Hong Liu
Fossett Distinguished Professor of
Finance
Campus Box 1133, One
Brookings Drive, St. Louis, MO 63130-4899
Telephone: (314) 935-5883, Fax: (314) 935-6359, e-mail: liuh@wustl.edu
Blackboard Stock Trade
Simulator WSJ
online
Comments,
Complaints, or Suggestions?
If you have any comments, complaints, and/or suggestions regarding to the course, please let me know. Your information is anonymous unless you choose to put your name in the message. Note also that I cannot reply unless you put your email address in the message.
SOME USEFUL
WEBSITES
· The Chicago Mercantile Exchange
· The Chicago Board Options Exchange
· Trade Futures and Options Online at Lionsfutures
· ALARON: Futures Trading and Information
· Trade Futures Online at Anco Futures
· Trade Futures Online at Direct Trade
· Free Online Trading Game in Futures and Options
· Quote, Chart and Many Goodies
Some research papers (need Acrobat Reader):
- Market Risk Premium Expectation: Combining Option Theory
with Traditional Predictors
(joint with Yueliang Lu, Weike Xu, Guofu Zhou), Accepted by 2024 AFA, working paper,
Washington University.
- Negative Information Revelation: Informed Sales Meet Short Sales
(joint with Xi Dong, Siyi Shen, and Yajun wang), Working paper, Washington University in St. Louis
- Fast
or Slow: Optimal Trading Strategies with Speed-Dependent Transaction Cost
(joint with Jing Xu), Revise and Resubmit, Operations Research.
- Circuit Breakers and Market Contagion: Theory and Evidence
(joint with Xiaoyang Li and Xudong Zeng), Reject and Resubmit, Journal of Financial Economics.
- Recovering
the FOMC Risk Premium (joint with Xiaoxiao
Tang and Guofu Zhou), forthcoming, Journal
of Financial Economics.
- Optimal
Consumption and Investment with Cointegrated
Stock and Housing Markets (joint with Yingshan
Chen, Min Dai, and Shan Huang), Accepted by 2020 WFA, working paper,
Washington University.
- Circuit
Breakers and Contagion (joint with Xudong
Zeng), Accepted by 2020 EFA, working paper, Washington University.
- A
Rational Theory for Disposition Effects (joint with Min Dai, Yipeng Jiang and Jing Xu), forthcoming, Review
of Economic Dynamics.
- Learning
and Predictability via Technical Analysis: Evidence from Bitcoin and
Stocks with Hard-to-Value Fundamentals (joint with Andrew Detzel, Jack Strauss, Guofu
Zhou, and Yingzi Zhu), Financial
Management 50, 2021, 107-137.
- Asset
Pricing Implications of Short-sale Constraints in Imperfectly Competitive
Markets (joint with Yajun Wang), 2019, Management
Science 65, 4422--4439.
- Market
Making with Asymmetric Information and Inventory Risk (joint with Yajun Wang), 2016, Journal of Economic Theory
163, 73-109.
- Optimal
Tax-timing with Asymmetric Long-term/Short-term Capital Gains Tax (joint
with Min Dai, Chen Yang, and Yifei Zhong), 2015, Review of Financial Studies
28, 2687-2721.
- Portfolio
Choice with Market Closure and Implications for Liquidity Premia (joint with Min Dai, Peifan
Li, and Yajun Wang), 2016, Management
Science 62 (2), 368-386.
- Solvency
Constraint, Underdiversification, and
Idiosyncratic Risks , 2014, Journal of
Financial and Quantitative Analysis 49, 409-430.
- Managerial
Preferences, Corporate Governance, and Financial Structure (joint with
Jianjun Miao), working paper, Washington
University.
- Market
Crashes, Correlated Illiquidity, and Portfolio Choice (joint with M. Loewenstein), 2013, Management Science
59, 715-732.
- Verification
Theorems for Models of Optimal Consumption and Investment with Retirement
and Constrained Borrowing (joint with Philip H. Dybvig),
2011, Mathematics of Operations Research 36, 620?35.
- Illiquidity,
Position Limits, and Optimal Investment for Mutual Funds (joint with
M. Dai, H. Jin), 2011, Journal of Economic
Theory 146, 1598-1630.
- Lifetime
Consumption and Investment: Retirement and Constrained Borrowing
(joint with Philip H. Dybvig), 2010, leading
article, Journal of Economic Theory 145, 885-907
- Limited
Participation and Consumption-Saving Puzzles: A Simple Explanation and the
Role of Insurance (with Todd Gormley and Guofu Zhou), 2010, Journal of Financial
Economics 96, 331-344.
- Liquidity
Premia and Transaction Costs (with B.G.
Jang, H.K. Koo, M. Loewenstein), 2007, Journal
of Finance 62, No. 5, 2329-2366.
- Rational
Inattention and Portfolio Selection (joint with Lixin
Huang), 2007, Journal of Finance 62, August, No. 4,
1999-2040. "This is an electronic version of an article published in
Journal of Finance complete citation information for the final version of
the paper, as published in the print edition of Journal of Finance, is
available on the Blackwell Synergy online delivery service, accessible via
the journal's website at www.blackwellpublishing.com/journals/jofi or
http://www.blackwell-synergy.com."
- Equilibrium
Forward Contracts on Non-storable Commodities in the Presence of Market
Power (joint with Lingxiu Dong), 2007, Operations
Research 55(1), 128-145.
- An
Analysis of VaR-based Capital Requirements
(joint with Domenico Cuoco), Journal of
Financial Intermediation 15, 2006, 362-394.
- So
What Orders Do Informed Traders Use? (with
Ron Kaniel), Journal of Business
79, July 2006, no. 4, 1867-1913.
- Option
Pricing with an Illiquid Underlying Asset Market (joint with Jiongmin Yong), 2005, Journal of Economic
Dynamics and Control 29, 2125-2156.
- Optimal
Consumption and Investment with Transaction Costs and Multiple Risky
Assets, 2004, Journal of Finance 59, No. 1., 289-338. "This is an electronic version of an
article published in Journal of Finance complete citation information for
the final version of the paper, as published in the print edition of
Journal of Finance, is available on the Blackwell Synergy online delivery
service, accessible via the journal's website at
www.blackwellpublishing.com/journals/jofi or
http://www.blackwell-synergy.com."
- Optimal
Portfolio Selection with Transaction Costs and Finite Horizons (joint
with Mark Loewenstein), Review of
Financial Studies, Vol. 15 (2002), 805-835.
- Optimal
Consumption of a Divisible Durable Good (joint with Domenico Cuoco), Journal of Economic Dynamics and Control,
Vol. 24 (2000), 561-613.
- A
Martingale Characterization of Consumption Choices and Hedging Costs with
Margin Requirements (joint with Domenico Cuoco),
Mathematical Finance, Vol. 10, No. 3 (July, 2000), 355-385.
Faculty
page
John M. Olin Business School | Washington University in St. Louis