Journal Article
A new attention proxy and order imbalance: Evidence from China
Gao, Y., Xiong, X., Feng, X., Li, Y., & Vigne, S. A. (2019). A new attention proxy and order imbalance: Evidence from China. Finance research letters, 29, 411-417. https://doi.org/10.1016/j.frl.2018.11.009
Selling vertically differentiated products under one channel or two" A quality segmentation model for differentiated distribution channels
Chai, J., Yan, W., Li, Y., Palmer, M., & Huang, Q. (2019). Selling vertically differentiated products under one channel or two? A quality segmentation model for differentiated distribution channels. Journal of the Operational Research Society, https://doi.org/10.1080/01605682.2019.1605469
Overnight momentum, informational shocks, and late informed trading in China
Gao, Y., Han, X., Li, Y., & Xiong, X. (2019). Overnight momentum, informational shocks, and late informed trading in China. International review of financial analysis, 101394. https://doi.org/10.1016/j.irfa.2019.101394
How did order-flow impact bond prices during the European Sovereign Debt Crisis"
Lin, Z., Hamill, P. A., Li, Y., Sun, Z., & Waterworth, J. (2020). How did order-flow impact bond prices during the European Sovereign Debt Crisis?. International Review of Economics and Finance, 67, 13-24. https://doi.org/10.1016/j.iref.2019.12.008
Research interests
Professor Li's main research interests include asset pricing, financial econometrics, heterogeneous agent models of financial markets, longevity risk, market microstructure, and quantitative finance.
Postgraduate supervision
Professor Li welcomes applications in the areas of asset pricing and empirical studies of financial markets.