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, 2021. Presented at the European Central Bank.

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

My primary fields of interest reside within the intersection of financial econometrics, machine learning, asset pricing, and risk management.

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