Jason Laws

University of Liverpool - Accounting and Finance Division

Professor

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 3,721

SSRN RANKINGS

Top 3,721

in Total Papers Downloads

10,608

SSRN CITATIONS

2

CROSSREF CITATIONS

5

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 5,687 (1,252)

Abstract:

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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 1,625 (10,656)
Citation 1

Abstract:

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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 1,154 (18,116)

Abstract:

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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 787 (31,551)
Citation 2

Abstract:

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Statistical arbitrage, ETFs, pairs trading, time adaptive models

5.

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

Number of pages: 68 Posted: 08 Mar 2018 Last Revised: 02 Dec 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 678 (38,576)
Citation 2

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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 402 (74,803)

Abstract:

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Investor Sentiment, Forecasting Ability, COT Reports

7.

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

The European Journal of Finance, Volume 25, Issue 17, pp. 1793-1815, September 2019, 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: 24 Sep 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 268 (117,395)
Citation 2

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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 7 (620,570)

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

Other Papers (1)

Total Downloads: 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

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