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

Qualifications

Doctor in Political Science, Kiel Univ (Christ.-Alb.-Uni), 2015
Graduate Certificate of Higher Education, Deakin University, 2010
Master of Business Administration, University of Liverpool, 2001

Contact

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

Biography

Dr Ruipeng Liu is a Senior Lecturer in the Department of  Finance in Deakin Business School. Ruipeng completed his PhD in Quantitative Finance from the University of Kiel in Germany. Prior to joining Deakin, he was a post-doctoral fellow in the Department of Applied Maths at the National Australian University (ANU).

Read more on Ruipeng's profile

Research interests

  • Quantitative finance
  • Long memory volatility modelling
  • Multifractal models of asset returns
  • Empirical finance
  • Financial markets
  • Risk measurement and management

Affiliations

  • Member, Society for Economic Science with Heterogeneous Interacting Agents (ESHIA/WEHIA).
  • Member, Financial Management Association (FMA).
  • Member, Society for Computational Economics (SCE).
  • Referee, Journal of Economic Dynamics and Control, Physica A: Statistical Mechanics and its Applications, Managerial Finance, Journal of Asian Economics, The European Physical Journal B and Advances in Complex System.
  • Scientific Committee Member, WEHIA 2008 Winter Conference.

Teaching interests

  • Analytical Method
  • Financial Modelling
  • Finance

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), Vol. 56, pp. 93-103, 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

Price jumps in developed stock markets: the role of monetary policy committee meetings

R Gupta, C Lau, R Liu, H Marfatia

(2018), pp. 1-15, Journal of economics and finance, New York, N.Y., C1

journal
2017

Generalized method of moment estimation of multivariate multifractal models

R Liu, T Lux

(2017), Vol. 67, pp. 136-148, 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