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Dr Anqi Liu

Dr Anqi Liu

Lecturer in Financial Mathematics

School of Mathematics

Email
liua5@cardiff.ac.uk
Telephone
+44 29208 70908
Campuses
Abacws/4.49, Abacws, Senghennydd Road, Cathays, Cardiff, CF24 4AG
Users
Available for postgraduate supervision

Overview

Research Group

Operational Research Group

Research Interests

  • Market microstructure and trading behavoiral patterns.
  • Time series models of financial returns.
  • Application of Hawkes process in financial markets.
  • Fractal activity time geometric Brownian motion modelling for derivative pricing.
  • Financial technology (FinTech) such as cryptocurrencies, digital economy, new markets.

Biography

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 time series models of financial returns, trading behavioral 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. Recently, she mainly focuses on modelling Hawkes-type extremal returns, and hedging strategies of fractal activity time geometric Brownian motion (FATGBM) pricing models.

Publications

2021

2020

2018

2017

2016

2015

2014

Teaching

  • Finance II: Investment Management
  • Market Microstructure and Trading Theory
  • Trading, Market Design and Applications

My research interests include time series models of financial returns, trading behavioral analysis and Hawkes process in finance. I 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. I implement a variaty of modelling techniques, such as time series models, stochastic models, machine learning algorithms, in analysis of financial markets. I am experienced in using advanced computing techniques to explore valuable insights in financial market data.

Supervision

  • Cryptocurrency market microstructure.
  • Hawkes processes applications in Finance.
  • Agent-based modelling in behavioural finance.