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LIU Cheng
Date:2025-03-21



Liu, Cheng

Professor, Ph.D Supervisor, Vice Dean

Department of Mathematical Economics and Mathematical Finance

Email: chengliu_eco@whu.edu.cn

Ph.D, Statistics, National University of Singapore, Singapore (2009-2013)

B.Sc., Statistics, Wuhan University, China (2005-2009)


TEACHING AND RESEARCH AREAS

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

ŸTeaching Focusing: Econometrics, Statistics

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


ACADEMIC EXPERIENCE

ŸProfessor, Wuhan University, 2022.01-present

ŸAssociate Professor, Wuhan University, 2016.11-2021.12

ŸAssistant Professor, Wuhan University, 2014.07-2016.10

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


INTERNATIONAL EXPERIENCE

ŸSingapore Management University, Research Fellow, 2013.5-2014.5

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


SELECTED PUBLICATIONS

Journal Papers (International)

ŸChang 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.

Ÿ 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.

ŸKong 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.

ŸLiu 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.

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

ŸKong 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.

ŸLiu 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.

ŸLiu 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)      

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

ŸLiu 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.

Others

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

ŸLiu 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

ŸNational 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).

ŸNSFC 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.

ŸNSFC 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.

ŸYouth 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.

ŸNSFC 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.

AWARDS AND HONORS

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

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

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

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

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

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

ŸOutstanding Contributor, Hongyi Academy, Wuhan University (2017)

ŸOutstanding Party Affairs Worker (2020)

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

EDITORIAL BOARDS

ŸJournal of Econometrics, 2019-present

ŸJournal of the American Statistics Association, 2016-present

ŸJournal of Business & Economic Statistics, 2020-present

ŸEconomic Modelling, 2020-present

ŸThe Quarterly Journal of Economics, 2020-present

MEMBERSHIPS, CERTIFICATIONS

ŸExecutive Council Member, Chinese Association of Quantitative Economics

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

ŸVice President, Hubei Association of Quantitative Economics