Xiaoquan Liu

Nottingham University Business School

Associate Professor in Finance

199 Taikang East Road

Yingzhou

Ningbo, Zhejiang 315100

China

SCHOLARLY PAPERS

4

DOWNLOADS

270

CITATIONS

0

Scholarly Papers (4)

1.

A Closed-Form Approach to Valuing Risk-Neutral Moments from Option Prices

Number of pages: 36 Posted: 12 Feb 2016 Last Revised: 12 Jul 2018
Aristogenis Lazos, Jerry Coakley and Xiaoquan Liu
University of Essex, University of Essex - Essex Business School and Nottingham University Business School
Downloads 106 (253,110)

Abstract:

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Model-free Moment; Option Valuation; Jump Diffusion Model; Stochastic Volatility model.

2.

Investor Heterogeneity, Sentiment, and Skewness Preference in Options Market

Number of pages: 31 Posted: 12 Feb 2016
Aristogenis Lazos, Jerry Coakley and Xiaoquan Liu
University of Essex, University of Essex - Essex Business School and Nottingham University Business School
Downloads 84 (294,397)

Abstract:

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Risk-neutral Valuation, Market Selection Hypothesis, Price-optimist models

3.

Computer-Based Trading, Institutional Investors and Treasury Bond Returns

Number of pages: 64 Posted: 27 Aug 2018 Last Revised: 29 Aug 2018
Nottingham University Business School, Bank of Canada, Newcastle University Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 49 (389,218)

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Computer-based Trading, Asset Pricing, Institutional Investors, Asset Allocation

4.

Volatility Modeling and Prediction: The Role of Price Impact

Number of pages: 45 Posted: 27 Jul 2018
Ying Jiang, Yi Cao, Xiaoquan Liu and Jia Zhai
The University of Nottingham Ningbo, China, University of Edinburgh - Business School, Nottingham University Business School and University of Salford - Salford Business School
Downloads 31 (459,746)

Abstract:

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Market Microstructure; Chinese Stock Market; Panel Vector Autoregression