Faculty Profiles - CHONG Carsten Hao Ye | The Hong Kong University of Science and Technology

Carsten Hao Ye CHONG
鍾浩業

PhD in Mathematics
Technical University of Munich (TUM), 2015

Assistant Professor
Department of Information Systems, Business Statistics and Operations Management

(852) 2358 7730
carstenchong@ust.hk
Room LSK4039
Personal Web

Google Scholar

73QB2k0AAAAJ

ORCID

0000-0001-5411-2065

ResearcherID

CKH-5219-2022

Scopus ID

56468780500

Research Interest Publications Projects RPG Supervision

Research Interest

Financial econometrics
High-frequency data
Volatility estimation
Financial risk management
Market microstructure
Asymptotic statistics

Publications

All Years 19 2024 2 2023 3 2022 1 2021 0 2020 3 2019 3 2018 7

2024 2

Statistical inference for rough volatility: Central limit theorems

Annals of Applied Probability, v. 34, (3), June 2024, p. 2600-2649
Chong, Carsten Hao Ye; Hoffmann, Marc; Liu, Yanghui; Rosenbaum, Mathieu; Szymanski, Grégoire
Article

Volatility of Volatility and Leverage Effect from Options

Journal of Econometrics, v. 240, (1), March 2024, article number 105669
Chong, Carsten Hao Ye; Todorov, Viktor
Article

2023 3

A landscape of peaks: The intermittency islands of the stochastic heat equation with Lévy noise

Annals of Probability, v. 51, (4), July 2023, p. 1449-1501
Chong, Carsten Hao Ye; Kevei, Péter
Article

Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs

Bernoulli, v. 29, (3), August 2023, p. 1792-1820
Chong, Carsten Hao Ye; Dalang, Robert C.
Article

The Stochastic Heat Equation with Multiplicative Lévy Noise: Existence, Moments, and Intermittency

Communications in Mathematical Physics, v. 402, (3), 27 June 2023, p. 2215-2299
Berger, Quentin; Chong, Carsten Hao Ye; Lacoin, Hubert
Article

2022 1

Extremes of the stochastic heat equation with additive Lévy noise

Electronic Journal of Probability, v. 27, September 2022, article number 128
Chong, Carsten Hao Ye; Kevei, Péter
Article

2020 3

High-frequency analysis of parabolic stochastic pdes

Annals of Statistics, v. 48, (2), April 2020, p. 1143-1167
Chong, Carsten Hao Ye
Article

Normal approximation of the solution to the stochastic heat equation with Lévy noise

Stochastics and Partial Differential Equations: Analysis and Computations, v. 8, (2), 2020, p. 362-401
Chong, Carsten Hao Ye; Delerue, Thomas
Article

The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise

Annals of Probability, v. 48, (3), May 2020, p. 1466-1494
Chong, Carsten Hao Ye; Kevei, Péter
Article

2019 3

Intermittency for the stochastic heat equation with Lévy noise

Annals of Probability, v. 47, (4), July 2019, p. 1911-1948
Chong, Carsten Hao Ye; Kevei, Péter
Article

Partial mean field limits in heterogeneous networks

Stochastic Processes and their Applications, v. 129, (12), December 2019, p. 4998-5036
Chong, Carsten Hao Ye; Klüppelberg, Claudia
Article

Path properties of the solution to the stochastic heat equation with Lévy noise

Stochastics and Partial Differential Equations: Analysis and Computations, v. 7, (1), March 2019, p. 123-168
Chong, Carsten Hao Ye; Dalang, Robert C.; Humeau, Thomas
Article

2018 2

Contagion in financial systems: A Bayesian network approach

SIAM Journal on Financial Mathematics, v. 9, (1), 2018, p. 28-53
Chong, Carsten Hao Ye; Klüppelberg, Claudia
Article

Volterra-type Ornstein–Uhlenbeck processes in space and time

Stochastic Processes and their Applications, v. 128, (9), September 2018, p. 3082-3117
Pham, Viet Son; Chong, Carsten Hao Ye
Article

2017 2

Lévy-driven Volterra Equations in Space and Time

Journal of Theoretical Probability, v. 30, (3), September 2017, p. 1014-1058
Chong, Carsten Hao Ye
Article

Stochastic PDEs with heavy-tailed noise

Stochastic Processes and their Applications, v. 127, (7), july 2017, p. 2262-2280
Chong, Carsten Hao Ye
Article

2015 3

Integrability conditions for space-time stochastic integrals: Theory and applications

Bernoulli, v. 21, (4), November 2015, p. 2190-2216
Chong, Carsten Hao Ye; Kluppelberg, Claudia
Article

Superposition of COGARCH processes

Stochastic Processes and their Applications, v. 125, (4), April 2015, p. 1426-1469
Behme, Anita; Chong, Carsten Hao Ye; Klüppelberg, Claudia
Article

Simulation of stochastic volterra equations driven by space-time Lévy noise

The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen / Editors: Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart. Switzerland : Springer, 2016, p. 209-229
Chen, Bohan; Chong, Carsten Hao Ye; Klüppelberg, Claudia
Book chapter

Article 2

Statistical inference for rough volatility: Central limit theorems

Annals of Applied Probability, v. 34, (3), June 2024, p. 2600-2649
Chong, Carsten Hao Ye; Hoffmann, Marc; Liu, Yanghui; Rosenbaum, Mathieu; Szymanski, Grégoire

Volatility of Volatility and Leverage Effect from Options

Journal of Econometrics, v. 240, (1), March 2024, article number 105669
Chong, Carsten Hao Ye; Todorov, Viktor

Article 3

A landscape of peaks: The intermittency islands of the stochastic heat equation with Lévy noise

Annals of Probability, v. 51, (4), July 2023, p. 1449-1501
Chong, Carsten Hao Ye; Kevei, Péter

Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs

Bernoulli, v. 29, (3), August 2023, p. 1792-1820
Chong, Carsten Hao Ye; Dalang, Robert C.

