Mark Cummins

Dublin City University Business School

Dublin 9

Ireland

SCHOLARLY PAPERS

23

DOWNLOADS
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3,209

CITATIONS

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Scholarly Papers (23)

1.

Quantitative Spread Trading on Crude Oil and Refined Products Markets

Number of pages: 36 Posted: 24 Sep 2011
Mark Cummins and Andrea Bucca
Dublin City University Business School and affiliation not provided to SSRN
Downloads 1,077 (9,370)

Abstract:

crude oil, refined products, spreads, statistical arbitrage, multiple hypothesis testing, data snooping bias

Psychological Barriers in Oil Futures Markets

Energy Economics, Forthcoming, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 30 Posted: 28 Aug 2012 Last Revised: 18 Oct 2014
ESC Rennes School of Business, Dublin City University Business School and Trinity Business School, Trinity College Dublin
Downloads 143 (162,168)

Abstract:

Brent, WTI, psychological barriers, clustering, WTI-Brent spread, multiple hypothesis testing

Psychological Barriers in Oil Futures Markets

Energy Economics, Forthcoming
Number of pages: 30 Posted: 06 Dec 2012 Last Revised: 18 Oct 2014
ESC Rennes School of Business, Dublin City University Business School and Trinity Business School, Trinity College Dublin
Downloads 136 (168,921)

Abstract:

psychological barriers, WTI, Brent, WTI-Brent spread Multiple hypothesis testing, clustering, generalised Bonferroni, futures

3.

Synthetic Floating Crude Oil Storage and Optimal Statistical Arbitrage: A Model Specification Analysis

Number of pages: 36 Posted: 24 Sep 2011
Andrea Bucca and Mark Cummins
affiliation not provided to SSRN and Dublin City University Business School
Downloads 220 (90,936)

Abstract:

synthetic floating storage, time charter equivalent, optimal statistical arbitrage, threshold cointegration, structural change cointegration

4.

Individual Values and Household Finances

Applied Economics, Forthcoming
Number of pages: 41 Posted: 20 Jun 2011 Last Revised: 22 Nov 2016
Queen's Management School, ESC Rennes School of Business and Dublin City University Business School
Downloads 147 (135,116)

Abstract:

household finance, cultural values, religion, World Values Survey

5.

Outperformance in Exchange Traded Fund Pricing Deviations: Generalised Control of Data Snooping Bias

Journal of Financial Markets, Forthcoming
Number of pages: 27 Posted: 21 Dec 2012 Last Revised: 18 Apr 2015
Fearghal Kearney, Finbarr Murphy and Mark Cummins
Queen's Management School, University of Limerick - Kemmy Business School and Dublin City University Business School
Downloads 115 (168,438)

Abstract:

Exchange Traded Funds, ETF Performance, Multiple Hypothesis Testing, Data Snooping Bias

6.

Sentiment in Oil Markets

Number of pages: 22 Posted: 14 Sep 2013 Last Revised: 02 Dec 2014
University College Cork - Department of Accounting, Finance and Information Systems, Dublin City University Business School, ESC Rennes School of Business and Dublin City University - The INSIGHT Centre for Data Analytics
Downloads 99 (177,802)

Abstract:

market sentiment, energy, multiple hypothesis testing

7.

A Unified Analysis of Emissions and Energy Market Interactions Across the EU

Number of pages: 32 Posted: 23 Feb 2012
Mark Cummins, Patrick o'Shea and Kieran Lyons
Dublin City University Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 88 (206,214)

Abstract:

Emissions markets, EUAs, CERs, energy markets, Granger causality

8.

Forecasting Implied Volatility in Foreign Exchange Markets: A Functional Times Series Approach

The European Journal of Finance, Forthcoming
Number of pages: 31 Posted: 02 Apr 2015 Last Revised: 21 Dec 2016
Fearghal Kearney, Mark Cummins and Finbarr Murphy
Queen's Management School, Dublin City University Business School and University of Limerick - Kemmy Business School
Downloads 78 (207,635)

Abstract:

9.

Forestry in the Republic of Ireland: Government Policy, Grant Incentives and Carbon Sequestration Value

Number of pages: 35 Posted: 23 Feb 2012 Last Revised: 28 Mar 2015
Anthony O'Donnell, Mark Cummins and Ken Byrne
University of Limerick, Dublin City University Business School and University of Limerick
Downloads 46 (306,811)

Abstract:

Irish forestry, carbon flow modelling, carbon price modelling, net present value

10.

EU ETS Market Interactions: A Multiple Hypothesis Testing Approach

Number of pages: 17 Posted: 14 Oct 2012
Mark Cummins
Dublin City University Business School
Downloads 45 (301,518)

Abstract:

EU Emissions Trading Scheme, EUAs, CERs, vector autoregression, Granger causality, multiple hypothesis testing

11.

