Fei Liu

Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool

Chatham Street

Brownlow Hill

Liverpool, L69 7ZA

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

607

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Forecasting and Trading High Frequency Volatility on Large Indices

Quantitative Finance, Volume 18, Issue 5, pp. 737-748, 2018, DOI: 10.1080/14697688.2017.1414489
Number of pages: 21 Posted: 30 Sep 2016 Last Revised: 23 May 2018
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and Institut für Wirtschaftsinformatik
Downloads 467 (116,399)
Citation 1

Abstract:

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Forecasting, Realized Volatility, High-Frequency Data, HAR-RV-J, RNN, Hybrid Model, Trading efficiency

2.

Pricing Inefficiencies and Feedback Trading: Evidence From Country ETFs

International Review of Financial Analysis, Volume 70, 101498, July 2020, DOI: 10.1016/j.irfa.2020.101498
Number of pages: 39 Posted: 08 Nov 2016 Last Revised: 27 May 2020
University of Liverpool - Management School (ULMS), Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Birmingham
Downloads 140 (383,603)
Citation 1

Abstract:

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Feedback Trading, Exchange Traded Fund, Premium, Discount