Research Staff


何淮中

Hwai-Chung Ho

Institute of Statistical Science Academia Sinica
Taipei 11529, Taiwan, R.O.C.
Tel: 886-2-27835611 ext. 112
FAX: 886-2-27831523
E-mail: hcho@stat.sinica.edu.tw


 

Research Areas

  • Quantitaive finance, stochastic process analysis, social networks

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Education

1970 - 1974 B.S., Mathematics, Soochow University
1978 - 1984 Ph.D., Mathematics, Wayne State University, U.S.A.

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Professional Experience

1998 - present Professor, Department of Finance, National Taiwan University.
1997 - present Research Fellow, Institute of Statistical Science, Academia Sinica.
1991 - 1992 Full Professor, Institue of Appied Mathematics, National Sun Yat-sen University.
1984 - 1997 Associate Research Fellow, Institute of Statistical Science, Academia Sinica.
1988 - 1991 Associate Professor, Institute of Applied Mathematics, National Sun Yat-sen University.

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Editorial and Meeting Organizer

  • Managing Editor, Statistica Sinica, 1996 - 1999.
  • Associate Editor, Statistica Sinica, 1999 - 2002.
  • Chief Editor, Journal of the Chinese Statistical Association, 1999 - 2002.
  • Chief Editor, Statistica Sinica, 2002 - 2005.
  • Organizing Invited Paper Session of JSM, 2003 and 2005.
  • Organizing the International Statistics and Probability Conference in Memory of Ching-Zong Wei, 2005.

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Services

  • Statistics Review Panel, Division of Natural Sciences, National Science Council ROC, 1998 - 1999.
  • Chairman, Statistics Review Panel, Division of Natural Sciences, National Science Council ROC, 1999 - 2001.
  • Academic Committee of Chinese Statistical Association of Taiwan, 2006, 2007 and 2008.
  • Oversight Committee appointed by the Ministry of Education ROC for development grants to private universities, 2005 - 2009.
  • Accreditor appointed by the Hong Kong Baptist University, 2006.
  • Accreditor for Taiwan's university programs in Mathematics and Staistics, 2008.
  • Review Committee appointed by the Ministry of Education ROC for development grants to private universities, 2008 - 2011.
  • Supervisor, Taiwan Financial Holding Company, 2010 - 2013.
  • Director, Taiwan Financial Holding Company, 2013 - 2016.

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Grants and Research Supports

  • Research grants funded by National Science Council ROC annually since 1984.
  • Co-PI of the New Theme Research Project: Modeling the Structure and Dynamic of Large Social Networks: Taiwan-based Data Development and Analysis funded by Academia Sinica (2011-2013).
  • Subproject Co-PI of the Thematic Research Project: Social Media and Contingent Network Structures: Events, Boundaries, and Diffusion funded by Academia Sinica (2014-2016).

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Honors and Awards

  • Research scholarship awarded by National Science Council, R.O.C.,since 1984.
  • Bharucha-Reid Outstanding Ph.D. Award of Wayne State University, 1986.
  • Outstanding Teacher Award, School of Liberal Arts, National Sun Yat-sen University, 1990.
  • Outstanding Young Scholar Research Award, Academia Sinica, R.O.C.,1997. Outstanding Research Award, National Science Council, R.O.C.,1997.
  • Outstanding Research Award, National Science Council, R.O.C.,2000.
  • Outstanding Service Award 2008, International Chinese Statistical Association.

