Dr Ruipeng Liu

STAFF PROFILE

Position

Senior Lecturer

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Contact

ruipeng.liu@deakin.edu.au
+61 3 924 46359

Biography

Qualifications

Title: PhD
Institution: University of Kiel (Christian-Albrechts-Uni), Germany
Year Attained: 2008
Read more on Ruipeng's profile

Research interests

Quantitative finance, Long memory volatility modelling

Multifractal models of asset returns (MMAR)

Empirical finance, financial markets

Risk measurement and management

Units taught

MAF384 Financial modelling

MAF759 Quantitative methods for finance

MAF721 Finance

Awards

  • "Best Paper Award" by Global Finance Association in the 12th Annual Global Finance Conference, June 2005.
  • "Chinese Government Award for Outstanding Student Abroad"($5000), by China Scholarship Council & Ministry of Education China, April 2006.
  • "Best Poster Award" by Australian Research Council and Australian National University. SPIE Complex System Conference, Dec. 2007
  • "Research Excellence Award" by School of Accounting, Economics & Finance, Dec. 2012.

Publications

Filter by

2016

A GARCH model for testing market efficiency

Prof Paresh Narayan, Dr Ruipeng Liu, Prof Joakim Westerlund

(2016), Vol. 41, pp. 121-138, Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1

journal
2015

A unit root model for trending time-series energy variables

Prof Paresh Narayan, Dr Ruipeng Liu

(2015), Vol. 50, pp. 391-402, Energy economics, Amsterdam, The Netherlands, C1

journal

Non-homogeneous volatility correlations in the bivariate multifractal model

Dr Ruipeng Liu, Thomas Lux

(2015), Vol. 21, pp. 971-991, European journal of finance, London, Eng., C1

journal
2013

Determinants of stock price bubbles

Prof Paresh Narayan, Dr Sagarika Mishra, Dr Susan Sharma, Dr Ruipeng Liu

(2013), Vol. 35, pp. 661-667, Economic modelling, Amsterdam, The Netherlands, C1

journal

Intraday dynamic hedging and futures market volatility

Prof Gerard Gannon, Dr Ruipeng Liu

(2013), Vol. 21, pp. 9-32, Review of futures markets, Washington D. C., C1

journal
2012

Understanding the source of multifractality in financial markets

Jozef Barunik, Tomaso Aste, T. Di Matteo, Dr Ruipeng Liu

(2012), Vol. 391, pp. 4234-4251, Physica A: Statistical Mechanics and its Applications, Amsterdam, Netherlands, C1

journal
2011

Are shocks to commodity prices persistent?

Prof Paresh Narayan, Dr Ruipeng Liu

(2011), Vol. 88, pp. 409-416, Applied energy, Oxford, England, C1

journal
2008

Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components

Dr Ruipeng Liu, T. Di Matteo, Thomas Lux

(2008), Vol. 11, pp. 669-684, Advances in complex systems, Singapore, C1

journal
2007

Multi-scaling modelling in financial markets

Dr Ruipeng Liu, Tomaso Aste, T. Di Matteo

(2007), pp. -, Proceedings of SPIE--the International Society for Optical Engineering : Complex systems II, Bellingham, Wash., E1-1

conference

True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence

Dr Ruipeng Liu, T. Di Matteo, Thomas Lux

(2007), Vol. 383, pp. 35-42, Physica A, Amsterdam, Netherlands, C1-1

journal