Zhi LIU
Professor

Department of Mathematics
Faculty of Science and Technology 
University of Macau

I am a Professor at the Department of Mathematics, and an Affiliate Researcher at the Center for Applied Mathematics, and the Center for Artificial Intelligence and Robotics, at the University of Macau. Here is my Google Scholar page. 

I finished my Ph.D. in Statistics at the Hong Kong University of Science and Technology in 2010. During 2011-2012, I was an Assistant Professor in Economics at the Wang Yanan Institute for Studies in Economics and the Department of Statistics, at the Xiamen University. 

My current research interests are Statistics for Stochastic Processes, Financial Statistics, and Statistical Learning for Health Science. If you are interested in a Ph.D. in Statistics at the University of Macau, feel free to email me at liuzhi@um.edu.mo to discuss this.

Education

  • 2006-2010: Ph.D, Hong Kong University of Science & Technology. Advisor: Bingyi JING
  • 2003-2006: M.Sc, Lanzhou University
  • 1999-2003: B.Sc, Lanzhou University

Working Experience

  • 8/2012-Present   Assistant, Associate, Full Professor in Mathematics, University of Macau
  • 9/2011-7/2012   Assistant Professor in Economics, Xiamen University
  • 1/2011-8/2011   Research Associate, Hong Kong University of Science & Technology

Teaching

  • Nonparametric Statistics, Fall, 2022, 2023, 2024
  • Data Mining and Statistical Learning, Spring, 2022, 2023, Fall 2024
  • Mathematics for Artificial Intelligence (PG course for CIS), Spring, 2024
  • Linear Statistical Analysis, Spring, 2021, Fall, 2022
  • Advanced Statistics (PG course), Spring, 2022, 2024
  • Topics in Statistics and Data Science, Fall, 2021
  • Large Sample Theory (PG course), Fall, 2019-2020
  • Time Series Analysis, Spring, 2015–2020, Fall, 2023
  • Mathematical Modelling, Fall, 2013–2020
  • Stochastic Processes (PG course), Fall, 2014, 2018
  • Probability and Statistics, Spring, 2016, 2017
  • Statistical Methods in Engineering (Ph.D. course), Fall, 2014
  • Probability Theory, Fall, 2013
  • Engineering Mathematics, Spring, 2013
  • Calculus III, Fall, 2012

Ph.D. students supervised

  • GUO Aodong, SUN Di (2024–)
  • JIANG Yu (2022–)
  • LIU Wenjing (2022–) Nonparametric estimation for the probability distances
  • TANG Jingwei (2021–)
  • BAI Lu (2019–2024) Hybrid approaches in machine learning prediction. First Job: Assistant Professor, Xiamen University of Polytechnology
  • ZHU Haibin (2020–2023): High-frequency inference on the price staleness. First Job: Tenure-track Assistant Professor, Jinan University (Guangzhou)
  • HE Lidan (2018–2021): Higher-order approximations and forecasts of volatility. First Job: Assistant professor, Nanjing University of Information Science & Technology
  • WAN Yi (2015–2019): Jackknife empirical likelihood-based Tests. First Job: Data Scientist, Huawei Technologies Co. Ltd.
  • LIU Qiang (2015–2018): Inference of spot volatilities under infinite variation jumps. First Job: Post-doctoral fellow, National University of Singapore (Now Tenure-track Assistant Professor, Shanghai University of Finance and Economics)
  • WANG Li (2014–2018): Realized Laplace transform of volatility with microstructure noise. First Job: Assistant professor, Macau University of Science and Technology.
  • LIU Yiqi (2014–2017, Co-supervisor): The effect of multiple records on volatility estimation via high-frequency financial data. First Job: Pingan FinTech. 

