Personal data
Name: Xiang-li Liu
Title: Professor
Tel：010-62288607
Fax：010-62288607
E-mail：lxlbxl@163.com
Add： 39 South College Road, Haidian District, Beijing, China
Central University of Finance and Economics,
Department of Financial Engineering, School of Finance
Post code：100081
Education
Sep.2005-Jul.2008 School of Management, Graduate University of Chinese Academy of Sciences, Beijing, China
Doctor of Management
Speciality: Management Science and Engineering
Sep.1996-Apr.1999 School of Science, Northern Jiaotong University, Beijing, China
Master of Science
Speciality: Applied Mathematics
Sep.1992-Jul.1996 Department of Mathematics, Shanxi University, Taiyuan, China
Bachelor of Science
Speciality: Mathematics
Work Experience
Apr.1999-May.2009 Beijing Information Technology Institute, Beijing, China
Teacher in Department of Statistics, School of Science
Jun.2009--- Central University of Finance and Economics, Beijing, China
Teacher in Department of Financial Engineering, School of Finance
Research Field
Econometrics; Financial Engineering; Financial Market Microstructure; Financial Risk Management.
Courses
Operations Research; Financial Engineering; Derivate Financial Instruments; Financial Risk Management; Financial Model and Financial Calculating; Futures and Options.
Scientific Research Papers
Study on the intraday pattern and the dynamic correlation among return, volume and open interest — Evidence from Chinese commodity futures markets. Journal of Systems Science and Complexity, 2015, 28/1: 156-174. (SCI)
VaR estimation of China’s futures market, taking SHFE copper futures for example. International Review of Applied Financial Issues and Economics. 2011, 3/1:3-19.
An empirical study on information spillovers between Chinese copper futures market and spot market. Physica A: Statistical Mechanics and its Applications. 2008, 387/4: 899-914. (SCI)
Novel soliton-like and multi-solitary wave solutions of (3+1)-dimensional Burgers equation. Applied Mathematics and Computation. 2008, 204/1: 461-467. (SCI)
High-Frequency data stock index futures-spot market volatility jumps and jumps overflow test---based on EEMD and wavelet denoisung. Journal of Systems Science and Mathematical Sciences，2017，37/6：1509-1523. (in Chinese)
The management of exchange rate risk for airline company. China Forex，2017，9：60-62. (in Chinese)
Information overflow and correlation between the stock index spot and futures—— on the basis ADCC-TGARCH and CCF test. Journal of Systems Science and Mathematical Sciences，2016，4：487-501. (in Chinese)
Symmetric linkage and information spillover between stock index and stock index futures. Forecasting，2015，6：39-44. (in Chinese)
The risk measurement of Hushen 300 index futures market based on liquidity adjusted returns. Systems Engineering Theory & Practice，2015, 7：1760-1769.（EI, in Chinese）
The research on high frequency data forecasting of stock index futures market based on wavelet analysis. Systems Engineering Theory & Practice，2015, 6：1425-1432. (EI, in Chinese)
Research on risk spillovers from the real estate department to financial system based on AR-GARCH-CoVaR. Systems Engineering Theory & Practice, 2014, 8：106-111. (EI, in Chinese）
The intraday trend and impact factor analysis on liquidity of Chinese futures market. Systems Engineering Theory & Practice, 2013, 6：1395-1401. (EI, in Chinese）
Research on the dynamic hedging strategy of Chinese copper futures based on the perspective of basis. Journal of Management Sciences in China. 2012, 6: 53-62. (in Chinese)
Analysis on volatility of Chinese futures market based on ACD model. Systems Engineering Theory & Practice, 2012,2:268-273.(EI, in Chinese）
Price Discovery Function of the Stock Index futures on the Basis of VECM. Management Review. 2012,2:48-54. (in Chinese)
Comovement of Hushen 300 Index Futures and Stock Index in China. Journal of Dongbei University of Finance and Economics. 2012, 1:63-68. (in Chinese)
Intraday Price Discovery Function of Hushen 300 Index Futures in China. Friends of Accounting. 2011, 31:102-106. (in Chinese)
Long memory of China futures markets volatility for high-frequency time series. (to appear in Systems Engineering Theory & Practice, in Chinese）(EI)
The analysis on volatility cluster of China's futures market based on ACD model. Journal of Management Sciences in China. 2010, 5: 72-81. (in Chinese)
Empirical analysis of the USD/JPY exchange rate determination based on the EXMODEL. Systems Engineering Theory & Practice. 2009, 9: 16-22. (EI, in Chinese)
The high frequency statistical analysis of Chinese futures markets. Journal of Beijing Institute of Machinery. 2009, 3: 79-83. (in Chinese)
Analysis on the information spillover effect between futures market and spot market. Journal of Management Sciences in China. 2008, 3: 125-139. (in Chinese)
The risk estimation of China’s futures market by using parametric approach, semiparametric approach and nonparametric approach. Management Review. 2008, 7: 3-8. (in Chinese)
The intraday effect of China's futures market. Systems Engineering Theory & Practice. 2008, 8: 63-80. (EI, in Chinese)
An empirical analysis on differences of two methods for measuring GDP. Economic Research Journal. 2007, 7: 51-63. (in Chinese)
The research on singular stochastic control problem with stopping. Mathematics in Practice and Theory. 2007, 16: 96-102. (in Chinese)
The optimal strategy of a class of stochastic optimization problem. Statistics and Decision. 2007, 5: 33-34. (in Chinese)
Extension of optimal control of proportional reinsurance model with dividend process. Journal of Shanxi University. 2006, 3: 249-252. (in Chinese)
The inexistence of a class of stochastic optimal control problem. Journal of Taiyuan University of Technology. 2006, 6: 706-709. (in Chinese)
The research on a class of optimal control strategy problem with stopping. Mathematics in Practice and Theory. 2006, 6: 193-199. (in Chinese)
Books
Information Spillover Effect and Autoregressive Conditional Duration Models. Taylor & Francis, 2014.
The Research on the Market Structure and Functions of Shanghai and Shenzhen 300 Stock Index Futures. Economic Science Press，2017. (in Chinese)
Complex Variables and Integral Transforms (Second Edition). Beijing, China Machine Press, 2016. (in Chinese)
Research on China Bulk Mineral Sources and Copings Strategies. Beijing, Social Sciences Academic Press，2014. (in Chinese)
A Study on China's Futures Market Microstructure. Beijing, Science Press, 2010. (in Chinese)
Theory and Methods of Matrixes(Second Edition). Beijing, Publishing House of Electronics Industry, 2013. (in Chinese)
Guidance on Theory and Methods of Matrixes. Beijing, Publishing House of Electronics Industry, 2013. (in Chinese)
Complex Variables and Integral Transforms. Beijing, China Machine Press, 2009. (in Chinese)