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Publications

(A) Journal Articles
  1. Tze-Chien Sun and Hwai-Chung Ho (1986). Limit theorems of non-linear functions for stationary Gaussian processes. In Dependence in Probability and Statistics : A Survey of Recent Results, eds. E. Eberlein and M. Taqqu, Birkhäuser, pp. 3-19.
  2. Hwai-Chung Ho and Tze-Chien Sun (1987). A central limit theorem for non-instantaneous filters of a stationary Gaussian process. Journal of Multivariate Analysis 22,144-155.  [link]
  3. Hwai-Chung Ho and Chao-Min Hsu (1990). Limiting distributions for non-linear functions of stationary Gaussian processes with multiplicative noise (Chinese). Journal of Chinese Statistical Association 28, 185-196.  [link]
  4. Hwai-Chung Ho and Tze-Chien Sun (1990). Limiting distributions of nonlinear vector functions of stationary Gaussian processes. Annals of Probability 18, 1159-1173.  [link]
  5. Hwai-Chung Ho and Tze-Chien Sun (1991). A mixture-type limit theorem for nonlinear functions of Gaussian sequences. Journal of Theoretical Probability 4, 407-415.  [link]
  6. Hwai-Chung Ho (1992). A non-central limit theorem for non-linear functions of Gaussian processes with ψ-mixing multiplicative noise. Proceedings of the National Science Council - Part A 16, 63-66.
  7. Hwai-Chung Ho (1992). On limiting distributions of nonlinear functions of noisy Gaussian sequences. Stochastic Analysis and Applications 10, 417-430.  [link]
  8. Hwai-Chung Ho (1994). A note on the exponential bounds for sequences of long-range dependence. Soochow Journal of Mathematics 20, 595-602. (Special issue in memory of late professor Tsing-Huoa Teng.)  [link]
  9. Hwai-Chung Ho (1995). On the strong uniform consistency of density estimation for strongly dependent sequences. Statistics & Probability Letters 22, 149-156.  [link]
  10. Hwai-Chung Ho (1995). The law of the iterated logarithm for non-instantaneous filters of strongly dependent Gaussian sequences. Journal of Theoretical Probability 8, 347-360.  [link]
  11. Hwai-Chung Ho and Tailen Hsing (1996). On the asymptotic joint distribution of the sum and maximum of stationary normal random variables. Journal of Applied Probability 33, 138-145.  [link]
  12. Hwai-Chung Ho and Tailen Hsing (1996). On the asymptotic expansion of the empirical process of long memory moving averages. Annals of Statistics 24, 992-1024.  [link]
  13. Hwai-Chung Ho (1996). On central and non-central limit theorems in density estimation for sequences of long range dependence. Stochastic Processes and their Applications 63, 153-174.  [link]
  14. Kaung-Chi Haung, Nai-Ping Ku, Hsueh-Erh Liu, Hwai-Chung Ho, and Jeng Wei (1996). Factors related to life quality of adult after heart transplantation (Chinese). Journal of Nursing Research 4, 333-344.  [link]
  15. Hwai-Chung Ho and Tailen Hsing (1997). Limit theorems for functionals of moving averages. Annals of Probability 25, 1636-1669.  [link]
  16. Hwai-Chung Ho (1998). On almost sure representations for long memory sequences. Journal of the Korean Mathematical Society 35, 741-753. (Special issue for the regional conference of Bernoulli Society, Feb. 1998, Korea.)  [link]
  17. Hwai-Chung Ho and Chien-Fu Lin (1998). Comments on “Real and spurious long-memory properties of stock market data” by I. N. Lobato and N. E. Savin. Journal of Business and Economic Statistics 16, No. 3, 272.  [link]
  18. Hwai-Chung Ho (1999). A note on first passage times of stationary sequences. Statistica Sinica 9, 725-733.  [link]
  19. Hwai-Chung Ho and William P. McCormick (1999). Asymptotic distribution of sum and maximum for Gaussian processes. Journal of Applied Probability 36, 1031-1044.  [link]
  20. Hwai-Chung Ho (2001). Cointegration and Long-Memory Models, Lecture Notes, Institute of Statistical Science, Academia Sinica.
  21. Hwai-Chung Ho and Chun-Hsiu Chen (2001). A conversation with Yuan Shih Chow (Chinese). Journal of the Chinese Statistical Association 39, 23-44.  [link]
  22. Hwai-Chung Ho, Chun-Hsiu Chen, and Ren-Hau Hsiao (2002). A conversation with George C. Tiao (Chinese). Journal of the Chinese Statistical Association 40, 275-302.  [link]
  23. Hwai-Chung Ho (2002). On functionals of linear processes with estimated parameters. Statistica Sinica 12, 1171-1190.  [link]
  24. Hwai-Chung Ho and Tailen Hsing (2003). A decomposition for generalized U-statistics of long-memory linear processes. In Theory and Applications of Long-Range Dependence, eds. Paul Doukhan, Georges Oppenheim and Murad S. Taqqu, Birkhäuser, pp. 143-155.
