Rand Kwong Yew Low

University of Queensland

Honorary Senior Fellow

Building 37-411, Joyce Ackroyd

St Lucia

Brisbane, QLD 4122

Australia

http://researchers.uq.edu.au/researcher/9214

Bond University

Associate Professor of Quantitative Finance

Gold Coast, QLD 4229

Australia

http://bond.edu.au/intl/profile/rand-low#:~:text=Rand%20Low%20is%20an%20Associate,at%20the%20Bond%2

  • University of Queensland

  • Bond University

SCHOLARLY PAPERS

19

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10,903

SSRN CITATIONS
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Top 19,551

in Total Papers Citations

43

CROSSREF CITATIONS

19

Scholarly Papers (19)

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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 and University of Queensland
Downloads 5,710 (2,504)
Citation 21

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

2.

Corporate Credit Rating Feature Importance: Does ESG Matter?

Number of pages: 82 Posted: 23 Feb 2021 Last Revised: 16 Aug 2021
Lachlan Michalski, Lachlan Michalski and Rand Kwong Yew Low
University of QueenslandUniversity of Queensland - Faculty of Business, Economics and Law and University of Queensland
Downloads 987 (40,513)
Citation 3

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Corporate credit ratings, ESG, statistical learning, SHAP

3.

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

Journal of Empirical Finance, Vol. 58, 2020
Number of pages: 43 Posted: 04 Jun 2017 Last Revised: 16 Sep 2020
Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert W. Faff
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 744 (59,482)

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

4.

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
Rand Kwong Yew Low, Jamie Alcock, Robert W. Faff and Timothy Brailsford
University of Queensland, University of Oxford, University of Queensland and University of Queensland
Downloads 644 (71,714)
Citation 11

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

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, Columbia University and Quantal International Inc.
Downloads 635 (73,014)
Citation 1

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

6.

The Commodity Risk Premium and Neural Networks

Journal of Empirical Finance, Vol. 74, No. 101433, 2023
Number of pages: 43 Posted: 01 Apr 2021 Last Revised: 30 Nov 2023
Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert W. Faff
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 624 (74,731)

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commodity futures, risk premium, macroeconomic variables, financial variables, neural network, deep neural learning, recurrent neural network

7.

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, University of Queensland and Norwegian Computing Center
Downloads 388 (132,153)
Citation 4

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

8.

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 and University of Queensland
Downloads 274 (191,528)
Citation 4

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momentum, analyst forecasts, 52-week high, recency

9.

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
Downloads 270 (196,530)

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

10.

The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures

Journal of Commodity Markets, 2022, 100259
Number of pages: 46 Posted: 08 Jul 2021 Last Revised: 09 Jan 2023
Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert W. Faff
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 198 (262,617)

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Commodity futures, Style integration, Strategic asset allocation, Diversification

11.

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, University of Queensland and University of Queensland
Downloads 171 (297,526)
Citation 2

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gold, diamonds, safe haven, hedges, precious metals

12.

The Role of IPO Proceeds on Survival of Companies: A Survival Analysis Approach

Number of pages: 39 Posted: 15 Feb 2023
Siti Sarah Alyasa Gan, Norliza Che Yahya and Rand Kwong Yew Low
Universiti Teknologi MARA (UiTM), Universiti Teknologi MARA and University of Queensland
Downloads 75 (536,650)

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Initial Public Offerings, Survival Analysis, Accelerated Failure Time, Emerging Markets, Malaysia

13.

Understanding Dynamic Volatility Spillovers Amongst Major Commodity Futures and the US Stock Market

Number of pages: 56 Posted: 18 Jul 2023
Shietal Ramesh and Rand Kwong Yew Low
Bond Business School and University of Queensland
Downloads 64 (588,831)

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Commodity futures, SPX, volatility spillover indices, TVP-VAR-SV, Bayesian Sampling, crises

14.

Determinants of Corporate Credit Ratings: Does ESG Matter?

Number of pages: 46 Posted: 19 Aug 2023
Lachlan Michalski and Rand Kwong Yew Low
affiliation not provided to SSRN and University of Queensland
Downloads 49 (662,213)

Abstract:

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Corporate credit ratings, ESG, statistical learning, SHAP

15.

Regression Analysis Applicability in Investigating Mining Technology and Macroeconomic Impact on Mining Companies’ Share Price – Case Study: Iron Ore Suppliers

Number of pages: 34 Posted: 11 Feb 2023
Pilot Mugebe, Mehmet Kizil, Mohsen Yahyaei and Rand Kwong Yew Low
affiliation not provided to SSRN, University of Queensland, affiliation not provided to SSRN and University of Queensland
Downloads 34 (761,671)

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Autonomous haulage system, Iron ore production, Regression analysis, Stock price, Forecasting

16.

Foundation of a Framework for Evaluating the Impact of Mining Technological Innovation on a Company's Market Value

Number of pages: 25 Posted: 16 Feb 2022
Pilot Mugebe, Mohsen Yahyaei and Rand Kwong Yew Low
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Queensland
Downloads 34 (761,671)

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Mining technological innovation, Autonomous haulage system, Productivity, Mining costs, Stock market value

17.

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, Columbia University and Quantal International Inc.
Downloads 1 (1,046,632)
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VPIN, bulk volume classification, international equities, liquidity, order flow toxicity.

18.

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

Downloads 1 (1,046,632)
Citation 2

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
Downloads 1 (1,091,075)
Citation 2
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structural equation modeling, partial least squares, path model, contagion of systemic risk, shadow banking, bank holding companies.

19.

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 and Quantal International Inc.

Abstract:

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