任职情况
中山大学岭南学院教授
中山大学粤港澳发展研究院教授
研究领域
Simulation-Based Asset Pricing and Risk Management;
FinTech;
Analytical Approximation Methods in Financial Engineering;
Empirical Asset Pricing with Machine Learning Methods;
Systemic Risk Assessment and Mitigation Methods.
联系方式
通讯地址：广州市新港西路135号中山大学岭南学院（510275）
Email: liuych26@mail.sysu.edu.cn
研究成果
《中国ETF期权Delta对冲收益的日夜特征研究》,（与 汤昊文，钱潮阳合作），《管理科学学报》，2024年第2期。
《互联网搜索对期权隐含波动率的影响：基于人工神经网络的分析》,（与 李星毅，朱书尚合作），《系统工程理论与实践》，2023年第7期。
American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach,
with Nan Chen, Operations Research, 62 (3), 616-632. (2014) (UTD24, FT50)
Information Relaxation and a Duality-Driven Algorithm for Stochastic Dynamic Programs,
with Nan Chen, Xiang Ma and Wei Yu, under Minor Revision for Operations Research. (2022)
On the Variance of Single-Run Unbiased Stochastic Derivative Estimators,
with Zhenyu Cui, Michael Fu, Jianqiang Hu, Yijie Peng and Lingjiong Zhu, INFORMS Journal on Computing, 32 (2), 390-407. (2020) (UTD24)
Media-expressed Tone, Option Characteristics, and Stock Return Predictability,
with Cathy Yi-Husan Chen, Matthias Fengler, Wolfgang Hardle, Journal of Economic Dynamics and Control, 134, 104290. (2022)
Sequential Itô-Taylor Expansions and Characteristic Functions of Stochastic Volatility Models,
with Kailin Ding and Zhenyu Cui,Journal of Futures Markets, 43, 1750–1769. (2023)
Robust Upper Bounds for American Put Options,
with Ye Du and Shan Xue, Journal of Futures Markets, 39 (1), 3-14. (2019) (Lead Article)
Single Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes,
with Zhenyu Cui and Chihoon Lee, European Journal of Operational Research, 266 (3), 1134-1139. (2018).
Dynamic Analysis on Counterparty Exposures and Netting Efficiency of Central Counterparty Clearing,
with Lijun Bo and Tingting Zhang, Quantitative Finance, 21(7), 1187-1206. (2021)
Too Costly to Make a Difference: An Examination on the Relationship between Online Financing and Economic Growth,
with Jiapin Deng and Wenyue Xiao, International Journal of Finance and Economics, in press. (2024)
Does Digital Finance Reduce the Employment in the Finance Industry? Evidence from China,
with Jiapin Deng, Finance Research Letters, 48, 102994. (2022)
Can Network Structure Predict Cross-Sectional Stock Returns? Evidence from Co-attention Based Networks in China,
with Xi Chen, Wuyue Shangguan and Shichao Wang, Finance Research Letters, 38, 101422. (2021)
Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient,
with Zhenyu Cui and Ruodu Wang, Operations Research Letters, 50, 199-204. (2022)
Value of Inventory Pooling with Limited Demand Information and Risk Aversion,
with Weili Xue, Lijun Ma, and Meiyan Lin, Decision Sciences, 53(1), 51-83. (2022)
Value of Initial Coin Offerings in the Fashion Industry,
with Yulin Hu and Weili Xue, IEEE Transactions on Engineering Management, in press. (2022)
Optimal Procurement Strategies for Contractual Assembly Systems with Fluctuant Procurement Price,
with Yi Yang, Jianan Wang, Zhiyuan Chen and Frank Youhua Chen, Annals of Operations Research, 291, 1027–1059. (2020)
Dynamic Risk-Sharing Game and Reinsurance Contract Design,
with Shumin Chen and Chengguo Weng, Insurance: Mathematics and Economics, 86, 216-231. (2019)