The Stochastic Heat Equation with Multiplicative Lévy Noise: Existence, Moments, and Intermittency

Communications in Mathematical Physics, v. 402, (3), 27 June 2023, p. 2215-2299
Berger, Quentin; Chong, Carsten Hao Ye; Lacoin, Hubert

Article 1

Extremes of the stochastic heat equation with additive Lévy noise

Electronic Journal of Probability, v. 27, September 2022, article number 128
Chong, Carsten Hao Ye; Kevei, Péter

Article 3

High-frequency analysis of parabolic stochastic pdes

Annals of Statistics, v. 48, (2), April 2020, p. 1143-1167
Chong, Carsten Hao Ye

Normal approximation of the solution to the stochastic heat equation with Lévy noise

Stochastics and Partial Differential Equations: Analysis and Computations, v. 8, (2), 2020, p. 362-401
Chong, Carsten Hao Ye; Delerue, Thomas

The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise

Annals of Probability, v. 48, (3), May 2020, p. 1466-1494
Chong, Carsten Hao Ye; Kevei, Péter

Article 3

Intermittency for the stochastic heat equation with Lévy noise

Annals of Probability, v. 47, (4), July 2019, p. 1911-1948
Chong, Carsten Hao Ye; Kevei, Péter

Partial mean field limits in heterogeneous networks

Stochastic Processes and their Applications, v. 129, (12), December 2019, p. 4998-5036
Chong, Carsten Hao Ye; Klüppelberg, Claudia

Path properties of the solution to the stochastic heat equation with Lévy noise

Stochastics and Partial Differential Equations: Analysis and Computations, v. 7, (1), March 2019, p. 123-168
Chong, Carsten Hao Ye; Dalang, Robert C.; Humeau, Thomas

Article 2

Contagion in financial systems: A Bayesian network approach

SIAM Journal on Financial Mathematics, v. 9, (1), 2018, p. 28-53
Chong, Carsten Hao Ye; Klüppelberg, Claudia

Volterra-type Ornstein–Uhlenbeck processes in space and time

Stochastic Processes and their Applications, v. 128, (9), September 2018, p. 3082-3117
Pham, Viet Son; Chong, Carsten Hao Ye

Article 2

Lévy-driven Volterra Equations in Space and Time

Journal of Theoretical Probability, v. 30, (3), September 2017, p. 1014-1058
Chong, Carsten Hao Ye

Stochastic PDEs with heavy-tailed noise

Stochastic Processes and their Applications, v. 127, (7), july 2017, p. 2262-2280
Chong, Carsten Hao Ye

Article 2

Integrability conditions for space-time stochastic integrals: Theory and applications

Bernoulli, v. 21, (4), November 2015, p. 2190-2216
Chong, Carsten Hao Ye; Kluppelberg, Claudia

Superposition of COGARCH processes

Stochastic Processes and their Applications, v. 125, (4), April 2015, p. 1426-1469
Behme, Anita; Chong, Carsten Hao Ye; Klüppelberg, Claudia

Book chapter 1

Simulation of stochastic volterra equations driven by space-time Lévy noise

The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen / Editors: Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart. Switzerland : Springer, 2016, p. 209-229
Chen, Bohan; Chong, Carsten Hao Ye; Klüppelberg, Claudia

2018 2

Contagion in financial systems: A Bayesian network approach

SIAM Journal on Financial Mathematics, v. 9, (1), 2018, p. 28-53
Chong, Carsten Hao Ye; Klüppelberg, Claudia
Article

Volterra-type Ornstein–Uhlenbeck processes in space and time

Stochastic Processes and their Applications, v. 128, (9), September 2018, p. 3082-3117
Pham, Viet Son; Chong, Carsten Hao Ye
Article

2017 2

Lévy-driven Volterra Equations in Space and Time

Journal of Theoretical Probability, v. 30, (3), September 2017, p. 1014-1058
Chong, Carsten Hao Ye
Article

Stochastic PDEs with heavy-tailed noise

Stochastic Processes and their Applications, v. 127, (7), july 2017, p. 2262-2280
Chong, Carsten Hao Ye
Article

2015 3

Integrability conditions for space-time stochastic integrals: Theory and applications

Bernoulli, v. 21, (4), November 2015, p. 2190-2216
Chong, Carsten Hao Ye; Kluppelberg, Claudia
Article

Superposition of COGARCH processes

Stochastic Processes and their Applications, v. 125, (4), April 2015, p. 1426-1469
Behme, Anita; Chong, Carsten Hao Ye; Klüppelberg, Claudia
Article

Simulation of stochastic volterra equations driven by space-time Lévy noise

The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen / Editors: Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart. Switzerland : Springer, 2016, p. 209-229
Chen, Bohan; Chong, Carsten Hao Ye; Klüppelberg, Claudia
Book chapter

No Publications

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

Current RPGs

Master of Philosophy

GUO, Zhen
Operations Management

Projects

From January 2022 to December 2024

All Projects 1

No Projects.
Robust Inference of Rough Volatility

粗略波動率的穩健推斷 Leading

RGC - Early Career Scheme
Project Team (HKUST)
CHONG Carsten Hao Ye (Lead)
2024 -

Research Interest

Publications

2024 2

2023 3

2022 1

2020 3

2019 3

2018 2

2017 2

2015 3

Article 2

Article 3

Article 1

Article 3

Article 3

Article 2

Article 2

Article 2

Book chapter 1

2018 2

2017 2

2015 3

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

Current RPGs

Projects

From January 2022 to December 2024

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