Ruey Tsay studies business and economic forecasting, data analysis, risk management, and process control. Tsay's research aims at finding the dynamic relationships between variables and how to extract information from messy data. He has authored Analysis of Financial Time Series, 2nd Edition, published in 2005 by Wiley; and coauthored A Course in Time Series Analysis, with D. Pena and G. Tiao, published by Wiley in 2001. Tsay has worked as a consultant for numerous American, Chinese, and Taiwanese companies. This experience taught him what works in practice and what does not - knowledge that he shares with students in the classroom. He hopes they learn ideas and methods for extracting information from data, large or small.
Tsay is the winner of the 2005 IBM Faculty Research Award and the John Wiley and Sons Author of the Year for his book, Analysis of Financial Time Series, in probability and statistics. He has received nine National Science Foundation grants and holds a U.S. patent for a system and method for building a time series model.
He is a fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica. He is a coeditor of the Journal of Forecasting, and associate editor of Asia-Pacific Financial Markets, Studies in Nonlinear Dynamics and Econometrics, Metron, and the Journal of Financial Econometrics.
Tsay earned a bachelor's degree from the National Tsing Hua University in Taiwan in 1974 and a PhD in statistics from the University of Wisconsin-Madison in 1982. He joined Chicago Booth in 1989.
Outside of the classroom, Tsay enjoys gardening.
Selected Publications
Analysis of Financial Time Series, 2nd Edition (Wiley, 2005).
With D. Pena and G. Tiao, A Course in Time Series Analysis (Wiley, 2001).
With A. Ohanissian and J. Russell, "True or spurious long memory? A new test," Journal of Business and Economic Statistics (2007).
With P. Galeano and D. Pena, "Outlier detection in multivariate time series by projection pursuit," Journal of the American Statistical Association (2006).
With M. Zhang and J. Russell, "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance (2008).
