Dr. Ke Xu

Dr. Ke Xu
Position
Assistant Professor
Economics
Credentials

PhD (Queen's)

Contact
Office: BEC 382

Ke Xu joined the Department of Economics in the summer of 2017. She successfully defended her PhD thesis in Economics at Queen's University in September.

Dr. Xu’s research interests are financial market microstructure theory and empirics, applied time series analysis, and macroeconomics. In her recent work, she has examined the effect of high frequency trading on market liquidity in an environment with asymmetric information.

Her publications have appeared in the Journal of Emprical Finance and Journal of Futures Markets.

Interests

  • Financial market microstructure
  • Applied time series analysis
  • Macroeconomics

Courses

Selected publications

  • "Who Makes the Market During Stressed Periods? HFTs vs. Dealers" (September 29, 2017).  Available at SSRN: https://ssrn.com/abstract=3045506
  • "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model" (with Sepideh Dolatabadi, Paresh Narayan and Morten Ørregaard Nielsen), Journal of Futures Markets, 2017; 1–24. doi/10.1002/fut.21866.
  • "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets" (with Sepideh Dolatabadi and Morten Ørregaard Nielsen), Journal of Empirical Finance 38B, 623-639, 2016 
  • "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets" (with Sepideh Dolatabadi and Morten Ørregaard Nielsen), Journal of Futures Markets 35, 339-356, 2015