Profile image of Ruipeng Liu

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

Research interests

  • Quantitative finance
  • Long memory volatility modelling
  • Multifractal models of asset returns
  • 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

2018

A new GARCH model with higher moments for stock return predictability

P Narayan, R Liu

(2018), Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1

journal

Long memory in financial markets: a heterogeneous agent model perspective

M Zheng, R Liu, Y Li

(2018), Vol. 58, pp. 38-51, International review of financial analysis, Amsterdam, The Netherlands, C1

journal
2017

Generalized method of moment estimation of multivariate multifractal models

R Liu, T Lux

(2017), pp. 1-13, Economic Modelling, Amsterdam, The Netherlands, C1

journal
2016

A GARCH model for testing market efficiency

P Narayan, R Liu, J Westerlund

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

journal
2015

Non-homogeneous volatility correlations in the bivariate multifractal model

R Liu, T Lux

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

journal

A unit root model for trending time-series energy variables

P Narayan, R Liu

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

journal
2013

Determinants of stock price bubbles

P Narayan, S Mishra, S Sharma, R Liu

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

journal

Intraday dynamic hedging and futures market volatility

G Gannon, R 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

J Barunik, T Aste, T Di Matteo, R 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?

P Narayan, R 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

R Liu, T Di Matteo, T Lux

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

journal
2007

Multi-scaling modelling in financial markets

R Liu, T Aste, T Di Matteo

(2007), Proceedings of SPIE--the International Society for Optical Engineering : Complex systems II, Canberra, A.C.T., E1-1

conference

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

R Liu, T Di Matteo, T Lux

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

journal

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

Associate Supervisor
2012

Suresh Ramakrishnan

Thesis entitled: Sector Analysis on Capital Structure Determinants Among Malaysia Listed Firms

Doctor of Philosophy, School of Accounting, Economics & Finance