Academic Qualifications |
Working experience |
- Hong Kong University of Science & Technology
Ph.D. in Statistics, 2011.
Thesis advisor: Prof. JING Bing-Yi
- Lanzhou University, China
M.Sc. in Statistics, 2006.
B.S. in Computational Mathematics, 2003.
|8/2012-Present||Assistant Professor in Mathematics, University of Macau|
||Assistant Professor in Economics, Xiamen University
||Research Associate, Hong Kong University of Science & Technology
Courses taught in recent 5 years
Probability and Statistics, Spring, 2016, 2017.
Time Series Analysis, Spring, 2015, 2016, 2017.
Statistical Methods in Engineering (PhD course), Fall, 2014.
Stochastic Processes (PG course), Fall, 2014.
Applied Statistics, Spring, 2014.
Probability Theory, Fall, 2013.
Engineering Mathematics, Spring, 2013.
Mathematical Modeling, Fall, 2013, 2014, 2015, 2016.
Calculus III, Fall, 2012.
Ph.D students supervised
- WAN Yi (2015–): Jackknife empirical likelihood-based tests
- LIU Qiang (2015–): Inference of stochastic processes with infinite variation jumps
WANG Li (2014–): Realized Laplace Transform of volatility with microstructure noise
Master students supervised
- U Cheok Meng (2015–)
DENG Min (2015–)
LI Xiao (2014-)
WANG Jianqing (2013–2015)
LIU Yiming (2013–2015)
WAN Yi (2013–2015)
LIU Ziqian (2013–2015)
SHE Zihang (2012–2014)
ZHOU Biting (2012–2014)
DONG Hui (2012–2013)
- Statistics for Stochastic Processes
- Financial Statistics
- High Dimensional Statistics
- Efficient Estimation of Spot Volatility under General Jump Process (01/06/2017-31/05/2020), Macau Government, FDCT127/2016/A3, MOP $1,043,725. Sole PI.
- Efficient Estimation of Volatility Matrix under Presence of Infinite Variation Jumps with Applications (01/01/2015-31/12/2017), NSFC No.11401607, RMB 220,000. PI. (Co-PI: Jacky So, University of Macau)
- FDCT Special Equipment Fund, Macau Government, FDCT043/2014/SA, MOP $204,120.
- Inference on Volatility Matrix of Big Data with Applications, (01/06/2014-31/05/2017), Macau Government, FDCT078/2013/A3, MOP $1,171,000. Sole PI.
- Statistical Inference of High Frequency Data with Implementation (01/08/2013-31/12/2015), Macau Government, FDCT078/2012/A3, MOP $734,000. PI. (Co-PIs, Xiong Jie, Ding Deng and Shu Lianjie, University of Macau)
- Inference on High Frequency Data: Some New Problems, (01/04/2015-31/03/2018), MYRG from University of Macau, MYRG2015-00184-FST, MOP $840,000. Sole PI.
- Inference on Volatility Matrix of Big Data with Applications, (24/06/2014-23/06/2017), Matching fund from University of Macau, MRG024/LZ/2014/FST, MOP $390,000. Sole PI.
- Studying Higher Order Moments of Daily Returns under High Frequency, (01/04/2014-31/03/2017), MYRG from University of Macau, MYRG2014-00001-FST, MOP $840,000. Sole PI.
- Statistical Inference of Semi-martingale with High Frequency Data, (01/11/2012-31/10/2013), Startup fund from University of Macau, SRG023-FST12-LZ, MOP $100,000. Sole PI.
- Annual Meeting of Asian Finance Association (25/06/2016–28/06/2016), CGFST008-2016-LZ, MOP$10,520.
- World Finance Conference (02/07/2014–04/07/2014), CG023-FST2014-LZ, MOP$20,400.
- World Finance & Banking Symposium (16/12/2013–17/12/2013), CG197-FST2013-LZ, MOP$11,850.
- Asian Finance Association Annual Meeting (15/07/2013–17/07/2013), CG121-FST2013-LZ, MOP $11,300.
Refereed journal articles
- Cheng Cong-hua, Liu Yi-ming, Liu Zhi and Zhou Wang (2017). Balanced Augmented Jackknife Empirical Likelihood for Two Sample U-Statistics. SCIENCE CHINA Math-ematics, forthcoming. DOI: 10.1007/s11425-016-9071-y.
- Liu Yi-qi, Liu Qiang, Liu Zhi and Ding Deng (2017). Determining the integrated volatility via limit order books with multiple records. Quantitative Finance, forthcoming, DOI:10.1080/14697688.2017.1307510.
- Li Zhou-ping, Liu Yi-ming and Liu Zhi (2017). Empirical Likelihood and General Rela-tive Error Criterion with Divergent Dimension. Statistics, forthcoming, DOI:10.1080/023 31888.2017.1296443.
- Lai Peng, Song Feng-li, Chen Kai-wen and Liu Zhi (2017). Model free feature screening with dependent variable in ultrahigh dimensional binary classification. Statistics & Probability Letters, 125, 141-148.
