yen, The Third International Joint Conference on Computational Sciences and Optimization (CSO 2010), Huangshan (Yellow) mountain, China, May 28 - 31, 2010, p 423-430.
  10.  “Modeling of Boom and Burst of Shadow - A Game Theory Approach”, H D Liang, K K Lai, J Yen and M Wang, Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, IEEE Computer Society, Aug 2010, p256-260
  11.  “Analysis of Shadows behind Financial Bubbles”, H. D. Liang, K K Lai & J Yen, Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, IEEE Computer Society, Aug 2010, p274-278
  12.  “Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis”, K. J. He, K K Lai & J Yen, Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, IEEE Computer Society, Aug 2010, p381-385.
  13.  “Corporate Bankruptcy Prediction using Support Vector Machines Approach”, L Zhou, K K Lai & J. Yen, Proceedings of the Conference on Technologies and Applications of Artificial Intelligence, Taiwan, Nov 2010
  14.  “An ICA-MDN Based Multi-stage Model for portfolio Value-at-Risk Analysis”, X L Chen, K K Lai & J Yen, Proceedings of the Third International Conference on Business Intelligence and Financial Engineering (BIFE 2010), Hong Kong, August, 2010.
  15.  “Crude Oil Price Prediction using Slant Denosing Based Hybrid Models”, K He, K K Lai & J Yen, Proceedings of the International Conference on Computational Sciences and Optimization, Sanya, China, April 2009: 12-16.
  16. “A Statistical Neural Network Approach for Value-at-Risk Analysis”, X Chen, K K Lai & J Yen, Proceedings of the International Conference on Computational Sciences and Optimization, Sanya, China, April 2009: 17-21
  17. “A New Approach with Convex Hull to Measure Classification Complexity of Credit Scoring Database”, L. Zhou, K. K. Lai, and J. Yen, BIFE 2009: 441-444.
  18.  “Quantitative and Qualitative Analysis of the China Aviation Oil (Singapore) Incident -Was Volatility Severe Enough to Destroy the Company?”, J Yen, Z F Li T Fan & K K Lai, Proceedings of the First Asia Conference on Financial Engineering, Hong Kong, June 2008, pp384-397.
  19. “Multi-Scale Estimation of Value at Risk Based on Wavelet Analysis”, K K Lai, K. J. He & J Yen,Proceedings of the International Conference on Industrial Engineering and Systems Management, Beijing, China, May 2007.
  20.  “Risk Measurement in Agriculture Market: Wavelet Denoised Nonlinear Ensemble Value at Risk approach”, K He, K K Lai & J Yen, Proceedings of the 7th Asian Pacific Conference on Industrial engineering and Management Systems, Thailand, Dec 2006, p1088-1097.
  21.  “A Wavelet Based Nonlinear Ensemble Approach for Value at Risk Modelling in Metals Markets”, K K Lai, J Yen & K He, Proceedings of the 36th Computers and Industrial Engineering Conference, Taiwan, June 2006.
  22.  “A New Approach with Convex Hull to Measure Classification Complexity of Credit Scoring Database”, L Zhou, K K Lai & J Yen, Proceedings of the 2nd International Conference on business Intelligence and Financial Engineering, China, July 2009. 
  23. Modeling VaR in Crude Oil Market: A Multi Scale Nonlinear Ensemble Approach Incorporating Wavelet Analysis and ANN, K. K. Lai, K. J. He, J. Yen, ICCS 2007, Beijing, China, May 27-30, 2007.
  24. Financial Knowledge Management and Electronic Disclosure, P. Yuen, J. Yen, and B. Bai.  Proceedings of ICEB2004, December 5-9, 2004, China, pp 969-974.
  25. “Multi-model and Multilingual Video Digital Library,” J. Yen, M.R. Lyu, and H. Wactlar, to appear in Second China Digital Library Conference, September 4 to 7, 2004, Beijing, pp.426-443.
