About Me

My name is Ruming Liu (刘入铭). I am currently a Finance Ph.D. candidate at Stevens Institute of Technology (SIT), and my research interests are Blockchain, Cryptocurrency, and FinTech (Resume, CV). I am very fortunate to be advised by Prof. Jingrui Li.

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

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

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

I have also applied my research on blockchain and AI to a few independent technical projects, including OpenContract and ideaGround.

Research Papers

Sentiment in the Cross Section of Cryptocurrency Returns
- We find an anomaly associated with 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 anomaly. Keynote Here
- Presented at the FMA (2024) Annual Meeting in Grapevine, TX
- Qualified for Best Paper Award at 2024 International Conference of Taiwan Finance Association
- CryptoSent Index (Last 6 Months):

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Price Dispersion under Arbitrage Frictions: Evidence from Centralized and Decentralized Cryptocurrency Exchanges
- Revise and Resubmit at Journal of Financial and Quantitative Analysis (JFQA)
- 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. Keynote Here
- Live Exchange Price Monitor (BTC/ETH/SOL intraday):

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The Impact of Spoofing on Bitcoin Market Microstructure
- Scheduled for presentation at 2nd INFORMS Conference on Financial Engineering and Fintech
- Our paper was presented by Dr. Li at SWUFE Seminar in Chengdu, China. Keynote Here
- 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. Poster Here
- Bitcoin Order Book Imbalance (Last 60 Mins):

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Cryptocurrency Mutual Fund
- Keynote Here
- Digital Asset Treasury Holdings
- Strategy (MSTR) Bitcoin Treasury Case Study (2023–present):

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Deep Stochastic Discount Factor of Asset Pricing
IdeaGround Social Media Economics
- White paper of ideaGround LLC. We introduce the next generation of social media ecosystem based on a novel distribution system named social media economics. Pitch Here
- Read All

Projects

Reinforcement Learning Notes for Financial Studies: Notes of methodologies in reinforcement learning algorithms and the applications in financial studies.
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Bitcoin Technical Analysis by Convolutional Neural Network: I consider using convolutional neural networks for technical analysis of Bitcoin candlestick patterns. I explore several CNN structures, including a custom 5-layer CNN, VGG-based networks, and ResNet. Comparative experiments are conducted to evaluate the performance of each architecture in capturing relevant visual features and supporting predictive analysis in a volatile financial context.
Autoencoder Asset Pricing: Replication of Gu, S., Kelly, B. and Xiu, D., 2021. Autoencoder asset pricing models. Journal of Econometrics, 222(1), pp.429-450.
Front-running Game Between Miners and Traders in Blockchain: I discuss the equilibrium model of a game in DPoS. I form a signalling game between the miners (validators) and traders (voters). I analyze some situations in which the DPoS blockchain may fail. But in some situations, blockchain can work through collaboration.
The Thoughts on the Internationalization of Chinese RMB: The dissertation of my Bachelor’s degree. It compares the development of RMB with other international currencies and forecasts the future of RMB from macroeconomic and political points of view.
A Possible Way to Search Pairs Trading Arbitrage: Directed research from my Master’s program. It finds a new possible way to search for stock pairs that present arbitrage opportunities and uses a dynamic programming method to develop a trading strategy.
Cointegration Method of Statistical Arbitrage: Time Series and Econometrics course project. It applies the cointegration method and ARMA-GARCH model to analyze spreads in the stock market and forecasts the convergence of the spread.
Predator Project: Decentralized Exchange Flash Loan Arbitrage Project.