姓 名：刘强
职 称：助理教授
研究方向：高频高维金融计量，统计机器学习及其在金融经济中的应用
教授课程：
E - mail：liuqiang@mail.shufe.edu.cn
电话：65906889
研究项目
序号 | 项目名称 | 起止时间 |
1 | 关于高频数据瞬时波动率的统计推断问题 | 2021.07.01 -2024.07.01 |
2 | 统计机器学习在金融高频数据中的应用 | 2022.10.1 -2025.9.30 |
3 | 高频数据瞬时波动率矩阵的统计推断及其应用研究 | 2026.1.1 -2029.1.1 |
研究领域
金融计量，统计机器学习
2015.8—2018.6 澳门大学，数学系，博士
2013.8—2015.6 澳门大学，数学系，硕士
2009.9—2013.7 兰州大学，数学与统计学院，学士
2021.7—至今 上海财经大学，统计与管理学院，助理教授
2018.7—2021.6 新加坡国立大学，数学系，博士后研究员
Publication:
1.Hong, S., Li, W.*, Liu, Q. and Zhang, Y. (in alphabetical order) “An adaptive adjustment to the R2 statistic in high-dimensional elliptical models”, Journal of the American Statistical Association，2024+.
2.Liu, Q., and Liu, Z.* “Estimating spot volatility under infinite variation jumps with dependent market structure noise”, Econometrics Journal, 27:278-298, 2024.
3.He, L.*, Liu, Q., Liu, Z. and Bucci, A. “Correcting spot power variation estimator via Edgeworth expansion”, Metrika, 87:921-945, 2023.
4.Liu, Q., and Liu, Z.* “Statistical inference of spot correlation and spot market beta under infinite variation jumps”, Journal of Financial Econometrics, 20:612-654, 2022.
5.Chen, X., Liu, Q., and Tong X. (in alphabetical order)“Dimension independent excess risk by stochastic gradient descent”, Electronic Journal of Statistics, 16:4547-4603, 2022.
6.Liu, Q., Liu, Z.* and Zhang C. “Heteroscedasticity test of high-frequency data with jumps and microstructure noise”, Applied Stochastic Models in Business and Industry, 38:441-457, 2022.
7.Zhang C.*, Liu, Z., and Liu, Q. “Jumps at ultra-high frequency: Evidence from the Chinese stock market”, Pacific-Basin Finance Journal, 68:101420, 2021.
8.Liu, Q.*, and Tong, X. “Accelerating Metropolis-within-Gibbs sampler with localized computations of differential equations”, Statistics and Computing, 30:1037-1056, 2020.
9.He, L., Liu, Q.*, and Liu, Z. “Edgeworth corrections for spot volatility estimator”, Statistics and Probability Letters, 164: 108809, 2020.
10.Liu, Q., Liu, Y., and Liu, Z.* “Estimating spot volatility in the presence of infinite variation jumps”, Stochastic Processes and their Applications, 128:1958-1987, 2018.
11.Liu, Q., Liu, Y.*, Liu, Z., and Wang, L. “Estimation of spot volatility with superposed noisy data”, The North American Journal of Economics and Finance, 44:61-79, 2018.
12.Liu, Y., Liu, Q.*, Liu, Z., and Ding, D. “Determining the integrated volatility via limit order books with multiple records”, Quantitative Finance, 17(11):1697-1714, 2017.