  26. “ 多模双语信息媒体: iVIEW 系统,“J. Yen, M.R. Lyu, and H. Wactlar, to appear in Second China Digital Library Conference, September 4 to 7, 2004, Beijing, pp.444-455. (中文)
  27. "A Wireless Handheld Multi-Modal Digital Video Library Client System," M.R. Lyu, J. Yen, E. Yau, and K.S. Sze, Proceedings 5th ACM SIGMM International Workshop on Multimedia Information Retrieval (MIR'2003), November 7, 2003,  Berkeley, California, pp. 231-238.
  28. “Multi-Document Summarization Based on Concept Space,” S. Tang, J. Yen, and C. C. Yang,  Proceedings of the International Conference on Information Technology: Research and Education, New Jersey, U.S.A., August 10-13, 2003.
  29. “XML-based Financial Knowledge Management and Tag Generation”, Yen, J. and Yuen, L. T., Proceedings of Digital Library – IT Opportunities and Challenges in the New Millennium, 2002, Beijing. Beijing Library Press, pp. 717-736. 
  30. “How XML Supports Financial Information Integration,” A. S. M. Lau, J. Yen, and J. X. Yu,  SCMIS 2001, 17-19 December 2001.   
  31. “Cross Market Monitoring System: A Knowledge Management Approach,” SCMIS 2001, A. S. M. Lau, W. Y. Lee, and J. Yen, 17-19 December 2001.
  32. “A Multi-agent Based Negotiation Support System for Cost Allocation of Cross-Border Transmission” (2001).  With P. Wei, Y. Yan, Y. Ni, and F. F. Wu. Accepted in HICSS-34.
  33. “Summarization for Multi-Document using Concept Space Approach” (2000). With S. T. K. Tang and C. Law.  Proceedings of the Third Asia Digital Library Workshop, pp. 121-129.
  34. “From Unstructured HTML to Structured XML: How XML Helps Managing Financial Knowledge” (2000). Proceedings of the Third Asia Digital Library Workshop, pp. 71-80.
  35. “Intelligent Clearinghouse: Electronic Marketplace with Computer-mediated Negotiation Supports” (2000). With J. Hu and T. Bui. Proceedings of HICSS-33.
  36. “A Multi-agent Based Negotiation Support System for Distributed Transmission Cost Allocation” (2000). With H. Yan and T. Bui. Proceedings of HICSS-33.
  37. “Adoption of On-line Trading of Brokers” (2000). With S. M. A. Lau and P. Y. K. Chau, Proceedings of International Conference on Electronic Commerce (ICEC2000), pp. 160-170.
  38. “From Unstructured HTML to Structured XML: How XML Helps Managing Financial Knowledge on Internet” (2000). With P. L. T. Yuen, Proceedings of International Conference on Electronic Commerce (ICEC2000), pp. 249-256.
  39. “Collaborative and Scalable Financial Analysis with Multi-agent Technology” (1999). With A. Chung, H. Ho, B. Tam, R. Lau, M. Chua, and K. Hwang. HICSS-32, Vol. 4, pp. 63-72.
  40. “Interactive Chinese News Event Detection and Tracking” (1999). With K. L. Wong and W. Wam.  Proceedings of The Second Asian Digital Library Workshop, pp. 30-43.
  41. “A Virtual Property Agency: Electronic Market with Support of Negotiation” (1999) With
    J. Hu  and A. Chung, Processing of AAAI Workshop on Artificial Intelligence for Electronic Commerce, pp. 120-124.
  42. “Multi-agent Coalition Formation in Transmission Planning Bilateral Shapley Value and Kernel Approaches” (1999).  With J. Contreras, M. Klusch, T. Vielhak, and F. F. Wu. 13th Power Systems Computation Conference Proceedings, Vol. 2, Trondheim, Norway, pp. 777- 787.
  43. "MASCAN: A Multi-Agent System for Transmission Cost Allocation" (1999), Proceedings of the Second Pacific Rim International Workshop on Multi-Agents, pp. 186-194.
  44. “A Virtual Property Agency: Electronic Market with Negotiation Support" (1999). With J. Hu and T. Bui. Proceedings of the IASTED International Conference Artificial Intelligence and Soft Computing, pp. 46-51.
  45. “Multi-agent Approach to the Coalition Formation in the Power Industry” (1998). With Y. H. Yan, F. F. Wu and K. H. Sin.  HICSS-31, Vol. 4, pp. 433-443 (Best Paper Award Nomination).
