Qiyu Liu

U.S. Securities and Exchange Commission

100 F Street, NE

Washington, DC 20549

United States

  • U.S. Securities and Exchange Commission

SCHOLARLY PAPERS

3

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1,073

TOTAL CITATIONS

0

Scholarly Papers (3)

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1.

The Jump Risk of Leveraged ETFs and a High-Frequency Volatility Estimator

Number of pages: 47 Posted: 16 Mar 2010 Last Revised: 16 Feb 2011
Qiyu Liu
U.S. Securities and Exchange Commission
Downloads 480 (123,568)

Abstract:

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jump risk, tracking error, ETF, leveraged ETFs, volatility estimator

2.

Detecting Informed Trading Risk from Undercutting Activity in Limit Order Markets

Number of pages: 72 Posted: 02 Feb 2024 Last Revised: 09 Dec 2024
Yashar H. Barardehi, Peter Dixon and Qiyu Liu
Chapman University - The George L. Argyros College of Business and Economics, U.S. Securities and Exchange Commission and U.S. Securities and Exchange Commission
Downloads 346 (179,762)

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Informed Trading, Undercutting, Asset Pricing, Liquidity, Limits to Arbitrage

3.

When Does the Tick Size Help or Harm Market Quality? Evidence from the Tick Size Pilot

Number of pages: 57 Posted: 23 Dec 2022 Last Revised: 15 Dec 2024
Yashar H. Barardehi, Peter Dixon, Qiyu Liu and Ariel Lohr
Chapman University - The George L. Argyros College of Business and Economics, U.S. Securities and Exchange Commission, U.S. Securities and Exchange Commission and Arizona State University (ASU) - Finance Department
Downloads 247 (255,510)

Abstract:

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Liquidity, Tick Size, Transaction Costs, Market Microstructure, Price Efficiency