zhenya liu

32
Documents
Affiliation actuelle
  • Métis Lab EM Normandie
Identifiants chercheurs

Présentation

Prof. Zhenya Liu is a professor at the School of Finance, Renmin University of China, and the EM Normandie, France. He held positions at the University of Birmingham, JP Morgan Futures (China), and the International Monetary Fund (IMF). His global experience is reflected in the interdisciplinary nature of his research, which has been published in top economic and finance journals, such as the Journal of Econometrics, Econometric Theory, Journal of Business and Economic Statistics, International Journal of Forecasting, Review of Quantitative Finance and Accounting, China Economic Review, etc.

Professor Liu is a leading expert in financial econometrics and quantitative investment, and he founded the graduate programs in Quantitative Investment at the Renmin University of China. He currently focuses on changepoint econometrics, functional data analysis, statistical factor models, random matrix and portfolio theory, and stochastic optimal stopping rules in finance.

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Publications

Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models

Lajos Horváth , Emese Lazar , Zhenya Liu , Shixuan Wang , Xiaohan Xue
Journal of Business and Economic Statistics, 2025, pp.1-23. ⟨10.1080/07350015.2025.2540071⟩
Article dans une revue hal-05290588 v1

Fee Structure and Equity Fund Manager's Optimal Locking in Profits Strategy

David Dickinson , Xuyuan Han , Zhenya Liu , Yaosong Zhan
International Review of Financial Analysis, 2024, 96, ⟨10.1016/j.irfa.2024.103611⟩
Article dans une revue hal-04876523 v1

Measuring Firm-Level Manager Risk Perception

Yu He , Zhenya Liu , Shanglin Lu , Ran Wei
Finance Research Letters, 2024, 69, ⟨10.1016/j.frl.2024.106130⟩
Article dans une revue hal-04889065 v1

Digital Finance, Financing Constraints, and Green Technological Innovation: A Spatial Analysis

Bo Li , Zhenya Liu , Xuemei Jia , Fengping Ma
Global Finance Journal, 2024, 61, ⟨10.1016/j.gfj.2024.100988⟩
Article dans une revue hal-04894960 v1

International Capital Flow in a Period of High Inflation: The Case of China

Qiming Liu , Zhenya Liu , Yuhao Mu , Faten Moussa
Research in International Business and Finance, 2024, 67, ⟨10.1016/j.ribaf.2023.102070⟩
Article dans une revue hal-04432406 v1

Digital Transformation Driving Green Innovation: Evidence from Chinese A-Share Firms

Hemei Li , Zhenya Liu , Virginie Hachard
International Review of Economics and Finance, 2024, 95, ⟨10.1016/j.iref.2024.103487⟩
Article dans une revue hal-04894961 v1

The Fortune and Crash of Common Risk Factors in Chinese Commodity Markets

Hemei Li , Zhenya Liu , Yuqian Zhao
Journal of Commodity Markets, 2023, 32, ⟨10.1016/j.jcomm.2023.100362⟩
Article dans une revue hal-04435473 v1

Optimal filter rules for selling stocks in the emerging stock markets

Sabri Boubaker , Xuyuan Han , Zhenya Liu , Yaosong Zhan
Annals of Operations Research, 2023, 330, pp.211-242. ⟨10.1007/s10479-021-04381-w⟩
Article dans une revue hal-03511438 v1

Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach

S. Boubaker , Zhenya Liu , Yaosong Zhan
Annals of Operations Research, 2022, 313 (1), pp.9-27. ⟨10.1007/s10479-021-04092-2⟩
Article dans une revue hal-04452669 v1
Image document

Customer Relationships, Corporate Social Responsibility, and Stock Price Reaction: Lessons from China during Health Crisis Times

S. Boubaker , Zhenya Liu , Yaosong Zhan
Finance Research Letters, 2022, 47, ⟨10.1016/j.frl.2022.102699⟩
Article dans une revue hal-04452665 v1

The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts

S. Boubaker , Zhenya Liu , Tianqing Sui , L. Zhai
Journal of Economic Behavior and Organization, 2022, 204, pp.128-147. ⟨10.1016/j.jebo.2022.09.024⟩
Article dans une revue hal-04454682 v1

When did global warming start? A new baseline for carbon budgeting

Hachmi Ben Ameur , Xuyuan Han , Zhenya Liu , Jonathan Peillex
Economic Modelling, 2022, 116, pp.106005. ⟨10.1016/j.econmod.2022.106005⟩
Article dans une revue hal-04077724 v1
Image document

Trading signal, functional data analysis and time series momentum

Sabri Boubaker , Zhenya Liu , Shanglin Lu , Yifan Zhang
Finance Research Letters, 2021, 42, pp.101933. ⟨10.1016/j.frl.2021.101933⟩
Article dans une revue hal-03323675 v1
Image document

Big data, news diversity and financial market crash

Sabri Boubaker , Zhenya Liu , Ling Zhai
Technological Forecasting and Social Change, 2021, 168, pp.120755. ⟨10.1016/j.techfore.2021.120755⟩
Article dans une revue hal-03511405 v1