  46. “Intelligent Internet Searching Engine Based on Hybrid Simulated Annealing” (1998). With C.C. Yang and H. Chen.  HICSS-31, Vol. 4, pp. 415-422.
  47. “A Multi-Agent Based Tourism Kiosk on Internet” (1998). With C. Yeung and P. F. Tung. HICSS-31, Vol. 4, pp. 452-461.
  48. “Multi-Agent Coalition Formation in Power Transmission Planning: A Bilateral Shapley Value Approach”, J. Contreras, M, Klusch and J. Yen: AIPS 1998: 19-26
  49. “Virtual Learning Environment (VLE): A Web-Based Collaborative Learning System” (1998). With C.Y.Y. Cheng. HICSS-31, Vol. 1, pp. 480-491, (Best Paper Award Nomination).
  50. “A Multi-Agent Approach to the Deregulation and Restructuring of Power Industry” (1998). With F. F. Wu, C. Yeung, and A. Poon.  HICSS-31, Vol. 3, pp. 122-131.
  51. “Transparency and Efficiency in Information Transmission and Financial Digital Library” (1998), With C. Yang, A. S. M. Lau, A. K. L Chung, K. Hwang, and D. Yeung, First Asia Digital Library Workshop, PP. 195-206.
  52. “Chinese Indexing using Mutual Information” (1998). With C. Yang, S. K. Yung, and A. K. L. Chung, First Asia Digital Library Workshop, PP. 57-64.
  53. "Intelligent Spider for Internet Searching" (1997). With H. Chen, Y. M. Chung, M. Ramsey, C. C. Yang, and P. C. Ma.  HICSS-30, Vol. 4, pp. 242-252.
  54. "Human Agents and Artificial Agents: An experiment on the Internet" (1997).  HICSS-30, Vol. 4, pp. 178-188.
  55. "Quality as a Function of Quantity in Electronic Brainstorming " (1997). With R. O. Briggs, B. A. Reinig, M. S. Shepherd and J. F. Nunamaker, Jr. HICSS-30, Vol. 2, pp. 94-103.
  56. “A Web-based Project Management System for Virtual Teams: The Virtual Teaming Systems (VTS)” (1997).  With A. K. L. Chung, L. Y. F. To and M. M. Tseng.  ICCM-8, pp. 274-282.
  57. “Virtual Learning Environment (VLE): A Web-based Collaborative Learning System” (1997).  With C. Y. Y. Cheng. ICCM-8, pp. 389-396.
  58. "Intelligent Clearinghouse: Electronic Marketplace with Computer-mediated Negotiation Supports" (1996).  With H. Lee and T. X. Bui. HICCS-29, Vol. 3, pp. 219-227.
  59. "Beyond Telecommunication: Organizational Suitability of Different Modes of Telework" (1996). With T. X. Bui, K. Higa and V. Sivakumar.  HICCS-29, Vol. 3, pp. 344-353.
  60. "A Comparison of Telework Implementations in the US and Japan" (1996). With K. Higa, V. Sivakumar and T. X. Bui.  SIGCPR96.
  61. "Software Agents for Issues Identification: An Experiment on Financial Documents" (1996). With P. C. Ma, H. Chen, and T. X. Bui. First Asia Pacific DSI Conference Vol. 2, pp. 805-814.
  62. “Control in Dynamic Bargaining Processes” (1996). With F. Szidarovszky and Ch-H. Lin. International Conference on Management Science and the Economic Development of China, Vol. 2, pp. 772-781.
  63. "Social Loafing in Electronic Brainstorming: Invoking Social Comparison through Technology and Facilitation Techniques to Improve Group Productivity" (1995). With M. S. Shepherd, R. O. Briggs and B. A. Reinig. HICCS-28, Vol. 3, pp. 523-532.
  64. "What Bank Presidents Can Tell You? An Issues Identifier for On-line Financial Databases" (1995). With H. Chen, P. C. Ma and T. X. Bui. ISDSS '95, Vol. 1, pp. 113-126.
  65. "The Negotiable Alternatives Identifier for Negotiation Support" (1995). With T. X. Bui. ISDSS '95, Vol. 1, pp. 138-148.
  66. "Developing and Validating an Instrument to Measure the Impact of Group Support Technology on Affected Reward" (1995).  With B. A. Reinig, R. O. Briggs, M. S. Shepherd, and J. F. Nunamaker. HICCS-28, Vol. 3, pp. 798-807, (Best Paper Award).

