刘莉
发布时间:2018-09-02 浏览次数:2105

 

南京审计大学金融学院

                                          


最后学位:苏州大学金融学博士


岗位职称:副教授 


政治面貌:中共党员  

研究领域:金融工程、市场复杂性


教学课程:金融工程学、期货与期权、金融数据分析

办公室:敏达210

电 话:86-025-58318523

Email:liuli840821@nau.edu.cn

通讯地址:南京市浦口区雨山西路86号

邮 编:211815

 


学习简历                

2004.01 - 2008.01   阜阳师范学院工商管理系  工商管理专业  管理学学士

2008.09 - 2010.06   南京财经大学金融系  金融学专业  金融学硕士

2010.09 - 2013.06   苏州大学金融系  金融学专业  金融学博士

 


工作简历                                 

2013.09 - 2016.08   南京审计学院 讲师

2016.09 - 至今     南京审计大学 副教授  

 


主持参与课题

1. 国际原油价格冲击下金融资产组合管理——基于马尔科夫机制转换多分形和高维相关模型的研究,国家自然科学基金项目(主持)

2. 国际原油价格波动风险研究:原因、影响和防范,江苏省金融工程重点实验室招标项目(主持)

 


发表论文

1. Liu, L., Wang, Y., Wu, C., Wu, W., Disentangling the determinants of real oil prices,Energy Economics, 2016, 56, 363-373.

2. Wang, Y., Liu, L.*, Ma, F., Wu, C., What the investors need to know about forecasting oil futures return volatility, Energy Economics, 2016, 57, 128-139.

3. Liu, L., Ma, F., Wang, Y., Forecasting excess stock returns with oil market data, Energy Economics, 2015, 48, 316-324.

4. Liu, L., Zhang, T., Economic policy uncertainty and stock market volatility, Finance Research Letters, 2015, Forthcoming.

5. Liu, L., Chen, C.-C., Wan, J., Is world oil market “one great pool”?: An example from China’s and international oil markets, Economic Modelling, 2013, 35, 364-373. (SSCI)

6.  Liu, L., Cross-correlations between crude oil and agricultural commodity markets, Physica A, 2014, 395, 293-302. (SSCI/SCI/EI)

7. Liu, L., Wang, Y., Cross-correlations between spot and futures markets of nonferrous metals, Physica A, 2014, http://dx.doi.org/10.1016/j.physa.2014.01.009. (SSCI/SCI/EI)

8.  Liu, L., Wan, J., A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting, Economic Modelling, 2012, 29, 2245-2253. (SSCI)

9. Liu, L., Wan, J., The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test, Physica A, 2012, 391, 6051-6059. (SSCI/SCI/EI)

10. Liu, L., Wan, J., A study of correlations between crude oil spot and futures markets: A rolling sample test, Physica A, 2011, 390, 3754-3766. (SSCI/SCI/EI)

11. Liu, L., Wan, J., Wang, Y., Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality, International Review of Financial Analysis, 2010, 19, 237-241. (EconLit)

12. 刘莉,万解秋. 我国股市与汇率之间关系的再检验——基于滚动时间窗口技术和阈值误差修正模型的证据,国际金融研究,第7期,90-96页,2011年.(CSSCI)

13. Wang, Y., Liu, L., Is WTI crude oil market becoming weakly efficient over time? New evidence from multiscale analysis based on detrended fluctuation analysis, Energy Economics, 2010, 32, 987-992. (SSCI/EI)

14. Wang, Y., Liu, L., Gu, R., Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis, International Review of Financial Analysis, 2009, 18, 271-276. (EconLit)

15. Wang, Y., Liu, L., Gu, R., Cao, J., Wang, H., Analysis of market efficiency for the Shanghai stock market over time, Physica A, 2010, 389, 1635-1642. (SSCI/SCI/EI)