刘振亚教授，博士生导师，中国人民大学工学士、经济学硕士和博士, 美国普渡大学经济学博士后。刘振亚教授曾任中国人民大学世界经济研究所所长和中国人民大学金融与财税电子化研究所所长、IMF总部、JP Morgan Futures（China）董事、Professor and Lead of the Applied Quantitative Financial Economics at the University of Birmingham。对中国经济和金融改革，中国资本市场发展、世界经济、国际金融投资以及对冲基金有十分深入的研究。
刘振亚教授现任职于中国人民大学财政金融学院，在Journal of Econometrics、Econometric Theory、Econometrics Journal、Annals of Operations Research、International Journal of Forecasting、International Review of Financial Analysis, 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。
主要文章与著作
2021（共 11篇）
Econometric Theory(2021), Econometrics Journal(2021), Economics Letters(2021)；Technological Forecasting and Social Change(2021), Journal of Commodity Markets(2021), Annals of Operations Research(2021a, 2021b), Financial Research Letters(2021a, 2021b), International Review of Financial Analysis(2021), Journal of Asset Management(2021).
2020 (共5篇）
Journal of Econometrics(2020), International Journal of Forecasting(2020), Review of Quantitative Finance and Accounting(2020), International Journal of Finance and Economics(2020), North America Journal of Economics and Finance(2020).
2019 (Book)
Demystifying China’s Stock Market: The Hidden Logic behind the Puzzles,Palgrave, Pivot-Series, 2019.
主要论文：
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
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, 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
An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting, 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
Detecting Common Break in High Dimensional Panel, Econometrics Journal, September, 2021, with Lajos Horvath, Greg Rice, Yuqian Zhao. https://doi.org/10.1093/ectj/utab028
How to identify the different phases of stock market bubbles statistically? Financial Research Letters, August, 2021, with Lajos Horvath and Hemei Li. https://doi.org/10.1016/j.frl.2021.102366
Asymmetry, Tail Risk and Time Series Momentum，International Review of Financial Analysis，with Shanglin Lu, Shixuan Wang.https://doi.org/10.1016/j.irfa.2021.101938
Optimal Selling Time Before Stock Markets Crash in BRICS, Annals of Operations Research, with Sabri Boubaker, Xuyuan Han, Yaosong Zhan. https://doi.org/10.1007/s10479-021-04381-w
Industry Momentum with Correlation Consolidation: Evidence from China stock market, Journal of Asset Management, with Sabri Boubaker and Lechuan Du. https://doi.org/10.1057/s41260-021-00248-8
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
