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  • zhenyaliu

Investment and risk management

已更新:2022年9月25日



Current work (2020-2022):

My several papers published in the recent two years with my co-authors in the finance and economics journals:


Investor Behavior and Filter Rule Revisiting, Journal of Behavior and Experimental Finance, January 2022, with Yaosong Zhan.

https://doi.org/10.1016/j.jbef.2022.100631


Optimal filter rules for selling stocks in the emerging stock markets, Annals of Operations Research, November, 2021, with Sabri Boubaker, Xuyuan Han, Yaosong Zhan.

https://doi.org/10.1007/s10479-021-04381-w


Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach, Annals of Operations Research, May 2021, with Sabri Boubaker, Yaosong Zhan.


Trading signal, functional data analysis and time series momentum, Finance Research Letters, January 2021, with Sabri Boubaker, Shanglin Lu, and Yifan Zhang.

https://doi.org/10.1016/j.frl.2021.101933


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

https://doi.org/10.1016/j.frl.2021.102366


Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach, International Journal of Finance and Economics, October 2020, https://doi.org/10.1002/ijfe.2280. with Hemei Li, ShixuanWang.


An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting, Journal of Commodity Markets, March 2021, with Xuyuan Han, Shixuan Wang.

https://doi.org/10.1016/j.jcomm.2021.100188


Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market, Econometric Theory, March 2021, with Lajos Horvath, Shanglin Lu. https://doi:10.1017/S0266466621000104


Big Data, News Diversity and Financial Market Crash, Technological Forecasting and Social Change, Volume 168, July 2021, with Sabri Boubaker, Ling Zhai. https://doi.org/10.1016/j.techfore.2021.120755


Future Work

One of my research interests is applying the optimal stopping time techniques to analyze investors' behaviors. The follwing papers are under revisions:

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

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


I am now working with Professor Jia Liu (Business School, University of Portsmouth ) and Professor Mei Wang (WHU, Otto Beisheim School of Management) on investor behavior. We have finished the draft of the Reference Point, Salience, and Disposition and plan to submit this paper to Management Science or European Journal of Operation Research.

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