  25. Tsung-Lin Cheng and Hwai-Chung Ho (2005). Asymptotic normality for non-linear functionals of non-causal linear processes with summable weights. Journal of Theoretical Probability 18, 345-358.  [link]
  26. Hwai-Chung Ho and Nan Jung Hsu (2005). Polynomial trend regression with long-memory errors. Journal of Time Series Analysis 26, 323-354.  [link]
  27. Hwai-Chung Ho and Grace S. Shieh (2006). Two-stage U-statistics for hypothesis testing. Scandinavian Journal of Statistics 33, 861-873.  [link]
  28. Hwai-Chung Ho, Shih-Chin Lee and Hsiou-Wei Lin (2006). Gambler's fallacy in the Taiwan Lotto Market. Taiwan Economics Review 34, 417-444.  [link]
  29. Hwai-Chung Ho (2006). Estimation errors of the Sharpe ratio for long-memory stochastic volatility models. In Time Series and Related Topics: in Memory of Ching-Zong Wei, eds. Hwai-Chung Ho, Ching-Kang Ing, and Tze Leung Lai, IMS Lecture Notes and Monograph Series Vol. 52, pp. 165-172.  [link]
  30. Tsung-Lin Cheng and Hwai-Chung Ho (2006). Central limit theorems for instantaneous filters of linear random fields on Z2. In Random Walk, Sequential Analysis and Related Topics: A Festschrift in Honor of Yuan- Shih Chow, eds. A. C. Hsiung, Z. Ying and C. H. Zhang, World Scientific, pp. 71-84.  [link]
  31. Hwai-Chung Ho and Peiyu Yang (2007). A note on the Sharpe ratio for a class of generalized stochastic volatility processes. Journal of the Chinese Statistical Association 45, 340-354.  [link]
  32. Tsung-Lin Cheng and Hwai-Chung Ho (2008). On Berry-Esseen bounds for non-instantaneous filters of linear processes. Bernoulli 14, 301-321.  [link]
  33. Tsung-Lin Cheng, Hwai-Chung Ho and Xuenwen Lu (2008). A note on asymptotic normality of kernel estimation for linear random fields on Z2. Journal of Theoretical Probability 21, 267-286.  [link]
  34. Hwai-Chung Ho, Tsun-Siou Lee and Hung-Chou Tsai (2009). The pricing measure for geometric Levy processes under incomplete financial markets. Journal of Financial Studies 17, 107-142.  [link]
  35. Hwai-Chung Ho and Fang-I Liu (2010). Estimation of short- and long-term VaR for long-memory stochastic volatility models. In Handbook of Quantitative Finance and Risk Management Vol. 2, eds. Cheng-Few Lee, Alice C. Lee and John Lee, Springer, pp. 1409-1415.  [link]
  36. Hwai-Chung Ho, Sharon S. Yang and Fang-I Liu (2010). Evaluating quantile reserve for equity-linked insurance in a stochastic volatility model: long vs. short memory. ASTIN Bulletin, Journal of International Actuarial Association 40, 669-698.  [link]
  37. Hwai-Chung Ho and Fang-I Liu (2010). On empirical distribution of long-memory stochastic volatility processes. Journal of the Chinese Statistical Association 48, 31-44.  [link]
  38. Hwai-Chung Ho and Chien-Chih Lin (2011). Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs. Applied Economics Letters 18, 955-959.  [link]
  39. Ruei-Min Lin, Hwai-Chung Ho, and Kuan-Ta Chen (2011). Bot detection in rhythm games: a physiological approach. Proceedings of the 8th International Conference on Advances in Computer Entertainment Technology, 1-8.  [link]
  40. Shih-Chin Lee, Joseph J. Tien and Hwai-Chung Ho (2012). Estimating the price elasticity of demand for lotto from conscious and quick selection prospect. The Empirical Economics Letters 11.
  41. Hwai-Chung Ho and Chien-Chih Lin (2012). How do heterogeneous beliefs influence asset volatility? Pacific Economic Review 17, 601-616.  [link]
  42. Hongwei Chuang and Hwai-Chung Ho (2013). Measuring the default risk of sovereign debt from the perspective of network. Physica A: Statistical Mechanics and its Applications 392, 2235-2239.  [link] [pdf]
  43. Ting Zhang, Hwai-Chung Ho, Martin Wendler, and Wei Biao Wu (2013). Block sampling under strong dependence. Stochastic Processes and their Applications 123, 2323-2339.  [link] [pdf]
  44. Yang-chih Fu, Hwai-Chung Ho, and Hsiu-Man Chen (2013). Weak ties and contact initiation in everyday life: Exploring contextual variations from contact diaries. (To appear in Social Networks)  [link] [pdf]
  45. Hongwei Chuang and Hwai-Chung Ho (2013). Implied price risk and momentum strategy. (forthcoming in Review of Finance[pdf]

(B) Books
  1. Hwai-Chung Ho, Ching-Kang Ing and Tze Leung Lai (2006). Time Series and Related Topics: in Memory of Ching-Zong Wei. IMS Lecture Notes and Monograph Series Vol. 52.  [link]

(C) Patents
  1. 李世欽, 何淮中, 莊宏瑋:金融商品異常交易行為之偵測方法及執行金融商品異常交易行為之偵測方法之資訊處理裝置 (R.O.C. Patent I 367452, July 2012)

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