Rand Kwong Yew Low

University of Queensland Business School

PhD

Building 37-411, Joyce Ackroyd

St Lucia

Brisbane, QLD 4122

Australia

http://www.business.uq.edu.au/staff/details/rand-low

SCHOLARLY PAPERS

12

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5,165

CITATIONS

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Scholarly Papers (12)

1.

The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods

Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert W., The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods, Quantitative Finance, DOI: org/10.1080/14697688.2016.1164337
Number of pages: 35 Posted: 05 Jun 2015 Last Revised: 19 May 2016
Hossein Rad, Rand Kwong Yew Low and Robert W. Faff
University of Queensland Business School, University of Queensland Business School and University of Queensland
Downloads 3,228 (3,109)

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pairs trading, copula, cointegration, quantitative strategies, statistical arbitrage

2.

Does Sophistication of the Weighting Scheme Enhance the Performance of Long-Short Commodity Portfolios?

Number of pages: 43 Posted: 04 Jun 2017 Last Revised: 10 May 2019
Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert W. Faff
University of Queensland Business School, University of Queensland Business School, Audencia Nantes School of Management and University of Queensland
Downloads 526 (50,706)

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long-short portfolios, equal weights, optimized weights, risk-timing weights

3.

Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 03 May 2013
University of Queensland Business School, The University of Sydney Business School, University of Queensland and University of Queensland
Downloads 393 (72,504)

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vine copula, clayton copula, asymmetric dependence, portfolio management, canonical vine, Conditional Value-At-Risk

4.

Enhancing Mean-Variance Portfolio Selection by Modeling Distributional Asymmetries

Number of pages: 34 Posted: 03 May 2013 Last Revised: 21 Oct 2015
Rand Kwong Yew Low, Robert W. Faff and Kjersti Aas
University of Queensland Business School, University of Queensland and Norwegian Computing Center
Downloads 307 (96,062)

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elliptical copula, asymmetric marginals, mean-variance, portfolio management

5.

BV-VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets

Number of pages: 27 Posted: 08 Jun 2016
Rand Kwong Yew Low, Te Li and Terry Marsh
University of Queensland Business School, Columbia University and Quantal International Inc.
Downloads 227 (131,567)

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VPIN, Bulk Volume Classification, international equities, liquidity, order flow toxicity

6.

Vine Copulas: Modeling Systemic Risk and Enhancing Higher-Moment Portfolio Optimization

Number of pages: 35 Posted: 03 May 2013 Last Revised: 21 Oct 2015
Rand Kwong Yew Low
University of Queensland Business School
Downloads 199 (149,073)

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higher moment optimization, behavioral finance, vine copula, clayton copula, correlation asymmetries, dependence modeling, portfolio management, S-curve, utility functions

7.

The Role of Analysts' Forecasts in the Momentum Effect

Number of pages: 51 Posted: 01 Mar 2016
Rand Kwong Yew Low and Enoch Tan
University of Queensland Business School and University of Queensland
Downloads 175 (167,554)

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momentum, analyst forecasts, 52-week high, recency

8.

Diamonds vs. Precious Metals: What Shines Brightest in Your Investment Portfolio?

Number of pages: 30 Posted: 22 Oct 2015
Rand Kwong Yew Low, Yiran Yao and Robert W. Faff
University of Queensland Business School, University of Queensland and University of Queensland
Downloads 107 (247,591)

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gold, diamonds, safe haven, hedges, precious metals

9.

Vine Copulas: Modelling Systemic Risk and Enhancing Higher‐Moment Portfolio Optimisation

Accounting & Finance, Vol. 58, pp. 423-463, 2018
Number of pages: 41 Posted: 23 Oct 2018
Rand Kwong Yew Low
University of Queensland Business School
Downloads 1 (633,452)
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portfolio management, behavioural finance, vine copula, Clayton copula, asymmetric dependence

10.

BV–VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equity Markets

Journal of Risk, Forthcoming
Number of pages: 35 Posted: 30 Jul 2018
Rand Kwong Yew Low, Te Li and Terry Marsh
University of Queensland Business School, Columbia University and Quantal International Inc.
Downloads 1 (633,452)
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VPIN, bulk volume classification, international equities, liquidity, order flow toxicity.

Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing

Journal of Risk, Forthcoming
Number of pages: 33 Posted: 19 Apr 2018
Necmi K. Avkiran, Christian Ringle and Rand Kwong Yew Low
University of Queensland - Business School, University of Hamburg and University of Queensland Business School
Downloads 1 (665,168)
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structural equation modeling, partial least squares, path model, contagion of systemic risk, shadow banking, bank holding companies.

12.

Cryptocurrency: Tulip Mania or Digital Promise for the Millennial Generation?

Posted: 17 Oct 2018 Last Revised: 20 Jan 2019
Rand Kwong Yew Low and Terry Marsh
University of Queensland Business School and Quantal International Inc.

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cryptocurrency, bitcoin, etheresum, ripple, dash, litecoin, crash, boom