• PhD：University of Macau (Mathematics)

• MS：Rutgers University, New Brunswick (Mathematical Finance)

• BS：University of Macau (Applied Mathematics)

Statistical inference for stochastic process

high-frequency financial econometrics

machine learning in finance

bioinformatics

Selected Publications: ('*': Corresponding author, '^': Alphabetical order)

Accepted:

Zhu, H., Bai, L., He, L., & Liu, Z. (2023). Forecasting realized volatility with machine learning: Panel data perspective. Journal of Empirical Finance, 73, 251-271.

Zhu, H., & Liu, Z. (2023). On bivariate time-varying price staleness. Journal of Business & Economic Statistics, 1-14.

Working Papers:

Liu, Z., & Zhu, H.^  (2023). Bias-corrected covariance estimation in presence of price staleness. Submitted. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4138067.

Zhu, H., Liu, Q., & Liu, Z. (2023). Estimation of volatility functionals with time-varying price staleness. To be submitted.

Zhang, T., Wang, C., Zhu, H., & Wong, G. (2023). piRNA target prediction using a Long short-term memory (LSTM)-attention model. To be submitted.

Working in Progress:

The leverage effect puzzle revisited: Zeros (with Xinbing Kong, Qiang Liu, Zhi Liu)

Common or systematic staleness? (With Zhi Liu)