Assistant Professor
Department of Economics and Finance
Email:
fred.liu@uoguelph.ca
Fred Liu
Dr. Fred Liu earned his PhD in Economics from Western University in 2021. He received an MA in Economics from Western University in 2015, a BA in Economics from the University of Waterloo in 2014, and a BBA in Finance from Wilfrid Laurier University in 2012.
His research interests include: Financial Econometrics, Machine Learning, Asset Pricing, Risk Management, and Big Data.
Personal website: https://www.fredliu.ca/
Research interests:
- Financial Econometrics
- Machine Learning
- Asset Pricing
- Risk Management
- Big Data
Current projects:
Can the Premium for Idiosyncratic Tail Risk be Explained by Exposures to its Common Factor?
Potential future projects:
A Machine Learning Framework for Basel 3 Market Risk
Intraday Stock Predictability with Machine Learning
Liu, Fred, and Lars Stentoft. "Regulatory Capital and Incentives for Risk Model Choice under Basel 3." Journal of Financial Econometrics 19.1 (2021): 53-96.
Huddleston, Dillon, Fred Liu, and Lars Stentoft. "Intraday market predictability: A Machine Learning Approach." Journal of Financial Econometrics, Forthcoming.
- Research Centre for Economic Analysis (2021)
- 60th Annual Meeting, Southern Finance Association (2020)
- Canadian Economics Association (2018)
- Canadian Econometrics Study Group (2017)
- Canadian Economics Association (2017)
- FIN*3200 Fundamentals of Derivatives
- FIN*4000 Advanced Topics in Finance
- SSHRC Fellowship ($40,000) 2018-2020
- OGS ($30,000) 2016-2017
- Tutorial Teaching Assistant of the Year, Western University, 2015
- Award for Distinguished Academic Achievement, University of Waterloo, 2014
Area of Research
econometrics
finance
