Oscar Carchano

University of Valencia - Department of Financial Economics

Avda. de los Naranjos s/n

Valencia, Valencia E-46022

Spain

SCHOLARLY PAPERS

5

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Top 38,587

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2,451

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Calendar Anomalies in Stock Index Futures

Number of pages: 24 Posted: 13 Nov 2011
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 1,317 (29,057)
Citation 2

Abstract:

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calendar effect, stock index futures, simulation method

2.

Improving Pairs Trading Using Neural Network Techniques and Fundamental Ratios

Number of pages: 70 Posted: 18 Aug 2020
Jose Fernando Ospino, Luis Fernandez and Oscar Carchano
Andbank, Cepsa and University of Valencia - Department of Financial Economics
Downloads 681 (72,495)
Citation 2

Abstract:

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Pairs Trading, Trading Strategy, Co-Integration, Mean-Reverting Process, Neural Network, Machine Learning, Fundamental Ratios

3.

The Pan-European Holiday Effect

REFC - Spanish Journal of Finance and Accounting, Forthcoming
Number of pages: 26 Posted: 30 Jan 2015
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 207 (272,567)
Citation 1

Abstract:

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Pre-holiday effect, post-holiday effect, stock index futures, bootstrap, Monte Carlo

4.

Open and Closed Positions and Stock Index Futures Volatility

Number of pages: 29 Posted: 13 Nov 2011
Oscar Carchano, Julio J. Lucia and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics, University of Valencia - Faculty of Economics and University of Valencia - Department of Financial Economics
Downloads 157 (347,797)

Abstract:

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volatility, open interest. trading volume

5.

Rolling Over EUAs and CERs

Number of pages: 20 Posted: 06 Apr 2012
Oscar Carchano, Ángel Pardo Tornero and Vicente Medina
University of Valencia - Department of Financial Economics, University of Valencia - Department of Financial Economics and University of Valencia
Downloads 89 (528,246)
Citation 3

Abstract:

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Rollover criteria, European Union Allowances, Certificied Emissions Reduction, futures contracts, liquidity