Asymmetry, tail risk and time series momentum

Zhenya Liu , Shanglin Lu , Shixuan Wang
International Review of Financial Analysis, 2021, 78, pp.101938. ⟨10.1016/j.irfa.2021.101938⟩
Article dans une revue hal-03511436 v1

Detecting common breaks in the means of high dimensional cross-dependent panels

Lajos Horváth , Zhenya Liu , Gregory Rice , Yuqian Zhao
Econometrics Journal, 2021, ⟨10.1093/ectj/utab028⟩
Article dans une revue hal-03511434 v1
Image document

Decomposing anomalies

Sabri Boubaker , Bo Li , Zhenya Liu , Yifan Zhang
Economics Letters, 2021, 202, pp.109835. ⟨10.1016/j.econlet.2021.109835⟩
Article dans une revue hal-03323669 v1
Image document

How to identify the different phases of stock market bubbles statistically?

Lajos Horváth , Hemei Li , Zhenya Liu
Finance Research Letters, 2021, pp.102366. ⟨10.1016/j.frl.2021.102366⟩
Article dans une revue hal-03511435 v1

SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET

Lajos Horváth , Zhenya Liu , Shanglin Lu
Econometric Theory, 2021, pp.1-64. ⟨10.1017/S0266466621000104⟩
Article dans une revue hal-03511409 v1

Industry momentum with correlation consolidation: evidence from China

Sabri Boubaker , Lechuan Du , Zhenya Liu
Journal of Asset Management, 2021, ⟨10.1057/s41260-021-00248-8⟩
Article dans une revue hal-03513394 v1

Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach

Hemei Li , Zhenya Liu , Shixuan Wang
International Journal of Finance and Economics, 2020, ⟨10.1002/ijfe.2280⟩
Article dans une revue hal-03513413 v1
Image document

Time-varying beta in functional factor models: Evidence from China

Lajos Horváth , Bo Li , Hemei Li , Zhenya Liu
North American Journal of Economics and Finance, 2020, 54, pp.101283 -. ⟨10.1016/j.najef.2020.101283⟩
Article dans une revue hal-03492976 v1

A functional time series analysis of forward curves derived from commodity futures

Lajos Horváth , Zhenya Liu , Gregory Rice , Shixuan Wang
International Journal of Forecasting, 2020, 36 (2), pp.646-665. ⟨10.1016/j.ijforecast.2019.08.003⟩
Article dans une revue hal-03513421 v1
Image document

A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis

Ruanmin Cao , Lajos Horváth , Zhenya Liu , Yuqian Zhao
Review of Quantitative Finance and Accounting, 2020, 54 (1), pp.335-358. ⟨10.1007/s11156-019-00791-x⟩
Article dans une revue hal-03511284 v1
Image document

Sequential monitoring for changes from stationarity to mild non-stationarity

Lajos Horváth , Zhenya Liu , Gregory Rice , Shixuan Wang
Journal of Econometrics, 2020, 215, pp.209 - 238. ⟨10.1016/j.jeconom.2019.08.010⟩
Article dans une revue hal-03489780 v1

Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

Ruanmin Cao , Zhenya Liu , Shixuan Wang , Weifeng Zhou
Theoretical Economics Letters, In press, 07 (05), pp.1453 - 1472. ⟨10.4236/tel.2017.75098⟩
Article dans une revue hal-01794433 v1

Decoding Chinese stock market returns: Three-state hidden semi-Markov model

Zhenya Liu , Shixuan Wang
Pacific-Basin Finance Journal, 2017, 44, pp.127 - 149. ⟨10.1016/j.pacfin.2017.06.007⟩
Article dans une revue hal-01794384 v1

When will China’s GDP overtake the US

Zhenya Liu
16ème Colloque Bachelier en Mathématiques financières, Jan 2024, Metabief, France
Communication dans un congrès hal-05056285 v1

Sustainability of Factors Investing

Zhenya Liu
Conference of the British Accounting and Finance Association (BAFA 2023) Corporate Finance and Asset Pricing SIG and the Northern Area Group, BAFA, Dec 2023, Dubai, United Arab Emirates
Communication dans un congrès hal-04963262 v1

Corporate Social Responsibility, COVID-19, and Stock Price Reaction: Evidence from China

Sabri Boubaker , Zhenya Liu , L. Zhai
Financial Economics Meeting Crisis Challenges (FEM-2021), EDC Paris Business School and French Association of Financial Econometrics (FAFE), Jul 2021, Paris, France
Communication dans un congrès hal-05076922 v1

The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts

S. Boubaker , Zhenya Liu , Tianqing Sui , L. Zhai
Financial Economics Meeting Crisis Challenges (FEM-2021), EDC Paris Business School and French Association of Financial Econometrics (FAFE), Jul 2021, Paris, France
Communication dans un congrès hal-05076841 v1

Demystifying China’s Stock Market

Eric Girardin , Zhenya Liu
Springer International Publishing, pp.XXI, 125, 2019, 978-3-030-17122-3. ⟨10.1007/978-3-030-17123-0⟩
Ouvrages hal-02402770 v1