Dr Linqi Wang
Lecturer in Financial Mathematics
School of Mathematical Sciences
Queen Mary University of London
Research
Financial Econometrics, Time Series, Forecasting, Quantitative Finance
Interests
Linqi Wang is a Lecturer in Financial Mathematics at the School of Mathematical Sciences. Her research revolves around the development of new modelling approaches to better capture the key features of financial market data. In particular, she focuses on the measurement and estimation of volatility, correlation, and liquidity with applications to portfolio allocation, risk management and asset pricing.
Publications
Publications of specific relevance to the Centre for Probability, Statistics and Data Science
2024
Dynamic portfolio selection with sector-specific regularizationHafner CM and
Wang L Econometrics and Statistics,
Elsevier vol. 32, 17-33.
01-10-2024 2023
A dynamic conditional score model for the log correlation matrixHafner CM and
Wang L Journal of Econometrics,
Elsevier vol. 237 (2)
01-12-2023 Dynamic Autoregressive Liquidity (DArLiQ)Hafner CM, Linton OB and
Wang L Journal of Business and Economic Statistics,
Taylor & Francis vol. 42 (2), 774-785.
19-09-2023 2022
Asymmetric short-rate model without lower boundVrins F and
Wang L Quantitative Finance,
Taylor & Francis vol. 23 (2), 279-295.
21-12-2022
