Zhenya LIU

Zhenya LIU

Caen

Professor in Finance

Presentation

Zhenya Liu is a professor in Finance and joined EM Normandie in 2023. He obtained his Ph.D. in Economics at the Renmin University of China in 1994 and did his post-doc at Purdue University. His career has taken him across China and the UK, such as Renmin University of China, the University of Birmingham Business School, and JP Morgan Futures (China). He published more than 20 books on the Chinese financial system and 60 papers in the Journal of Econometrics, Journal of Business and Economic Statistics, Econometric Theory, Journal of Empirical Finance, Econometric Reviews, Annals of Operations Research, International Journal of Forecasting, China Economic Review, etc. Professor Liu is a leading expert in financial econometrics, hedge fund strategy, and quantitative investment. His research focuses on financial econometrics, statistical factor models, stochastic optimal stopping time, random matrix theory, and machine learning.

Professional experience

Since 2023 : professor in finance, EM Normandie 
Since 1995 : professor in econometrics and finance, Renmin University of China, Beijing, China 
Since 2018 :  associate researcher, CERGAM, Aix-Marseille University 
2001-2017 : professor in economics, The University of Birmingham, UK 
2007-2020 : director of board of JP Morgan Futures, China 

 

Département
Law, finance & control
Matières enseignées
Analyse Financière International Finance
Diplômes
1993 : PhD management sciences, Renmin University of China, Beijing, China

Publications

  • Liu, Z 1993, 'The QS World University Rankings No.89 in 2021 by Subject Accounting and finance', PhD en economics, Renmin University of China, Beijing, China.  

    1993

    PhD Dissertation / Accreditation to Supervise Management Research

  • Boubaker, S, Liu, Z, Mu, Y & Zhan, Y. 2024, 'Carbon dioxide emissions and environmental risks: Long term and short term', Risk Analysis. ABS : 4. 

    2024

    Academic articles

  • Liu, Z, Li, B, Jia, X & Ma, F (forthcoming), 'Digital Finance, Financing Constraints, and Green Technological Innovation: A Spatial Analysis', Global Finance Journal. FNEGE : 4 ; ABS : 2.

    2024

    Academic articles

  • Li, H, Liu, Z & Hachard, V (forthcoming), 'Digital Transformation Driving Green Innovation:  Evidence from Chinese A-Share Firms', International Review of Economics and Finance. FNEGE : 4 ; ABS : 2.

    2024

    Academic articles

  • Dickinson, D, Han, X, Liu, Z & Zhan, Y (forthcoming), 'Fee Structure and Equity Fund Manager's Optimal Locking in Profits Strategy', International Review of Financial Analysis. FNEGE : 3 ; ABS : 3.

    2024

    Academic articles

  • Liu, Z, Mirza, N, You, R & Zhan, Y (forthcoming), 'Understanding the complexity of futures markets investing in China: evidence from deep learning techniques', Annals of Operations Research. FNEGE : 2 ; ABS : 3.

    2024

    Academic articles

  • Horvath, L, Liu, Z, Rice, G, Wang, S & Zhan, Y (forthcoming), 'Testing Stability in Functional Event Observations with an Application to IPO Performance', Journal of Business & Economic Statistics. ABS : 4.

    2023

    Academic articles

  • Liu, Z, Lu, S, Li, B & Wang, S 2023, 'Time series momentum and reversal: Intraday information from realized semivariance', Journal of Empirical Finance, vol. 72, June, pp. 54-77. FNEGE : 2 ; ABS : 3.

    2023

    Academic articles

  • Boubaker, S, Liu, Z & Mu, Y 2023, 'Big data analytics and investment', Technological Forecasting and Social Change, vol. 194. FNEGE : 2 ; ABS : 3.

    2023

    Academic articles

  • Liu, Q, Liu, Z, Moussa, F & Mu, Y (forthcoming), 'International capital flow in a period of high inflation: The case of China', Research in International Business and Finance. FNEGE : 3 ; ABS : 2.

