zhenya liu

Identifiants chercheurs

IdHAL :

zhenya-liu

ORCID :

0000-0003-2237-3257

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.

Publications

Article dans une revue (28)

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-05290588v1
Digital finance, institutional quality, and air pollution: Evidence from China Bo Li,Xuemei Jia,Zhenya Liu,Fengping Ma Research in International Business and Finance, 2025, 78, pp.102997. ⟨10.1016/j.ribaf.2025.102997⟩ Article dans une revue hal-05568880v1
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-04889065v1
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-04894960v1
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-04432406v1
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-04876523v1
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-04894961v1
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-04435473v1
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-03511438v1
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-04452665v1
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-04452669v1
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-04454682v1
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-04077724v1
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-03323675v1
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-03511405v1
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-03511436v1
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-03511434v1
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-03513394v1
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-03323669v1
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-03511435v1
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-03511409v1
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-03492976v1
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-03513421v1
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-03513413v1
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-03511284v1
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-03489780v1
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-01794433v1
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-01794384v1

Communication dans un congrès (4)

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-05056285v1
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-04963262v1
The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts 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-05076841v1
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-05076922v1

Ouvrages (1)

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-02402770v1