Ahmet Goncu

Xi'an Jiaotong University (XJTU)

26 Xianning W Rd.

Suzhou, Jiangsu 215123

China

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 48,944

SSRN RANKINGS

Top 48,944

in Total Papers Downloads

937

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Pairs Trading with Commodity Futures: Evidence from the Chinese Market

China Finance Review International, Volume 7, Issue 3, pp. 274-294, July 2017, DOI: 10.1108/CFRI-09-2016-0109
Number of pages: 35 Posted: 22 Aug 2016 Last Revised: 27 Aug 2017
Xi'an Jiaotong-Liverpool Univeristy, Xi'an Jiaotong University (XJTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 489 (62,959)

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Commodity Futures, Pairs Trading, Statistical Arbitrage, Market Efficiency

2.

Momentum and Reversal Strategies in Chinese Commodity Futures Markets

International Review of Financial Analysis, Volume 60, pp 177-196, October 2018, DOI: 10.1016/j.irfa.2018.09.012
Number of pages: 40 Posted: 29 Nov 2017 Last Revised: 23 Oct 2018
Xi'an Jiaotong-Liverpool Univeristy, Xi'an Jiaotong University (XJTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 268 (124,965)
Citation 3

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Chinese commodity futures market, Momentum, Reversal, Single- and Double-sort strategies, Inter- and Intra-day frequencies

3.

Anatomy of Chinese Futures Markets

Number of pages: 40 Posted: 30 May 2018
Ahmet Goncu and Yurun Yang
Xi'an Jiaotong University (XJTU) and Xi'an Jiaotong-Liverpool Univeristy
Downloads 92 (305,112)

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Futures Markets; Commodity Futures; High-Frequency Returns; Stylized Facts

4.

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

Number of pages: 15 Posted: 31 Jul 2019
ETH Zürich - Department of Mathematics, EDHEC Business School, Xi'an Jiaotong University (XJTU) and Borsa Istanbul
Downloads 49 (426,189)

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Statistical arbitrage, Jump-diffusion model, Compound Poisson process, Monte Carlo simulation

5.

A Comparative Goodness-of-Fit Analysis of Distributions of Some Lévy Processes and Heston Model to Stock Index Returns

Number of pages: 24 Posted: 22 Oct 2015
Xi'an Jiaotong University (XJTU), Bogazici University - Center for Research in Corporate Governance & Financial Regulation (CCG) and Bogazici University Department of Economics
Downloads 37 (474,955)

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Variance-gamma model, Normal-inverse gaussian model, Generalized hyperbolic model, Heston model, Markov regime-switching model, Emerging markets

6.

Statistical Arbitrage with Pairs Trading

International Review of Finance, Vol. 16, Issue 2, pp. 307-319, 2016
Number of pages: 13 Posted: 03 Jun 2016
Ahmet Goncu and Erdinc Akyildirim
Xi'an Jiaotong University (XJTU) and ETH Zürich - Department of Mathematics
Downloads 2 (696,810)
Citation 1
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