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

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Scholarly Papers (2)

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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 445 (101,609)

Abstract:

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

2.

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: 30 Jan 2023
Yashar H. Barardehi, Peter Dixon, Qiyu Liu and Ariel Lohr
Chapman University - The George L. Argyros School of Business & Economics, U.S. Securities and Exchange Commission, U.S. Securities and Exchange Commission and Arizona State University (ASU) - Finance Department
Downloads 65 (519,439)

Abstract:

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Tick Size, Market Quality, Price Efficiency, Tick Size Pilot, Liquidity, Minimum Pricing Increment, Undercutting, Pennying