Jason Laws

University of Liverpool - Accounting and Finance Division

Professor

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 3,788

SSRN RANKINGS

Top 3,788

in Total Papers Downloads

9,998

1

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (8)

1.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 5,409 (1,270)

Abstract:

Loading...

Price shock, overreaction, delayed reaction, contrarian profits, multi-factor models

2.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 03 Jun 2013
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool - Accounting and Finance Division
Downloads 1,532 (10,956)

Abstract:

Loading...

High-frequency data, statistical arbitrage, pairs trading, cointegration, time adaptive models

3.

Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

ETF Risk, 2013, October, 36-41
Number of pages: 24 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 1,056 (19,493)

Abstract:

Loading...

Mean reversion, ETFs, pairs trading, autocorrelation

4.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Jozef Rudy, Christian Dunis and Jason Laws
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool - Accounting and Finance Division
Downloads 773 (30,569)

Abstract:

Loading...

Statistical arbitrage, ETFs, pairs trading, time adaptive models

5.

Pairs Trading, Technical Analysis, and Data Snooping: A Two-layer Manipulation-proof Performance Approach

Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 10 May 2019
University of St Andrews School of Economics and Finance, University of Liverpool - Accounting and Finance Division, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 589 (44,206)

Abstract:

Loading...

Pairs Trading, Technical Analysis, Data Snooping, Transaction Costs

6.

Investor Sentiment and Forecasting Ability: Evidence from COT Reports in Precious Metal Futures Markets

Number of pages: 41 Posted: 22 Jan 2014 Last Revised: 07 Apr 2017
Yang Zhang and Jason Laws
Northwestern University and University of Liverpool - Accounting and Finance Division
Downloads 374 (77,204)

Abstract:

Loading...

Investor Sentiment, Forecasting Ability, COT Reports

7.

Performance of Technical Trading Rules: Evidence from the Crude Oil Market

The European Journal of Finance, Volume , pp 1-23, October 2018, DOI: 10.1080/1351847X.2018.1552172 (Previously, it was entitled "Technical Trading, False Discoveries and Familywise Errors: The Case of Crude Oil")
Number of pages: 54 Posted: 31 Aug 2016 Last Revised: 06 Dec 2018
University of St Andrews School of Economics and Finance, University of Liverpool - Accounting and Finance Division, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 259 (115,723)

Abstract:

Loading...

Crude Oil; Technical Trading; Data Snooping; Transaction Costs; Persistence; Market Efficiency

8.

Cross-Border Exchanges and Volatility Forecasting

Forthcoming in Quantitative Finance, 2018
Number of pages: 30 Posted: 02 Aug 2018
University of Liverpool - Management School (ULMS), University of Liverpool - Management School (ULMS), University of Stirling - Department of Accounting and Finance and University of Liverpool - Accounting and Finance Division
Downloads 6 (595,162)

Abstract:

Loading...

volatility forecasting; exchange groups; feedback trading; global financial crisis

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Forecasting and Trading the EUR/USD Exchange Rate with Stochastic Neural Network Combination and Time-Varying Leverage

Decision Support Systems, Volume 54, Issue 1, December 2012, pp. 316-329
Posted: 17 Apr 2013 Last Revised: 21 Apr 2013
University of Glasgow, John Moores University - Business School, University of Liverpool - Accounting and Finance Division and University of Glasgow, Department of Economics

Abstract:

Loading...

Psi Sigma network, Recurrent Network, Forecast combinations, Kalman Filter, LASSO, Leverage