Jun Deng

University of International Business and Economics (UIBE) - School of Banking and Finance

No.10, Huixindong Street

Chaoyang District

Beijing, 100029

China

  • University of International Business and Economics (UIBE) - School of Banking and Finance

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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Top 31,326

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33

CROSSREF CITATIONS

3

Scholarly Papers (16)

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1.

Arbitrage Opportunities and Efficiency Tests in Crypto Derivatives

Number of pages: 42 Posted: 05 Jul 2023 Last Revised: 07 May 2024
Carol Alexander, Xi Chen, Jun Deng and Tianyi Wang
University of Sussex Business School, University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics
Downloads 726 (68,781)

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Box Spread, Calendar Spread, Inverse Option, Put-Call Parity, Transaction Costs

2.

Hedging with Automatic Liquidation and Leverage Selection on Bitcoin Futures

Number of pages: 30 Posted: 19 Jan 2021 Last Revised: 22 Apr 2022
Carol Alexander, Jun Deng and Bin Zou
University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 584 (90,638)
Citation 17

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Cryptocurrency; Leverage; Liquidation; Perpetual Swap; Extreme Value Theorem

3.

Impacts of Protocol Updates on Uniswap Decentralized Crypto Exchanges

Number of pages: 31 Posted: 05 Jul 2023 Last Revised: 07 May 2024
Carol Alexander, Xi Chen, Jun Deng and Qi Fu
University of Sussex Business School, University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 305 (191,782)

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Decentralized Exchanges, Information Efficiency, Price Discovery, Uniswap, Automated Market Making

4.

Optimal Bitcoin Trading with Inverse Futures

Number of pages: 31 Posted: 24 Aug 2019
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 255 (230,352)
Citation 5

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Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization

5.

A Dynamic BW Index of Stock Market Sentiment

Number of pages: 42 Posted: 27 Oct 2022 Last Revised: 20 Oct 2023
Jiangze Bian, Louis M. D. Burgess, Xi Chen, Jun Deng and XiaoXiang Zhang
University of International Business and Economics (UIBE), University of Sussex Business School, University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Sussex - School of Business, Management and Economics
Downloads 243 (241,459)

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Investor sentiment, sentiment aggregation, PCA, dynamic modelling, equity returns, anomalies

6.

Net Buying Pressure and the Information in Bitcoin Option Trades

Number of pages: 35 Posted: 04 Oct 2021 Last Revised: 22 Apr 2022
Carol Alexander, Jun Deng, Jianfen Feng and Huning Wan
University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics (UIBE)
Downloads 235 (249,479)
Citation 15

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Deribit options; Informed traders; Market makers; Volatility information; Directional information;

7.

Disclosing and Cooling-Off: An Analysis of Insider Trading Rules

Rotman School of Management Working Paper No. 4249189
Number of pages: 63 Posted: 20 Oct 2022 Last Revised: 24 Jan 2024
Jun Deng, Huifeng Pan, Hongjun Yan and Liyan Yang
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), DePaul University and University of Toronto - Rotman School of Management
Downloads 228 (256,910)

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Insider trading, Rule 10b5-1, Sunshine trading, Disclosure, Cooling-off period.

8.

Risk Structure and Optimal Hedging of Bitcoin Inverse Futures

Number of pages: 34 Posted: 25 Sep 2019
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 222 (263,378)

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Bitcoin, Inverse futures, Minimum-variance hedging, High-order risk

9.

Arbitrage Opportunities and Efficiency Tests in Crypto Derivatives

Number of pages: 42 Posted: 13 Sep 2023 Last Revised: 17 Jul 2024
Carol Alexander, Xi Chen, Jun Deng and Tianyi Wang
University of Sussex Business School, University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics
Downloads 167 (340,818)

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Box Spread, Calendar Spread, Inverse Option, Put-Call Parity, Transaction Costs

10.

Minimum-Variance Hedging of Bitcoin Inverse Futures

Accepted in Applied Economics
Number of pages: 29 Posted: 18 Mar 2020 Last Revised: 07 Jul 2020
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 160 (353,438)
Citation 6

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Bitcoin, Futures, Hedging efficiency, Risk management

11.

Mean-Variance Tradeoff of Bitcoin Inverse Futures

Accepted by Blockchain https://elspublishing.com/journals/blockchain/home/
Number of pages: 15 Posted: 24 Mar 2020 Last Revised: 13 Jun 2024
Jun Deng, Huifeng Pan, Shuyu Zhang and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 135 (405,171)

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Bitcoin, Downside risk, Futures, Volatility JEL Classification: G32, G11

12.

Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets

Number of pages: 21 Posted: 18 Feb 2021
Zhiyong Cheng, Jun Deng, Tianyi Wang and Mei Yu
University of International Business and Economics (UIBE), University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics (UIBE)
Downloads 126 (427,350)

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Bitcoin futures; Liquidation; Margin; Leverage; Generalized extreme value theory

13.

Liquidity Provision and Its Information Content in Decentralized Markets

Number of pages: 33 Posted: 11 Oct 2023
Tian Chen, Jun Deng, Qi Fu and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 79 (586,341)

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Automatic Market Making, Uniswap, Liquidity Strategy, Decentralized Exchanges

14.

A Set-Valued Markov Chain Approach to Credit Default

Number of pages: 41 Posted: 12 Sep 2018 Last Revised: 06 Oct 2019
Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
Nankai University, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 75 (603,552)

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credit risk; collateral default obligation (CDO); Markov chain; jump diffusion; tranche spread

15.

Liquidity Provision and its Information Content In Decentralized Markets

Number of pages: 33 Posted: 20 Sep 2023
Tian Chen, Jun Deng, Qi Fu and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics and University of Connecticut - Department of Mathematics
Downloads 48 (748,745)
Citation 1

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G14, G15

16.

Shortfall Risk Through Fenchel Duality

Number of pages: 11 Posted: 04 Mar 2018
Zhenyu Cui and Jun Deng
Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 44 (775,568)

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shortfall risk, Fenchel duality,enlargement of filtration, risk measure, hedging

Other Papers (1)

Total Downloads: 51
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1.

Trading Constraint, Disclosure and Welfare: Implications for SEC Rule 10b5-1

Number of pages: 45 Posted: 16 Sep 2020
Liyan Yang, Huifeng Pan and Jun Deng
University of Toronto - Rotman School of Management, University of International Business and Economics (UIBE) and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 51

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Rule 10b5-1, trading, disclosure, market efficiency