Dr Rui Peng Liu
Present position:
Lecturer in finance
Phone: +61 3 92446359
Email: ruipeng.liu@deakin.edu.au
Campus: Melbourne campus at Burwood
Academic Qualifications: BSc NUE, MBA Liverpool, PhD Kiel
Commenced at Deakin: 2007
Affiliations –Professional/ Academic
- Scientific committee member of WEHIA 2008 conference
Research interests:
- Quantitative finance.
- Long memory volatility modelling.
- Financial econometrics, empirical finance, risk measurement and management.
- Complex system, Econophysics.
Publication Highlights
- Ruipeng. Liu, T. Di Matteo, and Thomas. Lux, True and Apparent Scaling: The Proximity of the Markov-switching Multifractal Model to Long-range Dependence. Physica A, 383, 35-42, 2007.
Forthcoming
- Ruipeng. Liu, Tomaso Aste, and T. Di Matteo, Multi-scaling modelling in financial markets, SPIE proceeding, 2008, DOI: 10.1117/12.759585 (Best poster award).
Current research projects
- Long Memory in Financial Time Series: Estimation of the Bivariate Multifractal Model and its Application for Value-at-Risk, (with T. Lux, University of Kiel & Kiel Institute for the World Economy).
- Higher Dimensional Multifractal processes: Filtering via Simulation, (with T. Lux, University of Kiel & Kiel Institute for the World Economy).
- A look at the generalized Hurst exponent, (with T. Lux, University of Kiel & Kiel Institute for the World Economy, and T. Di Matteo, Australian National University).
Research Awards
- "Best Paper Award" by Global Finance Association in the 12th Annual Global Finance Conference, June 2005.
- "Best Poster Award" by Australian Research Council and Australian National University. SPIE Complex System Conference, Dec. 2007
Teaching Interests/units taught at Deakin
- MAF 384 Financial Modelling
- MAF 759 Quantitative Methods for Finance
- MAF 707 Portfolio Investments and Financial Planning