Vertical Merger, R&D Collaboration, and Innovation,
with Kaiguo Zhou and Runyu Yan, European Journal of Finance, 25 (14), 1289-1308. (2019)
Risk Measures for Variable Annuities: a Hermite Series Expansion Approach,
with Zhenyu Cui, Jinhyoung Kim and Guanghua Lian, Journal of Management Science and Engineering, 4, 119-141. (2019)
Approximate Arbitrage-Free Option Pricing under the SABR Model,
with Nian Yang, Nan Chen, and Xiangwei Wan, Journal of Economic Dynamics and Control, 83, 198-214. (2017)
Index Futures Trading and Spot Volatility in China: a Semi-Parametric Approach with Range-Based Proxies,
with Na Tan, Yulei Peng, and Zhewen Pan, Journal of Futures Markets, 37, 1003-1030. (2017)
Integral Representation of Vega for American Put Options,
with Zhenyu Cui and Ning Zhang, Finance Research Letters, 19, 204-208. (2016)
Pricing Continuously Monitored Barrier Options under the SABR Model: a Closed-Form Approximaiton,
with Nian Yang and Zhenyu Cui, Journal of Management Science and Engineering, 2, 116-131. (2017)
The Substitutability of Non-Fossil Energy, Potential Carbon Emission Reduction and Energy Shadow Prices in China,
with Hualin Xie, Yanni Yu, and Wei Wang, Energy Policy, 107, 63-71. (2017)
The Energy Rebound Effects across China's Industrial Sectors: an Output Distance Function Approach,
with Ke Li and Ning Zhang, Applied Energy, 184, 1165-1175. (2016)
Environmental Catching-Up, Eco-Innovation, and Technological Leadership in China's Pilot Ecological Civilization Zones,
with Yanni Yu, Wenjie Wu, and Tao Zhang, Technological Forecasting & Social Change, 112, 228-236. (2016)
Raising Capital for the Family Firm for Sustainability: Whence the Advantage?
with Dong Xiang, Yuming Zhang, and Andrew Worthington, Technological Forecasting & Social Change, 151, 119822. (2020)
A Variant of L^#-Convexity and Its Application to Inventory Models with Batch Ordering,
with Zhiyuan Chen, Yi Yang, and Yun Zhou, Asia-Pacific Journal of Operational Research, 31(6), 1-16. (2014)
Network Analysis to Uncover Stock Comovement from a Chinese Financial Portal,
with Wuyue Shangguan, Xi Chen, and Alvin Chung Man Leung, Pacific Asia Conference on Information Systems (PACIS) 2016 Proceedings, 302. (2016)
Sensitivity Estimation of SABR Model via Derivative of Random Variables,
with Nan Chen, Proceedings of the 2011 Winter Simulation Conference, 3871-3881. (2011)
《基金竞争与泡沫资产配置的同群效应研究》,（与 刘京军，熊和平合作），《管理科学学报》，2018年第2期。
《央行行长口头沟通的股票市场效应研究》,（与 林建浩，陈良源，宋迎合作），《管理科学学报》，2023年第2期。
《Lévy过程下金融期权风险对冲参数的模拟仿真估计》,（与 刘刚，谢金贵，崔振嵛合作），《中国科学技术大学学报》，Vol. 47，No. 3, 262-266。(2017)
《比特币交易市场的风险对冲功能研究》,（与 赵飞霞，陈南合作），《金融前沿》，Vol. 1，No. 1, 64-81。(2017)
《股指期货套期保值率的小波分析方法》,（与 王欣，方兆本合作），《预测》，Vol. 28，No. 6, 60-64。(2009)
科研项目
1. 国家自然科学基金面上项目，2023.01-2026.12, 主持，在研。
2. 广州市基础与应用基础研究项目专项（科技菁英“领航”项目），2024.01-2026.12，主持，在研。
3. 中国金融期货交易所2023年度计划课题，2023.12-2024.05，主持，在研。
4. 郑州商品交易所期货及衍生品研究所2023年度对外合作课题，2023.05-2024.05，主持，在研。
5. 中国期货业协会第十五期联合研究计划课题，2022.05-2022.12，主持，结题。
6. 广州期货交易所首批对外合作课题，2022.08-2022.12，主持，结题。
7. 中山大学自贸区综合研究院2022年南沙区重点课题，2022.05-2022.12，主持，结题。
8. 中国期货业协会第十四期联合研究计划课题，2021.05-2022.03，主持，结题。
9. 中山大学高校基本科研业务费青年教师重点培育项目，2019.01-2020.12，主持，结题。
10. 广东省创新团队项目，子课题，2017.01-2019.12，主持，结题。
11. 中山大学中央高校基本科研业务费，2015.01-2017.12，主持，结题。
12. 国家自然科学基金青年项目，2016.01-2018.12， 主持，结题。