现任中国人民大学财政金融学院和 Aix-Marseille University教授、博士生导师，中国人民大学金融与财税电子化研究所所长，在Journal of Econometrics、Econometrics Theory、Econometrics Journal、Annals of Operations Research、International Journal of Forecasting、Pacific-Basin Finance Journal和China Economic Review等国际著名杂志上发表多篇论文， 出版专著20余部。主要研究领域：计量经济、宏观经济理论与政策设计、金融计量、国际投资、对冲基金策略、量化投资、连续时间金融等， 如：金融计量中的变点问题、序贯分析和随机过程中的最优停时问题。

刘振亚教授曾任职于IMF, 中国人民大学世界经济研究所所长、金融与财税研究所所长，对中国经济改革、世界经济、国际金融投资以及对冲基金有十分深入的研究。

教育背景

中国人民大学信息学院、财政金融学院获工学士、经济学硕士和博士   1982 - 1993

美国普渡大学经济学博士后  1994-1995

主要工作经验

中国人民大学教授（2000--）、金融与财税研究所所长（2017-2021）、世界经济研究所所长（1998-2003）

JP Morgan Futures China 董事 (2007-2017)

伯明翰大学 Professor and Lead of the Applied Quantitative Financial Economics(2001-2017)

主要文章与著作

1. Sequential monitoring for changes from stationarity to mild non-stationarity, Journal of Econometrics, 2020.3, vol. 215, pp. 209-238;

2. Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market, Econometric Theory, March 2021;

3. Detecting Common Break in High Dimensional Panel, Econometrics Journal, in Press, April, 2021;

4. Decomposing Anomalies, Economics Letters, May 2021；

5. Bank Credit and Seasonal Anomalies in China's Stock Markets, China Economic Review, 2005, vol.16, no.4, pp. 465-483；

6. Demystifying China’s Stock Market: The Hidden Logic behind the Puzzles, Palgrave, Pivot-Series, 2019.

 

2021：

Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market, Econometric Theory, March 2021, with Lajos Horvath, Shanglin Lu.              https://doi:10.1017/S0266466621000104

 

Detecting Common Break in High Dimensional Panel, Econometrics Journal, in Press, April, 2021, with Lajos Horvath, Greg Rice, Yuqian Zhao.     

 

Decomposing Anomalies, Economics Letters, May 2021, with Sabri Boubaker, Bo Li, Yifan Zhang. https://doi.org/10.1016/j.econlet.2021.109835

 

Trading signal, functional data analysis and time series momentum, Finance Research Letters, January 2021, in press . with Sabri Boubaker, Shanglin Lu, and Yifan Zhang.         https://doi.org/10.1016/j.frl.2021.101933

 

Big Data, News Diversity and Financial Market Crash, Technological Forecasting and Social change, Volume 168, July 2021, with Sabri Boubaker, Ling Zhai.      https://doi.org/10.1016/j.techfore.2021.120755

 

Tail Dependence Structure of Metal Commodity Futures in London Metal Exchange, Journal of Commodity Markets, March 2021, with Xuyuan Han, Shixuan Wang.    https://doi.org/10.1016/j.jcomm.2021.100188

 

Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach, Annals of Operations Research, May 2021, with Sabri Boubaker, Yaosong Zhan.      https://doi.org/10.1007/s10479-021-04092-2

 

2020

 

Sequential monitoring for changes from stationarity to mild non-stationarity, Journal of Econometrics, 2020.3, vol. 215, pp. 209-238, with Lajos Horvath, Greg Rice, Shixuan Wang.

 

A Functional Time Series Analysis of Forward Curves Derived from Commodity, International Journal of Forecasting, vol 36, 2020.4-6, pp.646-665, with Lajos Horvath, Greg Rice, Shixuan Wang.

 

A Study of Data-driven Momentum and Disposition Effects in China Stock Market by Functional Analysis, Review of Quantitative Finance and Accounting, issue 1, 2020, pp. 335-358, with Ruanmin Cao, Lajos Horvath, Yuqian Zhao.

 

Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach, International Journal of Finance and Economics, October 2020, https://doi.org/10.1002/ijfe.2280. with Hemei Li,  ShixuanWang.

 

Time-varying Beta in Functional Factor Models: Evidence from China, North America Journal of Economics and Finance, Volume 54, November, 2020, with Lajos Horvath, Bo Li, and Hemei Li.

 

2019 and Before

 

Selected Papers

 

Decoding Chinese Stock Market Returns：Three-state Hidden Semi-Markov Model, Pacific Basin Finance Journal, 2017.9, Vol.44, pp.129-149 (with Shixuan Wang).

 

The Financial Integration of China: New Evidence on Temporally Aggregated Data for the A-share Market,China Economic Review, 2007, vol. 18, issue 3, pp.354-371（with Eric Girardin).

 

Bank Credit and Seasonal Anomalies in China's Stock Markets, China Economic Review, 2005, vol.16, no.4, pp. 465-483（with Eric Girardin).

 

The Chinese Stock Market: A Casino With "Buffer Zones", Journal of Chinese Economic and Business Studies (UK), 2003, vol.1, no. 1，pp. 57-70 (with Eric Girardin);

 

主要著作：

 

2019，Demystifying China’s Stock Market: The Hidden Logic behind the Puzzles, Palgrave, Pivot-Series（with Eric Girardin）; 

 

2005，Foreign Banks: Can Chinese Banks Compete?, Ross Garnaut and Ligang Song (eds.) the China Boom and Its Discontents , ANU E Press and Asia Pacific Press, (with Hanene Hamdoun and David Dickinson)；

 

2001，China’s Economy at the Turn of the Millennium,(with Eugenio Clini)，Editoriale Scientifica，Italy.

 

2016，《金融数据挖掘》， 中国经济出版社， 与李伟合著

 

2014，《解密复兴科技：基于马尔可夫时序分析方法》,中国经济出版社，与邓磊合著

 

2014，《经济计量分析基础》， 中国经济出版社

 

1998，《艰难的历程：WTO与中国》， 经济科学出版社

 

1998，《向市场经济过渡的国有企业改革》（中国外贸发展态势与外贸企业改革部分），中国人民大学出版社

 

1997，《经济计量学教程》， 中国人民大学出版社

 

1997，《宏观经济分析方法》， 西南财经大学出版社

 

1997，《微观经济分析方法》， 西南财经大学出版社

 

1997，《中国产业结构研究》（总量控制与经济稳定增长部分），中国人民大学出版社

 

1991，《经济计量分析方法》，西南财经大学出版社

 

学术奖励

 

1999，获意大利 Dosor 国际奖

 

1998，获英国科学院K.C.Wang 研究基

 

1998，获国家级霍英东青教师研究基金奖

 

1996，获归国人员研究基金

 

1996，获宝钢奖教金，并受到国家领导人接见

 

1994，获美国国家科学院博士后研究基金