Dr. Ke Xu

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

• ECON 435, Financial Economics

Selected publications

• "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 90: 102896
• "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.
• “Fractional cointegration and price discovery in Canadian commodities,'' with Kenneth Stewart, and Zeyang Cao, 2022, North American Journal of Economics and Finance 63: 101799, https://doi.org/10.1016/j.najef.2022.101799
• “COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover,” with Michael Di, 2022, Finance Research Letters 50: 103289, https://doi.org/10.1016/j.frl.2022.103289.
• "Trade friction and price discovery in the USD-CAD spot and forward Markets" with Stella Yan, Victor Song and Jian Chen, 2022, North American Journal of Economics and Finance 59: 101628
• “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.