Skip to main content
Photo of Dr. Ke Xu outdoors

Associate professor


On leave
Office: BEC 382 250-721-6484
PhD (Queen's)
Area of expertise:
Financial market microstructure theory and empirics, applied time series analysis, macroeconomics


Dr. Xu joined our department in 2017 after obtaining her PhD from Queen's University. Dr. Xu is deeply passionate about the field of finance and its potential to drive positive change in society. Dr. Xu’s research interests lie at the intersection of financial market microstructure and quantitative finance. Her recent works focus on understanding the effects of new technologies on market efficiency, information structure in fragmented markets, and the application of machine learning in finance. Through her research, she seeks to shed light on the dynamics, challenges, and opportunities within this field.

Her publications have appeared in the Journal of Banking and Finance, Journal of Empirical Finance and Journal of Futures Markets.


  • financial market microstructure
  • applied time series analysis
  • macroeconomics


Selected publications

  • Xu, K., Chen, Y.-L., Liu, B., & Chen, J. (2024). Price discovery and long-memory property: Simulation and empirical evidence from the bitcoin market. The Journal of Futures Markets, 1–14.

  • "Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market," with Yu-Lun Chen and Jimmy Yang, 2023, International Review of Financial Analysis.
  • "Non-standard errors," with Albert Menkveld et al., 2023,  Journal of Finance, forthcoming.
  • "High frequency market making during stressed periods," 2023,  International Review of Economics and Finance 87: 379-397.
  • “Novel modelling strategies for high-frequency stock trading data," with Xuekui Zhang, Yuying Huang and Li Xing, 2023, Financial Innovation 9(1): 1-25.
  • "The impact of RMB's SDR inclusion on price discovery in onshore-offshore markets," with Yu-Lun Chen, 2021, Journal of Banking and Finance 127:106124.
  • "Fractional cointegration in Bitcoin spot and futures markets," with Jinghong Wu, Xinwei Zheng and Jian Chen, 2021, Journal of Futures Markets 41(9): 1478-1494.
  • "Stock market openness and market quality: evidence from the Shanghai-Hong Kong Stock Connect Program," with Xinwei Zheng, Deng Pan, Li Xing and Xuekui Zhang, 2020, Journal of Financial Research 43(2): 373-406.
  • "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," with Sepideh Dolatabadi, Paresh Narayan and Morten Ørregaard Nielsen, 2018, Journal of Futures Markets 38(2): 219-242.
  • "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets" with Sepideh Dolatabadi and Morten Ørregaard Nielsen, 2016, Journal of Empirical Finance 38(B):623-639 
  • "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets" (with Sepideh Dolatabadi and Morten Ørregaard Nielsen, 2015, Journal of Futures Markets 35(4):330-356.