Behavioral Influences in Non-Ferrous Metals Prices

Number of pages: 41 Posted: 16 Nov 2014
Dublin City University Business School, ESC Rennes School of Business and Trinity Business School, Trinity College Dublin
Downloads 38 (304,173)

Abstract:

psychological barriers; clustering; non-ferrous metals

12.

Gas Storage Valuation Under Lévy Processes Using the Fast Fourier Transform

Number of pages: 49 Posted: 08 Feb 2015 Last Revised: 05 Oct 2015
Greg Kiely, Bernard Murphy and Mark Cummins
Gazprom Marketing & Trading, University of Limerick - Kemmy Business School and Dublin City University Business School
Downloads 31 (275,014)

Abstract:

13.

Extracting Forward Rate Term Structure Information in Foreign Exchange

Number of pages: 17 Posted: 03 Apr 2015 Last Revised: 21 Dec 2016
Fearghal Kearney, Mark Cummins and Finbarr Murphy
Queen's Management School, Dublin City University Business School and University of Limerick - Kemmy Business School
Downloads 27 (321,018)

Abstract:

14.

Multiple Hypothesis Testing of Market Risk Forecasting Models

Number of pages: 25 Posted: 11 Jun 2015
Francesco Paolo Esposito and Mark Cummins
Dublin City University Business School and Dublin City University Business School
Downloads 26 (339,127)

Abstract:

value-at-risk, expected shortfall, bootstrap multiple hypothesis testing, generalized familywise error rate, multiple comparison map

15.

Gas Storage Valuation Under Multi-Factor Levy Processes

Number of pages: 52 Posted: 09 Feb 2015 Last Revised: 10 Feb 2015
Greg Kiely, Bernard Murphy and Mark Cummins
Gazprom Marketing & Trading, University of Limerick - Kemmy Business School and Dublin City University Business School
Downloads 22 (345,527)

Abstract:

16.

Multiple Comparisons Problem: Recent Advances Applied to Energy and Emissions

Number of pages: 17 Posted: 09 Dec 2012
Mark Cummins
Dublin City University Business School
Downloads 15 (415,043)

Abstract:

multiple comparisons problem, mutliple hypothesis testing, generalised familywise error rate, false discovery proportion, energy and emissions markets

17.

Influences from the European Parliament on EU Emissions Prices

Number of pages: 27 Posted: 15 Apr 2015
University College Cork - Department of Accounting, Finance and Information Systems, Dublin City University Business School, ESC Rennes School of Business and Dublin City University - School of Computing
Downloads 12 (425,218)

Abstract:

EU emission allowances, market sentiment, media exposure, European Parliament

18.

Filtering and Likelihood Estimation of Latent Factor Jump-Diffusions with an Application to Stochastic Volatility Models

Number of pages: 28 Posted: 11 Jun 2015
Francesco Paolo Esposito and Mark Cummins
Dublin City University Business School and Dublin City University Business School
Downloads 7 (450,567)

Abstract:

latent state-variables, non-linear filtering, finite difference method, multi-variate jump-diffusions, likelihood estimation

19.

Determining Risk Model Confidence Sets

Finance Research Letters, Forthcoming
Number of pages: 16 Posted: 10 Feb 2017
Dublin City University Business School, ESC Rennes School of Business and Dublin City University Business School
Downloads 0 (415,043)

Abstract:

model confidence set, model selection, market risk models

20.

Sentiment Effects in the European Emissions Market

Number of pages: 45 Posted: 20 Sep 2016
Dublin City University Business School, University College Cork - Department of Accounting, Finance and Information Systems, ESC Rennes School of Business and Dublin City University - School of Computing
Downloads 0 (370,348)

Abstract:

Sentiment, EUA, Carbon Markets, Uncertainty, Social Media

21.

Psychological Price Barriers in Frontier Equities

Number of pages: 41 Posted: 18 Aug 2016
FELU / University of Ljubljana - Faculty of Economics, Dublin City University Business School, ESC Rennes School of Business and Trinity Business School, Trinity College Dublin
Downloads 0 (382,271)

Abstract:

frontier markets, psychological barriers, individualism

22.

Oil Market Modelling: A Comparative Analysis of Fundamental and Latent Factor Approaches

International Review of Financial Analysis, Forthcoming
Number of pages: 34 Posted: 31 May 2016
Dublin City University Business School, ESC Rennes School of Business and Queen's Management School
Downloads 0 (191,760)

Abstract:

oil futures, fundamental models, latent factors, Vuong model comparison

23.

An Analysis of Implied Volatility Jump Dynamics: Novel Functional Data Representation in Crude Oil Markets

North American Journal of Economics and Finance, Forthcoming
Posted: 19 Apr 2015
Fearghal Kearney, Finbarr Murphy and Mark Cummins
Queen's Management School, University of Limerick - Kemmy Business School and Dublin City University Business School

Abstract:

Commodity options, Implied volatility, Jump diffusion models, Functional data analysis.