Ruming Liu

My name is Ruming Liu (刘入铭), I am currently a Finance Ph.D. candidate at Stevens Institute of Technology (SIT), my research interests are Blockchain, Cryptocurrency and Fintech (Resume). I’m also a co-founder of social media ideaGround LLC, we are actively hiring talented blockchain scientists and seeking pre-seed and seed round funding. If you’re interested in joining our team or supporting our vision, please don’t hesitate to get in touch!

Previously, I was a Financial Engineering Client Service Specialist at Moody’s Analytics (MA) in San Francisco. I supported some credit risk products and credit rating data of Moody’s: CreditEdge, RiskCalc, RiskFrontier and Moody’s Investor Service(MIS) rating data.

I earned my Master’s degree of Mathematical Finance at University of Southern California (USC) in 2021 in the United States and earned my Bachelor’s degree of Finance at Jiangxi University of Finance and Economics (JUFE) in 2019 in China. I also attended the Extension Program of Statistics at University of California, San Diego (UCSD) in 2018 in the United States.

During my undergraduate study, I attended some internship programs at China International Capital Corporation (CICC) as Derivative Analyst, China Merchant Bank (CMB) as Financial Data Analyst, China International Trust and Investment Corporation (CITIC) as Stock Trading Assistant.

Projects and Articles

I am quite interested in quantitaive investment, quantitative risk management and decentralized finance topics. I wrote some articles (Including Financial Mathematics, Statistics, Probability, Defi, Simulation, etc) during the past few years, some of them are wrote in Chinese and published on Zhihu, the rest are wrote in English and can be found in my Github repository. I also did some academic projects during my University study. These projects and articles can also be found below.

Researches and Projects

• Sentiment in the Cross Section of Cryptocurrency Returns(EN): We find an anomoly associated with the cryptocurrency market sentiment. Our findings indicate that cryptos with high sensitivities to sentiment tend to yield lower returns in the following period. We introduce a sentiment factor to explain the sentiment-related anomoly.
• Pricing and Arbitrage Across 80 Cryptocurrency Exchanges(EN): We explore variations in cryptocurrency pricing across 80 cryptocurrency exchanges worldwide. Arbitrage spreads are higher in non-US domiciled exchanges, decentralized exchanges, non-trustworthy, and relatively illiquid exchanges. Stablecoins exhibit smaller arbitrage spreads than other tokens.
• Manipuation and Spoofing in Bitcoin Order Book(EN): We find that order book imbalances significantly increase Bitcoin returns at minute and hourly levels. We introduce an innovative methodology for measuring the intensity of spoofing activities.
• IdeaGround Social Media Economics(EN): White paper of ideaGround LLC. We introduce the next generation of social media ecosystem based on a novel distribution named social media economics.
• Front-running Game Between Miners and Traders in Blockchain(EN): We discussed the equlibrium model of a game in DPoS. We form a signalling game between the miners (validators) and traders (voters). We analyze some situations in which the DPoS blockchain may fail. We discuss in some situations, blockchain can work under the collaboration.
• The Thoughts on the Internationalization of Chinese RMB(EN): The dissertation of my Bachelor’s Degree. It compares the development of RMB with other international currencies and forecasts the future of RMB from macro-economics and politics point of view.
• A Possible Way to Search Pairs Trading Arbitrage(EN): Directed Research of my Master’s program. It finds a new possible way to search stock pairs which exist arbitrage opportunity and uses dynamic programming method to make trading strategy.
• Cointegration Method of Statistical Arbitrage(EN): Time Series and Econometrics course project. It applies cointegration method and ARMA-GARCH model to analyze spread in stock market, and forecasts the convergence situation of the spread.
• Predator Project: Decentralized Exchange Flash Loan Arbitrage Project.

