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Dr Ruipeng Liu

STAFF PROFILE

Position

Senior Lecturer

Faculty

Faculty of Business and Law

Department

Deakin Business School

Campus

Melbourne Burwood Campus

Qualifications

Graduate Certificate of Higher Education, Deakin University, 2010
Doctor in Political Science, Kiel Univ (Christ.-Alb.-Uni), 2008
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, 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 profile

Research 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
  • MAF759 - Quantitative methods for finance
  • MAF721 - Finance
  • CAF68 Fianance and quantitative methods

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.
  • 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)

Publications

Filter by

2021

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

journal article
2020

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

journal article

Investors' uncertainty and forecasting stock market volatility

Ruipeng Liu, Rangan Gupta

(2020), Journal of Behavioral Finance, Philadelphia, Pa., C1

journal article
2019

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

journal article
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 article

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 article
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 article
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 article
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 article

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 article
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 article

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 article
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 article
2011

Are shocks to commodity prices persistent?

P Narayan, R Liu

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

journal article
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 article
2007

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 article

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

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