Fei Liu

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

Chatham Street

Brownlow Hill

Liverpool, L69 7ZA

United Kingdom

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

SCHOLARLY PAPERS

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Scholarly Papers (2)

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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
Fei Liu, Athanasios A. Pantelous and Hans-Jorg von Mettenheim
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 445 (105,024)
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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
Vasileios Kallinterakis, Fei Liu, Athanasios A. Pantelous and Jia Shao
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 Brunel University London
Downloads 123 (361,951)
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Feedback Trading, Exchange Traded Fund, Premium, Discount