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Research

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已更新:2023年3月25日



I am a Professor of Finance and Economics at the School of Finance at the Renmin University of China, QS ranking by field in the Accounting and Finance: 87 global, interested in contributing to a deeper understanding of quantitative finance and investment decision-making. Human behavior is often characterized by deviations from perfect rationality and influenced by numerous factors that cloud the researcher’s view of underlying causalities. I employ mathematic and statistic tools and analyze large panel data sets to understand economic decision-making and its psychological underpinnings better, generating insights into the areas of investment and risk management.

The majority of my current research applies mathematic and stochastic methods to test insights from classical and behavioral finance in the contexts of asset pricing, portfolio management, and the financial market crisis.


My major research interests are the followings:

1. Big data and financial econometrics, focus on change-point, functional data analysis, machine learning, random matrix theory.

2. Asset pricing, focusing on statisitical factor model;

3. Investment strategy and risk management, foucus on optimal stopping time.

4.China stock markets.




已更新:2022年9月25日

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.

https://doi.org/10.1080/07350015.2022.2118127


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.

https://doi.org/10.1093/ectj/utab028


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


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.

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



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.

  • zhenyaliu

已更新:2022年9月25日



Current Work (2020-2022):

My recently published research papers in this area are the followings:


On Risk-Neutral Skewness and Commodity Pricing, Journal of Futures Markets, January 2022, with Ana-Maria Fuertes and Weiqing Tang.

http://doi.org/10.1002/fut.22308


Industry Momentum with Correlation Consolidation: Evidence from China stock market, Journal of Asset Management, February 2022, 23, 73–82, with Sabri Boubaker and Lechuan Du.

https://doi.org/10.1057/s41260-021-00248-8


Decomposing Anomalies, Economics Letters, May 2021, with Sabri Boubaker, Bo Li, Yifan Zhang.

https://doi.org/10.1016/j.econlet.2021.109835


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


A Study of Data-driven Momentum and Disposition Effects in China Stock Market by Functional Analysis, Review of Quantitative Finance and Accounting, issue 1, 2020, pp. 335-358, with Ruanmin Cao, Lajos Horvath, Yuqian Zhao.


Time-varying Beta in Functional Factor Models: Evidence from China, North America Journal of Economics and Finance, Volume 54, November, 2020, with Lajos Horvath, Bo Li, and Hemei Li.


Asymmetry, Tail Risk and Time Series Momentum, International Review of Financial Analysis, with Shanglin Lu, Shixuan Wang.



Future work

A related paper I am currently working on with my co-authors is to investigate momentum debate in China stock market. I intend to complete and submit for publication within the next six months, which may lead to further related projects.


Inspired by professor B. Kelly’s paper on the IPCA, I am now working on the statistical factor model and will produce a series papers next year on this topic.


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

1. Asset Pricing; Time Series Momentum; Momentum Reversal; Realized Semivariance; High-frequency Data, with Bo Li, Shanglin Lu, Shixuan Wang. Submitted to Journal of Empirical Finance. R&R.

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

3. 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.

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

5. 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.


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