Other Publications

  1. Economic Journal (信报) Column Writer: Over 160 articles and 6 interview articles, where five articles also appeared in the book entitled: 金融海啸 edited by Prof. Leonard Cheng and published by HKUST Press.
  2. Hong Kong Economic Journal (信报月刊)Two (2) articles and two (2) interview articles.
  3. Several speeches made in Hong Kong and China transcribed and appeared in leading newspapers in Hong Kong and China.

Research and Development Grants
  1. "Information Retrieval from Financial Databases". DAG Grant from Hong Kong RGC, HK$ 78K, P.I., December 1994 - June 1995.
  2. "Intelligent Agent for the Financial Databases". RGC - the Earmarked Grant for Research, HK$ 265K, P.I., July 1995-June 1997. 
  3. "Hong Kong and Asia IT Cases Development Grant". Teaching Development Grants, the Hong Kong University of Science and Technology.  HK$ 250K, P.I., May 1996 - December 1997.
  4. “Financial Digital Library and Intelligent Agents”.  CRGC Grant from Hong Kong RGC, HK$ 90K, P.I., Nov. 1996 - July 1997.
  5. “Center for Distributed Computing and Internet Applications”. Hong Kong Research Grant Council: Central Allocation 1996-97, HK$ 5.4M, Co-P.I., Jan 1997 - June 1998.
  6. “Develop Internet-based Virtual Learning System (VLE) and Virtual Multidisciplinary Classroom (VMC) to Support Advanced Learning”. Teaching Development Grant, HK$ 1.5M, P.I., August 1997 - July 1999.
  7. “Design and Implementation of an Internet-based Local Business Case Resource Center”. UGC Teaching Development Grant, HK$ 3.86M, Co-P.I., July 1997 - June 1999.
  8. “Digital Library and Next Generation Internet Initiative”.  Central Allocation Fund, Chinese University of Hong Kong, HK$ 700K (US$ 90.56K), P.I., March 1999 - Feb. 2000.
  9. “A Multilingual Digital Video Content Hub”. The Innovation and Technology Fund, Hong Kong SAR Government, HK$ 7.8M, Co-P.I., July 2000 - June 2002.
  10. “Development of Value-for-Money (VFM) Audit System for E-Commerce Activities of Hong Kong Government”.  Audit Commission, Hong Kong SAR Government (Open Competition), HK$ 598K, P.I., September 2000 – June 2001.
  11. “Improving Efficiency and Transparency of Public Disclosure”, University Direct Grant, HK$ 136K, P.I., October 2002 – September 2004.
  12. “Feasibility Study of Development of Credit Risk Assessment and Management System”, Lippo Group, HK$ 150 K, P.I., June 1, 2004 – December 31, 2005.
  13. “Establishment of the Center for Research Assessment and Business Intelligence”, Research Matching Grant, City University of Hong Kong, HK$ 1M, Co-PI, July 2006 – June 2009.
  14. “Invesco Greatwall Research Center for Research Assessment and Business Intelligence”, Invesco-Greatwall, China, HK$ 1 M, Co-PI, July 2006- June 2009.
  15. “Development of Asset Liability Management Framework for Post-Subprime Age”, Societe Generale (SG), HK$ 260 K, PI, September, 2007 – March, 2008.
  16. “Identification of the Use of Smile in Pricing Structured Products of Investment Banks”, Hang Seng Bank, HK$ 390 K, PI, July 2008 – October 2008.
  17. “Rule-Based Fuzzy Markov Chain Approaches to Behavioral Credit Scoring Models”, Academic Development and Research Grant, Tung Wah College, HK$ 72K, PI, June 2010 – August 2011.
  18. “Development of Volatility Term Structured (VTS) based Trading Strategies for Index, FX, and Gold Options”, PI, Golden Way Asset Management, HKD 1.44 M, PI, January 2012 – December 2012.
  19. “Development and Pricing of Structured Products and Reduced-form LGD and EAD Estimation Models based on Hong Kong Default Cases”, Bank of East Asia (BEA), HK$ 1.2 M, PI, July 2012 – March 2013.
  20. “Delivery and Management of Healthcare Services and Social Services in the Twenty-First Century”, RGC Institutional Development Scheme (IDS), HK$ 14.159 M, PI, September 2014 – August 2015.
  21. “Pricing of Structured Products for FICC (Fixed Income, Currency, and Commodity) Division”, China Construction Bank (CCB), RMB 840K, June 2015- May 2016.
  22. “Development of Cross-market Monitoring System to Detect the Potential Systematic Financial Market Risk”, University of Macau Research and Development Grant for Chair Professor (CPG), MOP 1.05 M, PI, August 2017- now
  23. “Critical Successful Factors of Innovation and Entrepreneurship Education in Greater China Region”, University of Macau Start-up Research Grant (SRG), MOP 350 K, PI, August 2017- July 2018.
  24. “Feasibility Study of Off-Shore Economic Zone for Guangzhou, Nansha”, Guangzhou, Nansha District Government, RMB 450K, August 2018 - now.