Master students supervised

  • XU Hantian, ZHOU Shunchao (2023–)
  • AN Ruofan, SUN Di (2022–2024)
  • WONG Cho Him, DENG Wenlong, LI Rui, LIN Yang (2021–2023)
  • ZHUO Yihua (2020–2023)
  • LIU Wenjing (2020–2022)
  • ZHU Baowen (2019–2022)
  • YIN Shu (2018–2021)
  • DONG Jianqiao, FU Binchao (2018–2020)
  • LIU Peixi (2017–2020)
  • HUANG Yuling, SUN Jing (2017–2019)
  • U Cheok Meng, DENG Min (2015–2018)
  • WANG Jianqing, LIU Yiming, WAN Yi, LIU Ziqian (2013–2015)
  • SHE Zihang, ZHOU Biting (2012–2014)
  • DONG Hui (2012–2013)

Research Grants

  External Grants

  1. Statistical Learning of Chronic Kidney Disease in Macau (10/01/2022-09/01/2024), The Science and Technology Development Fund, Macau SAR, FDCT0041/2021/ITP, MOP $424,000. Sole PI.

  2. Statistical Inference of Distributions of Volatility with Applications (01/01/2020-31/12/2023), NSFC No.11971507, RMB 520,000. PI. (Co-PI: Jacky So, University of Macau)

  3. Studying the Non-synchronous Trading under Ultra-high Frequency (25/5/2018-24/5/2021), The Science and Technology Development Fund, Macau SAR, FDCT202/2017/A3, MOP $917,000. Sole PI.

  4. Efficient Estimation of Spot Volatility under General Jump Process (1/6/2017-31/5/2020), The Science and Technology Development Fund, Macau SAR, FDCT127/2016/A3, MOP $1,043,725. Sole PI.

  5. Efficient Estimation of Volatility Matrix under Presence of Infinite Variation Jumps with Applications (1/1/2015-31/12/2017), NSFC No.11401607, RMB 220,000. PI. (Co-PI: Jacky So, University of Macau), 

  6. FDCT Special Equipment Fund, The Science and Technology Development Fund, Macau SAR, FDCT043/2014/SA, MOP $204,120.

  7. Inference on Volatility Matrix of Big Data with Applications, (1/6/2014-31/5/2017), The Science and Technology Development Fund, Macau SAR, FDCT078/2013/A3, MOP $1,171,000. Sole PI.

  8. Statistical Inference of High-Frequency Data with Implementation (1/6/2013-31/12/2015), The Science and Technology Development Fund, Macau SAR, FDCT078/2012/A3, MOP$734,000. PI. (Co-PIs, XIONG Jie, DING Deng and SHU Lianjie, University of Macau). 

  Internal Grants

  1. Effect of price staleness on the asymptotic behaviour of realized covariance, (1/1/2024-31/12/2025), MYRG from University of Macau, MYRG-GRG2023-00036-FST-UMDF, MOP$320,000. Sole PI.

  2. Inference of price staleness with applications to high-frequency trading, (1/1/2023-31/12/2024), MYRG from University of Macau, MYRG2022-00118-FST, MOP$544,000. Sole PI.

  3. Statistical inference of spot correlation and spot market Beta under infinite variation jumps, (1/1/2022-31/12/2023), MYRG2020-00227-FST, MOP $600,000. Sole PI.

  4. Joint Laplace Transform of Volatility Matrix (1/1/2019-31/12/2021), MYRG from University of Macau, MYRG2018-00107-FST, MOP $588,000. Sole PI.

  5. Inference on High-Frequency Data Some New Problems, (1/4/2015-31/3/2018), MYRG from University of Macau, MYRG2015-00184-FST, MOP $840,000. Sole PI.

  6. Inference on Volatility Matrix of Big Data with Applications, (24/6/2014-23/6/2017), Matching fund from University of Macau, MRG024/LZ/2014/FST, MOP $390,000. Sole PI.

  7. Studying Higher Order Moments of Daily Returns under High Frequency, (1/4/2014-31/3/2017), MYRG from University of Macau, MYRG2014-00001-FST, MOP $840,000. Sole PI.

  8. Statistical Inference of High-Frequency Data with Implementation, (1/8/2013-31/7/2015), Matching fund from University of Macau, MRG009/LZ/2013/FST, MOP $244,500. Sole PI.

