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, Germany. Prior to joining Deakin, he was appointed as post-doctoral fellow in the Department of Applied Maths at the Australian National University (ANU).
Ruipeng is an expert in financial markets modelling, risk measurements and managements, and volatility forecasting. His research interests cover a broad area of asset pricing, financial markets anomalies, and behavioural aspects of finance. He is also interested in applying tools from stochastic physics such as multifractal processes, to study stylized facts of financial markets such as volatility clustering and long memory. He has served as committee member of international workshops and conferences, and reviewer of a number of journals in finance, economics. He has also served as guest editor of Journal of Risk and Financial Management. His international research profile is attested by peer reviewed journal publications and competitive research grants including National Natural Science Foundation of China (NSFC) grants of total RMB 940,000.
Read more on Ruipeng's profileResearch interests
- Asset pricing, Behavioral finance, Financial markets
- Climate finance, Green finance
- Long memory volatility modelling, volatiity forecasting
- Multi-fractal and multi-scaling, multifractal models of asset returns
- 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).
- Conference scientific committee member of the winter WEHIA conference 2008.
- International Accounting & Finance Doctoral Symposium (IAFDS) committee member, Since 2012.
- Conference scientific committee member for the Duke Forest Conference 2016 (DFC 2016).
- Conference committee member for Belt & Road Forum 3rd International Energy Finance Conference, 2018.
- Conference scientific committee member for 7th Applied Financial Modelling Conference, 2018.
- Conference committee member for Belt & Road Forum 4th International Energy Finance Conference 2019.
- Conference scientific committee member for 8th Applied Financial Modelling Conference, 2019.
- Conference scientific committee member for 9th Applied Financial Modelling Conference, 2020.
- Ad hoc referee: Annals of Finance, Annals of Operations Research, Economic Modelling, Energy Economics, European Physical Journal B, Financial Review, Fractals, International Journal of Forecasting, International Review of Financial Analysis, International Review of Finance, International Review of Economics and Finance, Journal of Asian Economics, Journal of Banking and Finance, Journal of Behavioral Finance, Journal of Economic Dynamics & Control, Journal of Financial Research, Journal of International Financial Markets, Institutions and Money, Journal of International Trade & Economic Development, Managerial Finance, North American Journal of Economics and Finance, Physica A: Statistical Mechanics and its Applications, PLOS ONE, Quarterly Review of Economics and Finance, Scientific Reports (NPG journal), Studies in Economics and Finance, etc
Teaching interests
- Analytical Methods
- Financial Modelling
- Finance
Units taught
- MAF384 - Financial modelling
- MAF717 - Analytical methods
- MAF759 - Quantitative methods for finance
- MAF721 - Finance
- CAF68 - Financial management and quantitative methods
Professional activities
Awards
- Ph.D. scholarship (DAAD international PhD programme 2002 - 2006) Germany.
- "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.
- National Natural Science Foundation of China (NSFC) grant of RMB460,000 (Project title: Higher dimensional volatility modelling, high frequency data, and forecasting; Grant No. 71671084) for 2017-2020 joint with Hui Qu, Tianyang Wang, Yi Shen, (Nanjing University).
- National Natural Science Foundation of China (NSFC) grant of RMB480,000 (Project title: Investor behaviour, investor sentiment and volatility forecasts; Grant No. 72171110) for 2022-2025, joint with Hui Qu, Tianyang Wang, Yi Shen, Hongqiao Chen, Yue Xiao, (Nanjing University)
- Deakin Science and Society Network Incubator grants scheme for 2024, (CI Lead) $12,330.39, with Qiang Li, and Wei Luo.
Publications
Investors' uncertainty and forecasting stock market volatility
Ruipeng Liu, Rangan Gupta
(2022), Vol. 23, pp. 327-337, Journal of Behavioral Finance, Philadelphia, Pa., C1
Same same but different - Stylized facts of CTA sub strategies
P Erdős, Y Li, R Liu, A Mende
(2021), Vol. 74, International Review of Financial Analysis, C1
Volatility forecasting with bivariate multifractal models
R Liu, R Demirer, R Gupta, M Wohar
(2020), Vol. 39, pp. 155-167, Journal of forecasting, Chichester, Eng., C1
Price jumps in developed stock markets: the role of monetary policy committee meetings
R Gupta, C Lau, R Liu, H Marfatia
(2019), Vol. 43, pp. 298-312, Journal of economics and finance, New York, N.Y., C1
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
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
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
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
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
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
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
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
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
Are shocks to commodity prices persistent?
P Narayan, R Liu
(2011), Vol. 88, pp. 409-416, Applied energy, Oxford, England, C1
R Liu, T Di Matteo, T Lux
(2008), Vol. 11, pp. 669-684, Advances in complex systems, Singapore, C1
R Liu, T Di Matteo, T Lux
(2007), Vol. 383, pp. 35-42, Physica A, Amsterdam, Netherlands, C1-1
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
Funded Projects at Deakin
No Funded Projects at Deakin found
Supervisions
Minh Nhat Nguyen
Thesis entitled: Three Essays on Climate Finance
Doctor of Philosophy, Department of Finance
Suresh Ramakrishnan
Thesis entitled: Sector Analysis on Capital Structure Determinants Among Malaysia Listed Firms
Doctor of Philosophy, School of Accounting, Economics & Finance