     

    2023

    Academic articles

  • Li, H, Liu, Z & Zhao, Y (forthcoming), 'The Fortune and Crash of Common Risk Factors in Chinese Commodity Markets', Journal of Commodity Markets. FNEGE : 4 ; ABS : 3.

    2023

    Academic articles

  • Boubaker, S, Liu, Z & Zhai, L (à paraître), 'Change-points and Functional Features of Intraday Volatility in China Stock Market', Annals of Operations Research. FNEGE : 2 ; ABS : 3 ; HCERES : A.

    2022

    Academic articles

  • Liu, Z & Zhan, Y 2022, 'Investor behavior and filter rule revisiting', Journal of Behavioral and Experimental Finance, vol 33, March. 

    2022

    Academic articles

  • Chen, Z, Liu, Z, Teka, H & Z, Y 2022, 'Smart money in China's A-share market: Evidence from big data', Research in International Business and Finance, vol. 61, October. FNEGE : 4.

    2022

    Academic articles

  • Han, X, Liu, Z & Wang, S 2022, 'An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting', Journal of Commodity Markets, vol. 25, March. ABS : 3. 

    2022

    Academic articles

  • Li, H, Liu, Z & Xiao, Z 2022, 'Sequential Monitoring of Stock Market Price Changes', International Review of Economics and Finance.

    2022

    Academic articles

  • Li, H, Liu, Z & Wang, S 2022, 'Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach', International Journal of Finance and Economics, vol. 27, issue 2, pp. 2438-2457. CNRS : 3 ; HCERES : B ; ABS : 3.

    2022

    Academic articles

  • Horvath, L, Liu, Z, Rice, G & Zhao, Y 2022, 'Detecting common breaks in the means of high dimensional cross-dependent panels', The Econometrics Journal, vol. 25, issue 2, May, pp. 362-383.

    2022

    Academic articles

  • Boubaker, S, Liu, Z, Sui, T & Zhai, L 2022, ‘The mirror of history: How to statistically identify stock market bubble bursts’, Journal of Economic Behavior & Organization, vol. 204, pp. 128-147. FNEGE 2 ; ABS : 3 ; HCERES : A. 

    2022

    Academic articles

  • Horvath, L, Li, H & Liu, Z 2022, 'How to identify the different phases of stock market bubbles statistically?', Finance Research Letters, vol. 46, part A, May. FNEGE : 3 : ABS : 2.

    2022

    Academic articles

  • Boubaker, S, Liu, Z & Zhang, Y (à paraître), 'Forecasting Oil Commodity Spot Price in a Data-rich Environment', Annals of Operations Research. FNEGE : 2 ; ABS : 3 ; HCERES : A.

    2022

    Academic articles

  • Fuertes, A.M, Liu, Z & Tang, W 2022, 'Risk-neutral skewness and commodity futures pricing', Journal of Futures Markets, vol. 42, issue 4, pp. 751-785. FNEGE : 3 ; ABS : 3. 

    2022

    Academic articles

  • Liu, Z, Lu, S & Wang, S 2021, 'Asymmetry, tail risk and time series momentum', International Review of Financial Analysis, vol 78, November. FNEGE : 3 ; ABS : 3.

    2021

    Academic articles

  • Horvath, L, Liu, Z, Miller, C & Tang, W (forthcoming), 'Breaks in Term Structures: Evidence from the Oil Futures Markets', International Journal of Finance and Economics. CNRS : 3. 

    2021

    Academic articles

  • Horvath, L, Liu, Z & Lu, S 2021, 'Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market', Econometric Theory, vol. 38(2), pp. 209-272. CNRS : 1 ; ABS : 4. 

