Faculty Profile

Education

2021  Ph.D. in Statistics and Data Science (Part-time)
           National University of Singapore

2015  M.S. in Business Analytics (Full-time)
           National University of Singapore

2012  B. Eng. in Electronic Science and Technology (Full-time)
           Beijing Technology and Business University

Current Position (s) Held

2022 - Now                       Assistant Professor of Quantitative Finance (Practice)
                                           Lee Kong Chian School of Business, Singapore Management University

Apr 2019 - Jun 2022        Manager, Advanced Analytics
                                           Standard Chartered Bank, Singapore

Aug 2015 - Apr 2019       Analytics Manager
                                           Marina Bay Sands, Singapore

Jan 2013 - Jul 2014          Technical Support
                                           IBM, China
 

Research Interests

Generalization in deep learning, sparse estimation, portfolio optimization using reinforcement learning, financial text mining, risk management, Bayesian optimization

Awards and Certificates

Best Ph.D. Graduate Research Award, Department of Statistics and Data Science, NUS, 2020
National Scholarship of China, School of Computer and Information Engineering, BTBU, 2009
Google TensorFlow Developer Certificate, 2020 - 2023
Project Management Professional, 2013 - 2017

Publications

• Peng Liu. Seeking Better Sharpe Ratio via Bayesian Optimization. Journal of Portfolio Management (JPM), 2023
• Peng Liu, Haowei Wang, Qiyu Wei. Bayesian Optimization with Switching Cost: Regret Analysis and Lookahead Variants. International Joint Conference on Artificial Intelligence (IJCAI), 2023
• Peng Liu. An Integrated Framework on Human-in-the-Loop Risk Analytics. The Journal of Financial Data Science (JFDS) 5 (1): 58-64, 2023
• Peng Liu. A Review on Derivative Hedging using Reinforcement Learning, The Journal of Financial Data Science (JFDS) 5 (2): 136-145, 2023
• Chen Zichuan,Peng Liu. Towards Better Data Augmentation using Wasserstein Distance in Variational Auto-encoder, IEEE International Conference in Image Processing (ICIP), pp. 81-85, 2022
• Peng Liu, Ying Chen, Chung-Piaw Teo. Limousine Service Management: Capacity Planning with Predictive Analytics and Optimization, INFORMS Journal on Applied Analytics (IJAA), Vol. 51. No. 4, 2021

Books

• Peng Liu, Practical Bayesian Optimization: Theory and Practice Using Python, Apress, 2023
• Peng Liu, Regularization in Deep Learning, Manning Publications (to appear in 2023)
• Peng Liu, The Statistics and Machine Learning with R Workshop, Packt, (to appear in 2023)
• Peng Liu, Quantitative Trading Strategies with Python, Apress (to appear in 2023)
• Peng Liu, Deep Reinforcement Learning in Portfolio Management (work in progress)
• Peng Liu, Bayesian Complementarity in Deep Learning (work in progress)