  9. Statistical Inference of Semi-martingale with High-Frequency Data, (1/11/2012-31/10//2013), Startup fund from University of Macau, SRG023-FST12-LZ, MOP $100,000. Sole PI.

Selected Publications (Full Publications List)

  1. ZHU Haibin and LIU Zhi (2024). On Bivariate time-varying price staleness, Journal of Business and Economic Statistics. 42, 229-242.

  2. K. Ulrich Hounyo,  LIU Zhi and Rasmus T. Varneskov (2023). Bootstrapping Laplace transform of volatility, Quantitative Economics. 14, 1059-1103.

  3. DING Li-zhong, LIU Zhi, LI Yu, LIAO Shi-zhong, LIU Yong, YANG Peng, YU Ge, SHAO Ling, GAO Xin (2019). Linear Kernel Tests via Empirical Likelihood for High-Dimensional Data,  AAAI2019. Acceptance rate: 16.2%

  4. KONG Xin-bing, LIU Zhi and ZHOU Wang (2019), A rank test for the number of factors with high-frequency data, Journal of Econometrics. 211(2), 439-460.

  5. HU Jiang, LI Wei-ming, LIU Zhi and ZHOU Wang (2019). High-dimensional covariance matrices in elliptical distributions with application to spherical test, Annals of Statistics. 47(1), 527-555.

  6. LIU Zhi, KONG Xin-bing and JING Bing-yi (2018). Estimating the integrated volatility using high-frequency data with zero durations, Journal of Econometrics. 204, 18-32.

  7. LIU Qiang, LIU Yi-qi and LIU Zhi (2018). Estimating spot volatility in the presence of infinite variation jumps, Stochastic Processes and their Applications, 128, 1958-1987.

  8. LIU Zhi (2017). Jump-robust estimation of volatility with the simultaneous presence of microstructure noise and multiple observations. Finance and Stochastics, 21(2), 427-469.

  9. JING Bing-yi, LIU Zhi and KONG Xin-bing (2017). Estimating the volatility functionals with multiple transactions. Econometric Theory, 33(2), 331-365.

  10. KONG Xin-bing, LIU Zhi and JING Bing-yi (2015). Testing for pure-jump processes for high-frequency data. Annals of Statistics, 43(2), 847-877.

  11. JING Bing-yi, LIU Zhi and KONG Xin-bing (2014). On the estimation of integrated volatility with jumps and microstructure noise. Journal of Business & Economic Statistics, 32(3), 457-467. The article was the JBES Invited Address presented at the Joint Statistical Meetings, Boston, Massachusetts, August 2-7, 2014

  12. LIU Zhi, Abbas AHMED, JING Bing-yi and GAO Xin (2012). WaVPeak: picking NMR peaks through wavelet transform and volume-based filtering. Bioinformatics, 28(7), 914-920.

  13. JING Bing-yi, KONG Xin-bing and LIU Zhi (2012). Modeling high-frequency financial data by pure jump processes. Annals of Statistics, 40(2), 759-784.

  14. JING Bing-yi, KONG Xin-bing, LIU Zhi and Per MYKLAND (2012). On the jump activity index for semi-martingales. Journal of Econometrics, 166(2), 213-223.

  15. JING Bing-yi, KONG Xin-bing and LIU Zhi (2011). Estimating the jump activity index under noisy observations using high-frequency data. Journal of American Statistical Association, 106, 558-568.

Awards

  1. 全國大學生數學建模競賽三十週年服務銀質紀念獎章, 2022
  2. Teaching Excellence Award, 2021, FST, University of Macau.
  3. 全國大學生數學建模競賽優秀指導教師, 2017(二十五週年), 2022(三十週年)
  4. Research Excellence Award, 2017, FST, University of Macau.
  5. Travel grant award for PIMs, Mathematical Science Research Institute, Berkeley, CA, USA, 2010

Contact Details

Faculty of Science and Technology 
University of Macau, Avenida da Universidade, Taipa, 
Macau, China

Room: E11-3072
Telephone: (853) 8822-4494
Fax: (853) 8822-2426
Email: liuzhi@um.edu.mo