Fred Liu
Assistant Professor
Gordon S. Lang School of Business and Economics, Department of Economics & Finance
Research Areas
- Finance
- Econometrics
About
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
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
Publications
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.
Presentations
- 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)
Current Courses
- FIN*3200 Fundamentals of Derivatives
- FIN*4000 Advanced Topics in Finance
Funding
- SSHRC Fellowship ($40,000) 2018-2020
- OGS ($30,000) 2016-2017
Awards and Honours
- Tutorial Teaching Assistant of the Year, Western University, 2015
- Award for Distinguished Academic Achievement, University of Waterloo, 2014