Dr Anqi Liu

Lecturer in Financial Mathematics

School of Mathematics

Research Group

Operational Research Group

Research Interests

  • Market microstructure
  • Irrational trading behaviour
  • Application of Hawkes process in financial markets
  • Noise trading risk modeling
  • Investor sentiment in portfolio management

Dr Anqi Liu holds BSc in Mathematics and Applied Mathematics from the Northwest University, China; MSc and PhD in Financial Engineering from Stevens Institute of Technology, USA. She received Stevens Innovation and Entrepreneurship Scholarship for 4 years during her PhD.

Anqi’s research interests include behavioural finance, sentiment analysis and Hawkes process in finance. She has been collaborating with a number of financial researchers in the area of quantitative finance and computational finance, and has published a series of papers in international journals and conferences. The overall goal of this research line is to improve the existing pricing and risk modelling framework for financial markets. She believes that interpretations to irrational trading behaviour will provide insights to market inefficiency. Recently, she mainly focuses on Hawkes process of modelling interactions between price and investor sentiment jumps.

2018

2017

2016

2015

2014

Finance II (2018 Spring)

Anqi’s research interests include behavioural finance, sentiment analysis and Hawkes process in finance. She has been collaborating with a number of financial researchers in the area of quantitative finance and computational finance, and has published a series of papers in international journals and conferences. The overall goal of this research line is to improve the existing pricing and risk modelling framework for financial markets. She believes that interpretations to irrational trading behaviour will provide insights to market inefficiency. Recently, she mainly focuses on Hawkes process of modelling interactions between price and investor sentiment jumps.

External profiles