Shixuan Wang

University of Reading - Department of Economics

Associate Professor

Reading, RG6 6EL

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 42,781

in Total Papers Downloads

1,434

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (12)

1.

Time series momentum and reversal: Intraday information from realized semivariance

Number of pages: 46 Posted: 22 May 2020 Last Revised: 24 Feb 2021
Zhenya Liu, Shanglin Lu, Bo Li and Shixuan Wang
Renmin University of China, Renmin University of China - School of Finance, Beijing International Studies University and University of Reading - Department of Economics
Downloads 279 (143,441)
Citation 3

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Asset Pricing, Time Series Momentum, Momentum Reversal, Realized Semivariance, High-frequency Data

2.

Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios

Number of pages: 37 Posted: 23 Mar 2017 Last Revised: 03 Jun 2017
Zhenya Liu, Weifeng Zhou, Shixuan Wang and Ruanmin Cao
Renmin University of China, University of Birmingham, University of Reading - Department of Economics and University of Birmingham - Department of Economics
Downloads 242 (164,689)

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Kelly, low correlation, portfolio.

3.

Decoding Chinese Stock Market Returns: Three-State Hidden Semi-Markov Model

Number of pages: 38 Posted: 26 Aug 2016 Last Revised: 16 Jun 2017
Zhenya Liu and Shixuan Wang
Renmin University of China and University of Reading - Department of Economics
Downloads 212 (186,723)
Citation 1

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Chinese Stock Market, Asset Return, Hidden Semi-Markov Model

4.

Asymmetry, Tail Risk and Time Series Momentum

Number of pages: 37 Posted: 07 May 2020 Last Revised: 14 Sep 2021
Zhenya Liu, Shanglin Lu and Shixuan Wang
Renmin University of China, Renmin University of China - School of Finance and University of Reading - Department of Economics
Downloads 191 (205,507)
Citation 1

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Commodity futures, Time series momentum, Momentum reversal, Partial moments

5.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 149 (253,788)

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Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

6.

Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process

Number of pages: 37 Posted: 17 Jun 2019
Shiqing Ling, Zhenya Liu and Shixuan Wang
Hong Kong University of Science & Technology (HKUST), Renmin University of China and University of Reading - Department of Economics
Downloads 129 (283,850)

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Double-well Potential; Fokker-Planck Equation; Intraday Price Dynamics; In-fill Asymptotics; Overreaction

7.

Measuring Economic Uncertainty in China

Emerging Markets Finance and Trade, forthcoming
Number of pages: 61 Posted: 29 Aug 2019 Last Revised: 06 Jan 2021
Wei-Fong Pan, Xinjie Wang and Shixuan Wang
Department of Economics, University of Reading, Southern University of Science and Technology and University of Reading - Department of Economics
Downloads 111 (316,318)

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economic uncertainty, China, newspaper, Granger causality, nonlinear causality

8.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 68 (426,250)
Citation 1

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change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series

9.

A R-Vine Copula Analysis of Non-ferrous Metal Futures with Application in Forecasting Value-at-Risk

Number of pages: 58 Posted: 29 Jun 2020
Xuyuan Han, Zhenya Liu and Shixuan Wang
Renmin University of China, Renmin University of China and University of Reading - Department of Economics
Downloads 32 (580,641)

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R-vine copula; dependence structure; financial crisis; Value-at-Risk

10.

The Evolvement of Momentum Effects in China: Evidence from Functional Data Analysis

Number of pages: 35 Posted: 17 Jan 2022
zhenya liu, Bo Li and Shixuan Wang
Renmin University of China, Beijing International Studies University and University of Reading - Department of Economics
Downloads 18 (673,636)

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Momentum; Chinese stock market; Functional Data Analysis;Circular Block Bootstrap

11.

Structural Breaks in Panel Data: Large Number of Panels and Short Length Time Series

Number of pages: 32 Posted: 16 Mar 2017
Charles University in Prague - Faculty of Mathematics and Physics, CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), University of Utah - Department of Mathematics, Charles University in Prague and University of Reading - Department of Economics
Downloads 3 (791,869)
Citation 1
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Change point problem, stationarity, panel data, bootstrap, four factor CAPM model, US mutual funds

12.

Detecting At‐Most‐M Changes in Linear Regression Models

Journal of Time Series Analysis, Vol. 38, Issue 4, pp. 552-590, 2017
Number of pages: 39 Posted: 03 Jun 2017
Lajos Horváth, William Pouliot and Shixuan Wang
University of Utah, University of Birmingham and University of Reading - Department of Economics
Downloads 0 (830,851)
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Change point, Bernoulli shifts, weak approximation, weighted CUSUM, residuals