1. Financial Mathematics
   • Stochastic Discount Factor, CCAPM, CAPM, and Black Scholes PDE(EN)
   • Barra Pure Factor Portfolio(EN)
   • Investment Based CAPM: q-Factor Model(EN)
   • Arbitrage Pricing Theory, and Multi-Factor Models(EN)
   • Linear Stochastic Discount Factor, and Factor Models(EN)
   • Stochastic Discount Factor and Risk Neutral Measure(EN)
   • Generalized Method of Moments(EN)
   • Interest Rate Term Structure Notes(EN)
   • Short Rate Model(EN)
   • Heath-Jarrow-Morton Framework(CN)
   • Option Pricing of Stock with Dividend(CN)
   • Fundamental Theorems of Asset Pricing(CN)
   • Risk Neutral and PDE method of American Option(CN)
   • Risk Neutral and PDE method of Black-Scholes model(CN)
   • Stochastic Calculus(CN)
   • Fundamental Arbitrage Theorems of Mathematica Finance(CN)
   • Hedging Strategy of American Option(CN)
   • American Option and Stopping Process(CN)
   • Optimal Stopping Time and Doob Meyer Decomposition(CN)
   • Martingale, Conditionnal Expectation and Binomial Tree(CN)
   • Filtration, Martingale and Conditionnal Expectation(CN)
   • Binomial Tree Model[2](CN)
   • Binomial Tree Model[1](CN)
2. Game Theory and Equilibrium
   • Grossman(1976) Rational Expectation Equilibrium Price(EN)
   • Hellwig(1980), Grossman-Stiglitz Paradox(1980), CARA-Gaussian Rational Expectation Equilibrium Price(EN)
   • Glosten-Milgrom(1985) Bid Ask Spread(EN)
   • Kyle(1985) Insider Trading(EN)
   • Arrow-Debreu Security(1954)(EN)
   • Lucas Tree Model(1978)(EN)
   • Equilibrium Refinements in Game Theory(EN)
   • Repeated Game(EN)
   • Front Running Game in blockchain(EN)
   • A Sequential Signalling Model of Convertible Debt Call Policy(EN)
3. Corporate Finance Seminar Slides
   • For Better or Worse? The Economic Implications of Paid Sick Leave Mandates(EN)
   • Buy, Invent or Both?(EN)
   • Does Social Media Reduce Corporate Misconduct?(EN)
   • Owner Culture and Pay Inequality within Firms(EN)
   • The Ownership Structure of U.S. Corporations(EN)
4. Probability and Statistics
   • Probability Convergence Concepts(EN)
   • Lebesugue Measure(CN)
   • Abstract Measure(CN)
   • Convergence Theorem(CN)
   • Random Variables and Random Process(CN)
   • Sufficient Statistics(CN)
   • Point Estimation(CN)
   • Asymptotic Theory(CN)
5. Dencentralized Finance / Financial Technology
   • Blockchain Literature Review(EN)
   • Blockchain Litereture Review Slide(EN)
   • Sex Drugs and Bitcoin How Much Illegal Activity Is Financed through Cryptocurrencies(EN)
   • The Mechanics of Curve Leverage AMM(CN)
   • The Mechanics of Balancer Index Fund AMM(CN)
   • The Mechanics of Uniswap-V3 AMM(CN)
   • Some Ideas on Cryptocurrency Market(CN)
6. Financial Simulation
   • Variance Reducation Techniques(EN)
   • Simulation of Short Rate Model and Forward Rate under H-J-M framework(CN)
7. Miscellaneous
   • Maximum Likelihood Estimation for ARMA-GARCH(EN)
   • Referee Report for th Paper A Bias of Screen(EN)
   • Brief History of Fannie Mae, Freddie Mac and Ginnie Mae(CN)

Professional Skills

Here are some practical tools I use in my work.

Programming Languages: Python, Matlab, Rust, JavaScript, Solidity, Broniew Framework

Statistical Softwares: R, SPSS, SAS

Database: MySQL

Typesetting Softwares: LaTeX, HTML, Markdown