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

10

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1,558

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (10)

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1.

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 506 (86,942)
Citation 3

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

2.

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 226 (208,233)
Citation 5

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Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization

3.

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 189 (245,360)
Citation 1

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

4.

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 181 (254,850)

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

5.

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 129 (336,086)
Citation 5

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Bitcoin, Futures, Hedging efficiency, Risk management

6.

Mean-Variance Tradeoff of Bitcoin Inverse Futures

Number of pages: 15 Posted: 24 Mar 2020 Last Revised: 10 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 106 (386,779)

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Bitcoin, Downside Risk, Futures, Volatility

7.

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 87 (439,868)

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

8.

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

Rotman School of Management Working Paper No. 4249189
Number of pages: 50 Posted: 20 Oct 2022 Last Revised: 12 Dec 2022
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 64 (521,965)

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

9.

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 36 (663,240)

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

10.

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 34 (675,787)

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

Other Papers (1)

Total Downloads: 38
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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 38

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