TEACHING AND RESEARCH AREAS

Teaching Programme: Financial Econometrics, Big Data Analysis, Mathematical Statistics, Probability Theory

Teaching Focusing: Econometrics, Statistics

Research Areas: Mathematical Statistics, High-Dimensional Statistical Analysis, Financial Econometrics, Econometric Theory, Network Data Analysis.

ACADEMIC EXPERIENCE

Professor, Wuhan University, 2022.01-present

Associate Professor, Wuhan University, 2016.11-2021.12

Assistant Professor, Wuhan University, 2014.07-2016.10

Research Fellow, Sim Kee Boon Institute for Financial Economics, Singapore Management University, 2013.05-2014.05

INTERNATIONAL EXPERIENCE

Singapore Management University, Research Fellow, 2013.5-2014.5

National University of Singapore, Ph. D student, 2009.7-2013.8

MANAGERAL AND PRACTICAL EXPERIENCE

CONSULTING AND TRAINING EXPERIENCE (GOVERNMENT OR CORPORATE)

SELECTED PUBLICATIONS

Journal Papers (International)

Chang Jinyuan*, Hu Qiao, Liu Cheng, and Tang Cheng Yong (2024). Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. Journal of Econometrics，239(2): 105239, 1-39.

DOI: https://doi.org/10.1016/j.jeconom.2022.06.010.

Jiang Binyan, Liu Cheng*, and Tang Cheng Yong (2024). Dynamic covariance matrix estimation and portfolio analysis with high-frequency data. Journal of Financial Econometrics, 22(2), 461-491.

DOI: https://doi.org/10.1093/jjfinec/nbad003.

Kong Xin-Bing, Lin Jin-Guan, Liu Cheng* and Liu Guang-Ying (2023). Discrepancy between global and local principal component analysis on large-panel high-frequency data. Journal of the American Statistical Association, 118(542): 1333-1344. DOI: https://doi.org/10.1080/01621459.2021.1996376.

Liu Cheng, Wang Moming, and Xia Ningning (2022). Design-free estimation of integrated covariance matrices for high-frequency data. Journal of Multivariate Analysis, 189: 1-14.

DOI: https://doi.org/10.1016/j.jmva.2021.104910.

Liu Cheng and Sun, Yixiao (2019). A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions. Journal of Econometrics, 210: 327-362.

Kong Xin-Bing and Liu Cheng* (2018). Testing against constant factor loading matrix with large panel high-frequency data, Journal of Econometrics, 2018, 204: 301-319.

Liu Cheng and Tang Cheng Yong (2014). A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data, Journal of Econometrics, 180: 217-232.

Liu Cheng and Tang Cheng Yong (2013). A state space model approach to integrated covariance matrix estimation with high frequency data, Statistics and Its Interface (SCI), 6: 463-475.

Journal Papers (Domestic)

Opening-up of China’s Banking Industry and Domestic Banks’ Competition and Development: Discussion on Coordination of Opening-up and Safety, Economic Research, Issue 9.

Liu Cheng, Luo Jindou, Luo Zhi (2022). Quasi Maximum Likelihood Estimation, Prediction, and Application of Integrated Volatility Matrix under High-Frequency Data, Journal of Quantitative and Technical Economics, Issue 3.

Cases and Practical Papers

Conference Papers (International)

Textbooks

Monography

Others

Liu Cheng* and Yuan Xin (2024), Sparse portfolio optimization with transaction costs.

Liu Cheng*, Yuan Xin, Zhang Longyu (2024), A multi-step pre-averaging approach for integrated covariance matrix with noisy and asynchronous high-frequency data. Econometrics Theory, RR.

RESEARCH GRANTS

Government-funded grants

National Natural Science Foundation of China (NSFC) Key Special Project, Project No.: 72342019, Collaborative Modeling and Machine Learning for Massive Heterogeneous Financial Data, 2024.01–2027.12, ¥1.99 million, Sub-project Leader (Funding: ¥450,000).

NSFC General Project, Project No.: 72273100, Volatility Matrix Prediction for Ultra-high Dimensional Assets under High-Frequency Data and Its Applications, 2023.01–2026.12, ¥450,000, Principal Investigator.

NSFC Key Project, Project No.: 72132008, Human-Machine Collaboration Paradigm for Technology-Enabled Panoramic Management of Business Information and Enhanced Decision-Making, 2022.01–2026.12, ¥2.4 million, Sub-project Leader.

Youth Fund of Humanities and Social Sciences Research, Ministry of Education, Project No.: 20YJC790074, Dynamic Modeling of Integrated Volatility Matrix Based on High-Frequency Data and Its Applications in Risk Control, 2020.03–2023.03, ¥80,000, Principal Investigator.

NSFC Young Scientists Fund, Project No.: 71501144, Estimation of High-Dimensional Integrated Volatility Matrix and Its Applications in Asset Portfolio, 2016.01–2019.12, ¥180,000, Principal Investigator.

Corporate-funded grants

International collaborative grants

AWARDS AND HONORS

Young Scholar of the "Changjiang Scholars Program," Ministry of Education (2022)

Third Prize, 9th Outstanding Achievements in Scientific Research in Higher Education (Humanities and Social Sciences) (2024, Ranked 1st)

Second Prize, 12th Hubei Province Social Science Outstanding Achievement Award (2020, Ranked 1st)

"Excellent Completion" for NSFC Project: "Estimation of High-Dimensional Integrated Volatility Matrix and Its Applications in Asset Investment" (2021)

Fourth Cohort of Outstanding Young Scholars in Humanities and Social Sciences, Wuhan University (2021)

First Prize, 14th Wuhan University Humanities and Social Sciences Research Outstanding Achievement Award (2017, Ranked 1st)

Outstanding Contributor, Hongyi Academy, Wuhan University (2017)

Outstanding Party Affairs Worker (2020)

Outstanding Trade Union Worker, Wuhan University (2019–2021)

EDITORIAL BOARDS

Journal of Econometrics, 2019-present

Journal of the American Statistics Association, 2016-present

Journal of Business & Economic Statistics, 2020-present

Economic Modelling, 2020-present

The Quarterly Journal of Economics, 2020-present

MEMBERSHIPS, CERTIFICATIONS

Executive Council Member, Chinese Association of Quantitative Economics

Executive Council Member, Financial Technology and Big Data Technology Branch of the National Industrial Statistics Teaching and Research Association

Vice President, Hubei Association of Quantitative Economics

INVITED SPEECH AND MEDIA COVERAGE