Publication for High-Frequency Financial Econometrics and Real-World Applications
Dr Kefu Liao
Pathway: Management and Business
Department: The Albert Gubay Business School
University: Bangor University
Mentor: Professor Adrian Gepp
Project Summary
Intraday price trends contain valuable information in financial markets. However, their usefulness remains underexplored because of the challenges involved in identification and measurement with high-frequency data. The fellowship will advance the estimation of intraday price trends and explore their implications for asset pricing and risk management across multiple markets such as equity, commodity, bond and foreign exchange.
The project will also explore the practical value of price trends for dynamic pricing among small firms in North Wales. It will investigate digital tools, such as interactive web applications, to help businesses identify market opportunities, optimize pricing strategies, and support their digital transformation.
Goals for the Fellowship
Building on my PhD training, I aim to strengthen three areas essential for becoming a leading academic researcher:
- To revise PhD chapters into journal-ready papers, informed by feedback from mentors, editors, and reviewers, with the aim of targeting leading journals.
- To participate in leading international conferences, including the Society for Financial Econometrics Annual Conference, to expand my global research network and visibility.
- To advance my understanding of applying data analytics and econometrics knowledge in a real-world business setting through pilot testing, model refinement, and knowledge transfer, while strengthening the basis for future funding applications.
Advice for Future Applicants
Future applicants can consider producing high-quality publications while clearly demonstrating how academic research can generate real-world impact. Practical applications, such as industry prototype, policy engagement, or knowledge transfer, are particularly valuable when integrated into the research plan.
Publications
Liao, K. The Role of Price-Volatility Cojumps in Volatility Forecasting
Published, Journal of Futures Markets (ABS3), 2026, https://doi.org/10.1002/fut.70091
Liao, K. Realized Drift and Equity Premium
Published, Finance Research Letters (ABS2), 2026, https://doi.org/10.1016/j.frl.2026.110284
Google Scholar: https://scholar.google.com/citations?user=cQmblLAAAAAJ&hl=en&oi=ao
ORCID: 0009-0003-9082-6622
Google Site: https://sites.google.com/view/kefuliao/home
Email: k.liao@bangor.ac.uk