    2021

    Academic articles

  • Horvath, L, Liu, Z, Rice, G & Wang, S 2020, 'Sequential monitoring for changes from stationarity to mild non-stationarity', Journal of Econometrics, vol. 215, pp. 209-238. CNRS : 1 ; HCERES : A ; ABS : 4.

    2020

    Academic articles

  • Horvath, L, Lui, Z, Rice, G & Wang, S 2020, 'A Functional Time Series Analysis of Forward Curves Derived from Commodity', International Journal of Forecasting, vol 36, 4-6, pp.646-665. 

    2020

    Academic articles

  • Cao, R, Horvath, L, Liu, Z & Zhao, Y 2020, 'A Study of Data-driven Momentum and Disposition Effects in China Stock Market by Functional Analysis', Review of Quantitative Finance and Accounting, vol. 54, issue 1, 2020, pp. 335-358. FNEGE : 3 ; ABS ; 3.

    2020

    Academic articles

  • Horvath, L, Li, B, Li, H & Liu, Z 2020, 'Time-varying beta in functional factor models: Evidence from China', The North American Journal of Economics and Finance, vol. 54, November.

    2020

    Academic articles

  • Liu, Z, Han, X & Zhan, Y 2019, 'Fee Structure and Fund Manager's Optimal Selling Rule', Journal of Asset Management. FNEGE : 4. 

    2019

    Academic articles

  • Liu, Z & Wang, S 2017, 'Decoding Chinese Stock Market Returns:Three-state Hidden Semi-Markov Model', Pacific Basin Finance Journal, vol.44, pp.129-149.

    2017

    Academic articles

  • Girardin, E & Liu, Z 2007, 'The Financial Integration of China: New Evidence on Temporally Aggregated Data for the A-share Market', China Economic Review, vol. 18, issue 3, pp.354-371. CNRS : 2 ; HCERES : A ; ABS : 2.

    2007

    Academic articles

  • Girardin, E & Liu, Z 2005, 'Bank Credit and Seasonal Anomalies in China's Stock Markets', China Economic Review, vol.16, no.4, pp. 465-483. CNRS : 2 ; HCERES : A ; ABS : 2.

    2005

    Academic articles

  • Girardin, E & Liu, Z 2003, 'The Chinese Stock Market: A Casino With "Buffer Zones"', Journal of Chinese Economic and Business Studies (UK), vol.1, no. 1,pp. 57-70.

    2003

    Academic articles

  • Liu, Z 2023, 'Sustainability of Factors Investing', Conference of the British Accounting and Finance Association (BAFA) Corporate Finance and Asset Pricing SIG and the Northern Area, Dubai, UAE, December 13-15.
     

    2023

    Academic communications

  • Tang, W & Liu, Z 2017, 'On Risk Neutral Skewness and Commodities Pricing', Chinese Economic Association Conference, UK.

    2017

    Academic communications

  • Wang, S & Liu, Z 2017, 'Asset Return & Camel Process: Beauty and the Beast', European Financial Management Association Conference, Athens, Greece, June 28 - July 1. 

    2017

    Academic communications

  • Liu, Z 2016, 'Decoding Chinese Stock Market Returns:Three-state Hidden Semi-Markov Model', The 14th INFINITI Conference on International Finance, Dublin, Ireland, June 13-14.

    2016

    Academic communications

  • Liu, Z & Girardin, E 2006, 'The financial integration of China: New evidence', American Economic Association Conference, Boston, USA, January 6-8.

    2006

    Academic communications

  • Liu, Z & Girardin, E 2005, 'Impact of globe financial markets on China's stock markets', Emerging Markets Finance Conference, London, UK, 

    2005

    Academic communications

  • Liu, Z & Girardin, E 2004, 'Time-varing seasonality in the Chinese stock market', Econometrics of stock market international conference, Paris, France.

    2004

    Academic communications

  • Liu, Z 1992, 'Shareholding System and Limited Company', Chinese Finance and Economic Publishing House, p. 238.