Other Consulting Services

Stock Exchange of Hong Kong (HKEx): Feasibility study of prototype development of Integrated Trading Environment and Electronic Disclosure.  We developed a prototype of both systems to prove the concept, study the potential impacts to all the parties involved, and analyze the issues in microstructure.

Hong Kong Securities and Futures Commission (HKSFC):  Studied and analyzed the strategies used by attackers in attacking various Asian markets during Asia Financial Turmoil in 1998. Which included the multi-market attacks that launched by powerful players. The scope included futures and options, money, and equities.  Based on the results we had, we further developed a Cross-Market Monitoring System to support monitoring of suspicious activities.  Mathematical and analytical models used include Black Scholes, Interest Rate, Data Mining, and Principal Component Analysis.

Simplex Securities Ltd.: Development of pre-IPO firm asset valuation, calculation of default probability and volatility estimation based on GARCH, VaR, and jump-diffusion models.

Audit Commission of Hong Kong SAR Government: Development of methodology to estimate the efficiency of resources allocation and utilization of Hong Kong SAR Government.

Lippo Group and subsidiary TechnoSolve Ltd.:  Establish risk management division including staffing and development of Basel II Compliance Solution, which include Credit Risk Engine and Market Risk Engine.  Beta version of Credit Risk Engine was ready in October 2005 and Market Risk Engine was also ready in 2006 to capture the timing of helping banks to comply with requirements of Basel II.

Invesco-Greatwall China: Invesco-Greatwall is one of the best fund houses in China with assets under management greater than 100 B RMB.  We developed a Scalable Asset Allocation and Stock Selection Systems based on optimization of returns (alpha) and risks (betas) for China Stock Market.  Our research team also developed the methodology and procedures for Cross Market Index – China50 Index, China50 Exchange Traded Fund (ETF), China50 Index Futures, etc for Shenzhen and Shanghai A Shares.  We also provided consulting services to support new funds and equity structured products development.

Essences Securities: Essences is one of the top ten securities firms in China. I provided consulting services to help them to develop risk management division, set up the policies, and to create core competence by training and knowledge transfer.

Societe Generale:  Development of pricing model for equity structured products, such as, Alpha Accelerator, and framework that based on CVaR for asset liability management (ALM).

Hang Seng Bank:  Verify pricing of equity and FX structured products that done by counter parties (investment banks) based on advanced models, such as, Dupire and Heston.  Develop new pricing models for popular products in Asia market, such as, accumulator and EKIKOs.

AIA Insurance:  Development of Bubble Index and Investment Index, weekly market forecasting and optimized asset allocations.

Head and Shoulders China Core SPC: Development of options trading and pair trading strategies as well as the needed numerical models and computation modules.

Goldenway Group:  Development of Hang Seng Index (HSI) Volatility Term Structure (VTS) model and systems to support algo options trading and pair trading with other correlated assets.

Bank of East Asia (BEA): Pricing of 45 structured products and verifying pricing templates that developed by a leading financial engineering firm – Numerix.  Development of credit risk models that include the models for estimation of EAD and LGD.

China Construction Bank: Develop pricing models and systems for 37 commodities, foreign exchanges, and interest rate structured products with state-of-the-art models.


Professional Community

Founding Member, Hong Kong Professionals and Senior Executive Association (HKPASEA)
Member, the Hong Kong Institute of Directors
Member, Hong Kong Society of Economists
President, Asia Pacific Association of Financial Engineering
Co-Chair, First Asia Pacific Conference on Financial Engineering, Hong Kong, 2008
President, Asia Pacific Association of Financial Engineering (APAFE)
Subject Matter Expert, PRMIA's Advisory Groups:
             Energy Risk (Commodities)
             Complexity, New Products, Emerging Risks


Contact Details

Faculty of Science and Technology
University of Macau, E11
Avenida da Universidade, Taipa,
Macau, China

Room: N1-1001
Telephone: (853) 8822-4858
Fax: (853) 8822-2426
Email: jeromeyen