Fred Liu

University of Guelph

50 Stone Road East

Guelph, Ontario N1G 2W1

Canada

University of Western Ontario, Department of Economics

London, Ontario

Canada

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 16,254

SSRN RANKINGS

Top 16,254

in Total Papers Downloads

5,717

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Ideas:
“  http://www.fredliu.ca  ”

Scholarly Papers (8)

1.

Intraday Market Predictability: A Machine Learning Approach

Number of pages: 56 Posted: 13 Jan 2021 Last Revised: 10 Mar 2021
University of Western Ontario - Department of Economics, University of Guelph and Department of Economics, University of Western Ontario
Downloads 1,711 (19,294)
Citation 5

Abstract:

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Machine Learning, Return Prediction, High-Frequency, Equity Market, Big Data, Lasso, Elastic Net, Random Forest, Gradient Boosting, Deep Neural Networks, Fintech

2.

Intraday Stock Predictability Everywhere

Number of pages: 61 Posted: 05 Jul 2023
Fred Liu and Lars Stentoft
University of Guelph and Department of Economics, University of Western Ontario
Downloads 1,645 (20,514)

Abstract:

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Machine Learning, Intraday Return Prediction, High-Frequency, Equity Market, Big Data, Lasso, Elastic Net, Random Forest, Gradient Boosting, Neural Networks, Deep Learning, Fintech

3.

Multi-Factor Timing with Deep Learning

Number of pages: 73 Posted: 12 Feb 2024 Last Revised: 26 Mar 2024
Paul Cotturo, Fred Liu and Robert Proner
Deloitte LLP - Deloitte Canada, University of Guelph and University of Western Ontario
Downloads 896 (49,875)

Abstract:

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Factor Timing, Deep Learning, Economic Structure, Machine Learning, Multi-task Neural Networks, Big Data

4.

Can AI Read the Minds of Corporate Executives?

Number of pages: 54 Posted: 07 Jul 2023 Last Revised: 09 Apr 2024
ServiceNow Research, Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, McGill University - Desautels Faculty of Management, ServiceNow Research, University of Guelph and McGill University - Desautels Faculty of Management
Downloads 633 (78,678)

Abstract:

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5.

Quantile Machine Learning and the Cross-Section of Stock Returns

Number of pages: 71 Posted: 28 Jun 2023 Last Revised: 03 Jul 2023
Fred Liu
University of Guelph
Downloads 386 (142,328)

Abstract:

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Machine Learning, Quantile Regression, Risk Premiums, Skewness, Deep Neural Networks, Multi-task Neural Networks

6.

Regulatory Capital and Incentives for Risk Model Choice under Basel 3

Number of pages: 55 Posted: 12 Aug 2020
Fred Liu and Lars Stentoft
University of Guelph and Department of Economics, University of Western Ontario
Downloads 183 (300,949)
Citation 2

Abstract:

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Basel 3, Expected Shortfall Backtesting, Regulatory Capital Requirements

7.

Can the Premium for Idiosyncratic Tail Risk be Explained by Exposures to its Common Factor?

Number of pages: 90 Posted: 08 Jan 2021 Last Revised: 27 May 2021
Fred Liu
University of Guelph
Downloads 175 (314,755)

Abstract:

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Idiosyncratic tail risk, Volume tail risk, Common idiosyncratic tail risk factor, Power law, High-Frequency factor model, Tail risk premia, Intermediary asset pricing

8.

Online Appendix for: Regulatory Capital and Incentives for Risk Model Choice under Basel 3

Number of pages: 19 Posted: 14 Aug 2020
Fred Liu and Lars Stentoft
University of Guelph and Department of Economics, University of Western Ontario
Downloads 88 (525,904)

Abstract:

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Basel 3, Expected Shortfall Back-testing, Regulatory Capital Requirements