Faculty Profile

LIU Peng

Full-time Faculty

Assistant Professor of Quantitative Finance (Practice)

Lee Kong Chian School of Business LKCSB

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

Antoine Ledent, Peng Liu. Explainable Neural Networks with Guarantees: A Sparse Estimation Approach, Association for the Advancement of Artificial Intelligence (AAAI), 2025
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, The Statistics and Machine Learning with R Workshop, Packt, 2023
Peng Liu, Quantitative Trading Strategies with Python, Apress, 2023
Peng Liu, Generalization in Deep Learning, CRC (to appear in 2025)
Peng Liu, Deep Reinforcement Learning for Portfolio Optimization, CRC, (to appear in 2025)
Peng Liu, Quantitative Risk Management with Python, Apress (to appear in 2025)

Courses taught

UG: COR1201 (Calculus), QF206 (Quantitative Trading Strategies), QF209 (Machine Learning in Quantitative Finance)
PG: QF624/FNCE6065 (Machine Learning and Financial Applications, MQF & MAF), FNCE685 (Financial Risk Management, MBA)