Dr Vincent Xiang

STAFF PROFILE

Position

Lecturer

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Qualifications

Bachelor of Commerce, Monash University, 2005
Bachelor of Business, Monash University, 2006
Doctor of Philosophy, Monash University, 2013
Graduate Certificate of Higher Education, Deakin University, 2014

Contact

v.xiang@deakin.edu.au
+61 3 924 46975

Career highlights

•Best paper award received at 2012 Asia-Pacific Derivatives Association Meeting, Pushan, Korea.  "Transmigration of Price Discovery Categories: Evidence from the U.S. CDS and Equity Markets" Co-authored with Michael Chng and Victor Fang.

Research interests

• Quantitative trading strategies and algorithmic trading strategies
• Cross-market information dynamics
• Derivatives markets
• Asset pricing
• Anomalies based trading strategy

Affiliations

Financial Management Association

Teaching interests

• Investment
• Quantitative Method
• Derivatives
• Financial Modelling

Units taught

• MAF759 Quantitative method for finance
• MAF384 Financial modelling

Knowledge areas

• Quantitative trading strategies and algorithmic trading strategies
• Cross-market information dynamics
• Derivatives markets
• Asset pricing
• Anomalies based trading strategy

Professional activities

• "Transmigration of Price Discovery Categories: Evidence from the U.S. CDS and Equity Markets" Co-authored with Michael Chng and Victor Fang. 2011 FMA Annual Meeting, Denver, USA.
• "Credit Risk Information Dynamics across the CDS and Equity Markets: New Evidence from the U.S. Investment-Grade Firms" Co-authored with Michael Chng and Victor Fang. 60th Midwest Finance Association Annual Meeting, 2011, Chicago, USA.

Projects

• The economic significance of CDS price discovery
• Capitcal structure arbitrage

Publications

Filter by

2017

Corporate hedging and the high idiosyncratic volatility low return puzzle

M Chng, V Fang, V Xiang, H Zhang

(2017), pp. 1-31, International review of finance, London, Eng., C1

journal
2015

The economic significance of CDS price discovery

V Xiang, M Chng, V Fang

(2015), Vol. In press, pp. 1-30, Review of quantitative finance and accounting, New York, N.Y., C1

journal
2013

Transmigration across price discovery categories : evidence from the U.S. CDS and equity markets

V Xiang, M Chng, V Fang

(2013), Vol. 33, pp. 573-599, Journal of futures markets, Malden, Mass., C1

journal

Funded Projects at Deakin

Industry and Other Funding

Credit risk information dynamics and capital structure arbitrage: Evidence from the U.S. CDS and equity markets

Dr Vincent Xiang, A/Prof Michael Chng

  • 2013: $3,818

Commodity Hedging with Stochastic Volatility Models

A/Prof Michael Chng, A/Prof Qingfu Liu, Dr Vincent Xiang

  • 2014: $3,636
  • 2013: $5,454

Supervisions

No completed student supervisions to report