- Cai Zong-wu, Jing Bing-yi, Kong Xin-bing and Liu Zhi (2017). Nonparametric re-gression with nearly integrated regressors under long run dependence. Econometrics Journal, 20(1), 118-138.
- Kong Xin-bing, Liu Zhi, Yao Yuan and Zhou Wang (2017). Sure Screening by Ranking the Canonical Correlations. Test, 26(1), 46-70.
- Liu Zhi (2017). Jump-robust Estimation of Volatility with Simultaneous Presence of Microstructure Noise and Multiple Observations. Finance and Stochastics, 21(2), 427-469.
- Jing Bing-yi, Liu Zhi and Kong Xin-bing (2017). Estimating the volatility functionals with multiple transactions. Econometric Theory, 33(2), 331-365.
- Lai Peng, Liu Yi-ming, Liu Zhi and Wan Yi (2017). Model free feature screening for ultrahigh dimensional models with responses missing at random. Computational Statistics & Data Analysis, 105, 201-216.
- Cheng Cong-hua, Liu Yi-ming and Liu Zhi (2017). Empirical likelihood ratio under infinite second moment. Communication in Statistics-Theory and Methods, 46(14), 6909-6915.
- Cheng Cong-hua, Liu Zhi and Wan Yi (2017). Empirical likelihood for compound Poisson processes under infinite second moment. Communication in Statistics-Theory and Methods, Forthcoming, DOI: 10.1080/ 03610926.2016.1185122.
- Li Wei-ming and Liu Zhi (2016). A test for the complete independence of high-dimensional random vectors. Journal of Statistical Computation and Simulation, 86(16), 3135-3140.
- Xia Xiao-chao, Liu Zhi and Yang Hu (2016). Regularized estimation for the least absolute relative error models with a diverging number of covariates. Computational Statistics & Data Analysis, 96, 104-119.
- Liu Zhi (2016). Estimating integrated co-volatility with partially miss-ordered high frequency data. Statistical Inference for Stochastic Processes, 19(2), 175-197.
- Liu Zhi, Xia Xiao-chao and Zhou Wang (2015). A test for equality of two distributions via jackknife empirical likelihood and characteristic functions. Computational Statistics & Data Analysis, 92, 97-114.
- Yin Ju-liang, Ding Deng, Liu Zhi and Suiyang Khoo (2015). Some properties of finite-time stable stochastic nonlinear systems. Applied Mathematics and Computation, 259, 686-697.
- Kong Xin-bing, Liu Zhi and Jing Bing-yi (2015). Testing for pure-jump processes for high-frequency data. Annals of Statistics, 43(2), 847-877.
- Li Cui-xia, Chen Jin-yuan, Liu Zhi and Jing Bing-yi (2014). On integrated volatility of Ito semimartingales when sampling times are endogenous. Communication in Statistics-Theory and Methods, 43, 5263-5275.
- Jing Bing-yi, Liu Zhi and Kong Xin-bing (2014). On the estimation of integrated volatility with jumps and microstructure noise. Journal of Business and Economic Statistics, 32(3), 457-467
The article was the JBES Invited Address presented at the Joint Statistical Meetings, Boston, Massachusetts, August 2-7, 2014
- Jing Bing-yi, Kong Xin-bing, Liu Zhi and Zhang Bo (2014). Evaluating the hedging error in price processes with jumps present (2014). Statistics and Its Interface, 6(4), 413-425.
- Jing Bing-yi, Li Cui-xia and Liu Zhi (2013). On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps. Communication in Statistics-Theory and Methods, 42(21), 3889-3901.
- Wang Kent, Liu Jun-wei and Liu Zhi (2013). Disentangling the Effect of Jumps on Systematic Risk with a New Estimator of Integrated Co-Volatility. Journal of Banking and Finance, 37, 1777-1786.
- Abbas Ahmed, Kong Xin-bing, Liu Zhi, Jing Bing-yi and Gao Xin (2013). Automatic peak selection by a Benjamini-Hochberg-based algorithm. PLoS ONE, 8(1): e53112. doi: 10.1371/journal.pone.0053112.
- Liu Zhi, Abbas Ahmed, Jing Bing-yi and Gao Xin (2012). WaVPeak: picking NMR peaks through wavelet transform and volume-based filtering. Bioinformatics, 28(7), 914-920.
- Jing Bing-yi, Kong Xin-bing and Liu Zhi (2012). Modeling high frequency financial data by pure jump processes. Annals of Statistics, 40(2) 759-784.
- Jing Bing-yi, Kong Xin-bing, Liu Zhi and Per Mykland (2012). On the jump activity index for semimartingales. Journal of Econometrics, 166(2) 213-223.
- Jing Bing-yi, Kong Xin-bing and Liu Zhi (2011). Estimating the jump activity index under noisy observations using high frequency data. Journal of American Statistical Association, 106(494), 558-568.