    1992

    Academic communications

  • Liu, Z & Bo, L 2020, 'Trading System Optimization and Practice', Chinese Economic Publish House, pp.1-180.

    2020

    Research books

  • Li, W & Liu, Z 2016, 'Statistical Learning with Financial Data', Chinese Economic Publishing House, pp.1-218.

    2016

    Research books

  • Deng, L & Liu, Z 2014, 'Time Series Model with Hidden Markov Chain', Chinese Economic Publishing House, pp.1-169.

    2014

    Research books

  • Liu, Z 2014, 'Basic Econometrics', Chinese Economic Publishing House, p. 227.

    2014

    Research books

  • Hamadoun, H, Dickinson, D & Liu, Z 2005, 'Foreign Banks: Can Chinese Banks Compete?', Ross Garnaut and Ligang Song (eds.) the China Boom and Its Discontents , ANU Press and Asia Pacific Press.

    2005

    Research books

  • Liu, Z & Clini, E 2001, 'China's Economy at the Turn of the Millennium', Editoriale Scientifica, p. 184.

    2001

    Research books

  • Clini, E & Liu, Z 1998, 'WTO and China', Economic Science Publishing House.

    1998

    Research books

  • Liu, Z 1997, 'Econometric Methods', Renmin University Press, p.478.

    1997

    Research books

  • Liu, Z 1997, 'Macroeconomic Method', Chinese South-Western Financial and Economic University Press, p. 367.

    1997

    Research books

  • Liu, Z 1997, 'Microeconomic Method', Chinese South-Western Financial and Economic University Press, p. 345.

    1997

    Research books

  • Liu, Z 1993, 'GATT and Its Shock to Chinese Enterprises', Chinese Financial Publishing House, p. 778.

    1993

    Research books

  • Liu, Z 1993, 'The Government of the World Economy: International Monetary Fund', People’s Publishing House of China, p. 303.

    1993

    Research books

  • Liu, Z & Zhao, W 1993, 'The World Bank Group and Its Operation', People’s Publishing House of China, p. 299.

    1993

    Research books

  • Liu, Z 1993, 'Securities Investment and Investment Techniques', Chinese Finance and Economic Publishing House, p. 238.

    1993

    Research books

  • Liu, Z 1992, 'Econometric Method', Chinese South-Western Financial and Economic University Press, p. 298.

    1992

    Research books

  • Girardin, E & Liu, Z 2019, 'Demystifying China’s Stock Market: The Hidden Logic Behind the Puzzles'. In: Demystifying China’s Stock Market. Palgrave Pivot, Cham.

    2019

    Research books and book chapters

  • Han, D, Ang, S & Liu, Z 2016, 'Testing Bubbles: Exuberance and Collapse in the Shanghai A-Share Stock Market' in China’s New Sources of Economic Growth, edited by
    Ligang Song and Ross Garnaut, etc., ANU Press, Canberra, Australia.

    2016

    Research books and book chapters

  • Liu, Z 2017, 'WTO and Its Challenges to China', Economic Reference Daily, November 17.

    2017

    Articles in professional journals

  • Liu, Z 1998, 'The Clinton’s Economic Policies', Journal of World Affair.

    1998

    Articles in professional journals

  • Liu, Z 1998, 'Financial Crisis in Asia and Its Impact on US Economy', Journal of World Affair.

    1998

    Articles in professional journals

  • Liu, Z 1998, 'Lessons from US Housing Program in 60’s', Journal of World Affair.

    1998

    Articles in professional journals

  • Liu, Z 1998, 'US and Canadian Economy in 1997', Journal of World Affair.

    1998

    Articles in professional journals

  • Liu, Z 1997, 'Credit Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'Risk Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'Financial Innovations of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'No Traditional Business of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'Management Accounting of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'Marketing and Protection of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'Operation Principals and Liquidity Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals

  • Liu, Z 1997, 'Assets and Liability Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles in professional journals