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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
Sch of Banking & Finance

Dr Thuy-Duong To is an Associate Professor at the School of Banking and Finance, 91É«ÇéƬ Business School. She also serves as the Deputy Head of School (Education).ÌýHer 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,Ìýand empirical corporate finance.

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    Phone
    +61 2 9385 5865
    E-mail
    td.to@unsw.edu.au
    Location
    91É«ÇéƬ 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,
      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
      TÇ’ TD; Tran NK, 2024, 'Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing', Management Science, 70, pp. 8448 - 8463,
      Journal articles | 2023
      Maurer TA; Tô TD; Tran NK, 2023, 'Market Timing and Predictability in FX Markets', Review of Finance, 27, pp. 223 - 246,
      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,
      Journal articles | 2019
      Maurer TA; Tô TD; Tran NK, 2019, 'Pricing risks across currency denominations', Management Science, 65, pp. 5308 - 5336,
      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,
      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,
      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,
      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,
      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,
      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,
      Journal articles | 2009
      Ghandar A; Michalewicz Z; Schmidt M; To TD; Zurbrugg R, 2009, 'Computational intelligence for evolving trading rules', IEEE Transactions on Evolutionary Computation, 13, pp. 71 - 86,
      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,
      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,
      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,
      Preprints | 2015
      Chiarella C; Kang B; Nikitopoulos CS; To TD, 2015, The Return-Volatility Relation in Commodity Futures Markets,
      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,
      Conference Papers | 2007
      Ghandar A; Michalewicz Z; Schmidt M; TÇ’ 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,
      Preprints | 2006
      Chiarella C; Hung H; To TD, 2006, The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach,
      Preprints | 2006
      Chiarella C; To TD, 2006, The Multifactor Nature of the Volatility of the Eurodollar Futures Market,
      Preprints |
      Chiarella C; Hsiao C-Y; To TD, Risk Premia and Wishart Term Structure Models,
      Preprints |
      Chiarella C; Hsiao C-Y; To TD, Stochastic Correlation and Risk Premia in Term Structure Models,
      Preprints |
      Chiarella C; Kang B; Nikitipoulos Sklibosios C; To TD, Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence,
      Preprints |
      Chiarella C; Kang B; Nikitipoulos Sklibosios C; To TD, Volatility of Commodity Derivatives: Humped, Unspanned and Stochastic,
      Preprints |
      Ghandar A; Michalewicz Z; Schmidt M; To T-D; Zurbruegg R, Computational Intelligence for Evolving Trading Rules,
      Preprints |
      Maurer TA; To TD; Tran N-K, Internet Appendix: Optimal Factor Strategy in FX Markets,
      Preprints |
      Maurer TA; To TD; Tran N-K, Optimal Factor Strategy in FX Markets,
      Preprints |
      Maurer TA; To TD; Tran N-K, Pricing Implications of Covariances and Spreads in Currency Markets,
      Preprints |
      Maurer TA; To TD; Tran N-K, Pricing Risks Across Currency Denominations,
      Preprints |
      To TD; Tran N-K, Cheap TIPS or Expensive Inflation Swaps?: Mispricing in Real Asset Markets,
      Preprints |
      To TD; Tran N-K, Growth Risk of Nontraded Industries and Asset Pricing,

    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

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    2025 91É«ÇéƬ Business School Dean’sÌýLeadership Award (Emerging) - Winner

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    2025 91É«ÇéƬ Business SchoolÌýJohn Prescott AM Award for Outstanding Teaching Innovation - Finalist

    2022 91É«ÇéƬ Business SchoolÌýResearch Excellence Award (Level C Senior Lecturer) - Winner

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

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    Recent publications

    1. 'Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing'Ìý(with N-K Tran), 2024, Management Science, v70, n12, pp 8448–8463,Ìý
    2. 'Market Timing and Predictability in FX Markets' (with T.A. Maurer and N-K Tran), 2023,ÌýReview of Finance,Ìý27,Ìýpp. 223 - 246,Ìý
    3. 'Pricing Implications of Covariances and Spreads in Currency Markets', 2022,ÌýThe Review of Asset Pricing Studies,Ìý12,Ìý
    4. 'Pricing Risks Across Currency Denominations', 2019,ÌýManagement Science,Ìý65,Ìýpp. 5308 - 5336,Ìý

    Current working papers:

    1. 'Inflation Expectations from Nominal Markets: Evidence fromÌýTreasury Futures and Real Asset Segmentation'Ìý(with N-K Tran)Ìý
    2. 'Pairwise Correlation Dynamics and Incomplete Information'Ìý(with S. Coupy and T. Berrada)
    3. 'Investment Financing Through Risk Sharing Supplier Relationships'Ìý(with S.ÌýSchraeder)
    4. 'Employee Voice and Investment Discipline' (with E. Wu and R. Zhao)
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    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