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Purple City

Prof Shuping Shi

Macquarie University, Sydney Australia


Shuping Shi is a Professor at Macquarie University. She joined Macquarie University as a Senior Lecturer in 2014, and her previous position was with the Australian National University as a Lecturer (2011 – 2014).

Shi is an econometrician with a theoretically grounded and policy-relevant research agenda in the field of Financial Econometrics and Applied Economics. She has published in top-tier academic journals, including the Journal of Econometrics, International Economic Review, Econometric Theory, Journal of Financial Econometrics, and Journal of Banking and Finance.

She is also one of the developers of the PSY technique, a real-time bubble monitoring technique used by many institutions (e.g., the Federal Reserve Bank of Dallas, Clinton Group, Hong Kong Monetary Authority, De Nederlandsche Bank, and Central Bank of Colombia). The total number of citations of her journal articles since 2014 is over 1,000 (Google Scholar as of June 2019).

Learn with Prof Shi


Prof Sébastien Laurent
Prof. Shuping Shi

The purpose of this course is to provide students with an introduction to various methods applicable to high-frequency financial data. This includes the study of the statistical properties of these series such as heteroskedasticity, periodicity, the presence of jumps and microstructure noise.

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