Research Interests

Financial Econometrics, Machine Learning, Asset Pricing, Risk Management, Big Data

Citizenship

Canadian Citizen with U.S permanent residency

Publications

  1. Regulatory Capital and Incentives for Risk Model Choice under Basel 3 (Joint), Journal of Financial Econometrics, forthcoming. Presented at the European Central Bank.

  2. Intraday Market Predictability: A Machine Learning Approach (Joint), Journal of Financial Econometrics, conditionally accepted. Invited by the Chief Editors.

I am a sixth-year PhD candidate in Economics at Western University. My primary fields of interest reside within the intersection of financial econometrics, machine learning, asset pricing, and risk management. I have one (joint) publication on Basel 3 market risk and its regulatory capital implications, for which I have been invited to present by the European Central Bank. I have a conditionally accepted (joint) machine learning paper that predicts intraday market returns, which was invited by the chief editors of the Journal of Financial Econometrics. In my job market paper, I Introduce a new measure of idiosyncratic tail risk using a high-frequency factor model, and theoretically demonstrate its time-aggregation properties and robustness to microstructure noise. I then resolve the idiosyncratic tail risk premium puzzle using my new measure and reveal its common factor.

Click here for a link to my research. I will be on the 2020-2021 job market.

If you have any questions or comments, please contact me at fliu227@uwo.ca or 1-519-590-2232.