Research Interests

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

Citizenship

Canadian Citizen with U.S permanent residency

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 also submitted, a (joint) machine learning paper that predicts intraday market returns, which was invited by the chief editors of 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.