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  • zhenyaliu

Big data and financial econometrics


Current work (2020-2022):

My several papers published in the recent two or three years with my co-authors in the top econometric journals:

Testing Stability in Functional Event Observations with Applications to IPO Performance, Journal of Business & Economic Statistics, September 2022, with Lajos Horvath, Greg Rice, Shixuan Wang, and Yaosong Zhan.

Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market, Econometric Theory, 2022, 38(2), 209-272, with Lajos Horvath, Shanglin Lu. https://doi:10.1017/S0266466621000104

Sequential monitoring for changes from stationarity to mild non-stationarity, Journal of Econometrics, 2020.3, vol. 215, pp. 209-238, with Lajos Horvath, Greg Rice, Shixuan Wang.

Detecting Common Break in High Dimensional Panel, Econometrics Journal, September 2021, with Lajos Horvath, Greg Rice, Yuqian Zhao.

Big Data, News Diversity and Financial Market Crash, Technological Forecasting and Social Change, Volume 168, July 2021, with Sabri Boubaker, Ling Zhai.

A Functional Time Series Analysis of Forward Curves Derived from Commodity, International Journal of Forecasting, vol 36, 2020.4-6, pp.646-665, with Lajos Horvath, Greg Rice, Shixuan Wang.

How to identify the different phases of stock market bubbles statistically? Financial Research Letters, August 2021, with Lajos Horvath and Hemei Li.

Future work:

I have the following research papers in this area for revision and resubmit(R&R):

1. Change-points and Functional Features of Intraday Volatility in China Stock Market, with Sabri Boubaker, Ling Zhai. Submitted to Annals of Operations Research. R&R.

2. Fee Structure and Fund Manager's Selling Rule, with David Dickinson, Xuyuan Han, Yaosong Zhan. Submitted to Journal of Asset Management. R&R.

3. Breaks in Term Structures: Evidence from the Oil Futures Markets, With Lajos Horvath, Curtis Miller, Weiqing Tang. Submitted to International Journal of Finance and Economics. R&R.

4. Mirror of History: How to Statistically Identify the Stock Market Bubbles Bursts?, with Sabri Boubaker, Tianqing Sui, Ling Zhai. Submitted to Journal of Economic Behavior and Organization. R&R.

5. Sequential Monitoring of Stock Market Price Changes,with Hemei Li and Zhijie Xiao. Submitted to International Review of Economics and Finance. R&R.

6. Forecasting Oil Commodity Spot Price in a Data-rich Environment, with Sabri Boubaker and Yifan Zhang, Submitted to Annals of Operations Research. R&R.

7. The Evolvement of Momentum Effects in China: Evidence from Functional Data Analysis, with Bo Li and Shixuan Wang, Submitted to Research in International Business and Finance. R&R

I have some other works in progress:

1) The second one is with Zhijie Xiao at Boston College about the online sequential testing on financial bubbles. This paper is R&R for the International Review Economics and Finance.

2) The third one is with Professor Shiqing Ling from the HKUST and Dr. Shixuan Wang from the University of Reading on the non-casual autoregression and expectation formulation.

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