- Jing Bing-yi, Liu Zhi and Kong Xin-bing (2010). Testing for diﬀusion in a discretely observed semi-martingale. Journal of the Korean Statistical Society, 39 (3), 357-370.
- Jing Bing-yi, Kong Xin-bing, Liu Zhi and Zhang Bo (2009). Stochastic regression and its application to hedging in finance. Science in China, Series A, 52(6), 1365-1372
- Li Ze-hui, Liu Zhi and Niu Yi (2007). Bayesian statistical inference on general delta-shock model with zero-failure data, Chinese J. Appl. Probab. Statist, 23(1), 51-58.
Refereed conference proceedings
- Liu Zhi, Wang Kent and Liu Jun-wei (2013). Realized skewness at high frequency and link to conditional market premium, Proceedings 59th ISI World Statistics Congress, 3982-3987.
University and Faculty service
- Member of Master Students Recruitment Committee (2012-present)
- Member of PhD students Recruitment Committee (2014, 2015)
- Member of Department Self-Review Report Drafting Committee (2014-2015)
- Chair of Mathematical Modeling Advisory Committee (2015-present)
- Affiliate of East Asia College (2015-present)
- Supervisor committee of final year project of Honours College (2015, 2016)
- Supervisor of final year project of Department of Mathematics (2016)
- Member of New Staff Committee (2012)
- Member of University Staff Basket Ball Team (2013-2014)
- Member of organization committee of the 2015 UM Workshop on Probability and Statistics (2015)
Anonymous referee for the Journals
- Member of Asian Finance Association
- Member of Institute of Mathematical Statistics
- Member of The Econometric Society
- Reviewer of Mathematical Review
- Annals of Statistics, Journal of the American Statistical Association, Journal of Econometrics, Journal of Business and Economic Statistics, Scandinavian Journal of Statistics, Econometric Theory, Economics Research International, Electrical Journal of Probability, Electrical Journal of Statistics, Science in China, Communication in Statistics–Theory and Method, Communication in Statistics–Simulation and Computation, Emerging Markets Finance and Trade, Applied Mathematics–a Journal of Chinese Universities, The North American Journal of Economics and Finance, Soft Computing.
Invited talks and presentations
- 2017 IMS-China International Conference on Statistics and Probability, Nanning, China, July, 2017. (Invited)
- The 10th ICSA International Conference, Shanghai, China, December, 2016. (Invited)
- 10th cross-strait conference, Chengdu, China, August, 2016. (Invited)
- 2016 Asian Finance Association Annual Meeting, Bangkok, Thailand, June,2016
- International Symposium of Financial Engineering and Risk Management (FER-M2016), Guangzhou, China, June, 2016. (Invited)
- The 4th IMS-Asia Pacific Rim Meeting, Hong Kong, June, 2016 (Invited)
- 2015 IMS-China International Conference on Statistics and Probability, Kunming, China, July, 2015. (Invited)
- International Symposium on Differential Equations and Stochastic Analysis in Mathematical Finance, Sanya, China, July, 2014
- World Finance Conference, Venice, Italy, July, 2014
- The 10th International Symposium on Econometric Theory and Application, Taipei, Taiwan, May, 2014
- The 6th International Statistics Forum at Renmin University, Beijing, China, May, 2014. (Invited)
- World Finance & Banking Symposium, Beijing, China, December, 2013
- National Youth forum on Statistics, Xuzhou, China, November, 2013. (Invited)
- Second Lanzhou International forum on Statistics, Lanzhou, China, August, 2013. (Invited)
- 59th World Statistics Congress, Hong Kong, August, 2013
- 2013 Asian Finance Association Annual Meeting, Nanchang, China, July, 2013
- IMS-SWUFE International Conference on Statistics and Probability, Chengdu, China, July, 2013
- The Fourth Workshop on Numerical Algebra and High Performance Computation (NAHPC2012), Macau, Dec, 2012. (Invited)
- The fifth International Conference on Statistics and Society, Beijing, China, July, 2012. (Invited)
- The third XMU-Humboldt Workshop on Nonparametric and Non-stationary Econo-metrics, Xiamen, China, May, 2012. (Invited)
- First Lanzhou International forum on Statistics, Lanzhou, China, July, 2011. (Invited)
- The Econometric Society Australasian, Adelaide, Australia, July, 2011. (Invited)
- The 8th ICSA International Conference, Guangzhou, China, December, 2010. (Invited)
- The 4th International Conference on Statistics and Society, Beijing, China, July, 2010.
- International Symposium of Financial Engineering and Risk Management (FER-M2010), Taipei, Taiwan, June, 2010.
- International Symposium of Risk Management and Derivatives, Xiamen, China, July, 2009.
- The 1st IMS-Asia Pacific Rim Meeting, Seoul, Korea, June, 2009.
- The 1st IMS-China International Conference of Statistics and Probability, Beijing, China, July, 2005.
Faculty of Science and Technology
University of Macau, E11
Avenida da Universidade, Taipa,
Telephone: (853) 8822-4494
Fax: (853) 8822-2426