Mark Cummins

University of Strathclyde

16 Richmond Street

Glasgow 1XQ, Scotland G1 1XQ

United Kingdom

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 12,674

SSRN RANKINGS

Top 12,674

in Total Papers Downloads

7,224

SSRN CITATIONS
Rank 29,429

SSRN RANKINGS

Top 29,429

in Total Papers Citations

33

CROSSREF CITATIONS

5

Scholarly Papers (31)

1.

Quantitative Spread Trading on Crude Oil and Refined Products Markets

Number of pages: 36 Posted: 24 Sep 2011
Mark Cummins and Andrea Bucca
University of Strathclyde and affiliation not provided to SSRN
Downloads 2,797 (8,958)
Citation 13

Abstract:

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

2.
Downloads 424 (129,590)
Citation 3

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
Dublin City University Business School, University of Strathclyde and Trinity Business School, Trinity College Dublin
Downloads 226 (250,166)
Citation 1

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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
Dublin City University Business School, University of Strathclyde and Trinity Business School, Trinity College Dublin
Downloads 198 (283,056)
Citation 3

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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 University of Strathclyde
Downloads 385 (144,674)
Citation 1

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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, Dublin City University Business School and University of Strathclyde
Downloads 279 (204,011)
Citation 1

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household finance, cultural values, religion, World Values Survey

5.

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 University Belfast - Queen's Management School, University of Strathclyde and University of Limerick - Kemmy Business School
Downloads 256 (222,410)

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6.

A Review of Real Options Analysis Methods for R&D Valuation in Renewable Energy Research

Number of pages: 38 Posted: 17 Apr 2019
Peter Deeney and Mark Cummins
School of Engineering, University College Cork and University of Strathclyde
Downloads 234 (243,912)

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OR in Research and Development, Real Options, Compound Option Structure, CO2 Recycling Technology

7.

Sentiment in Oil Markets

Number of pages: 22 Posted: 14 Sep 2013 Last Revised: 02 Dec 2014
School of Engineering, University College Cork, University of Strathclyde, Dublin City University Business School and Dublin City University - The INSIGHT Centre for Data Analytics
Downloads 224 (253,245)
Citation 1

Abstract:

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market sentiment, energy, multiple hypothesis testing

8.

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
University of Strathclyde, Dublin City University Business School and Queen's University Belfast - Queen's Management School
Downloads 205 (275,020)
Citation 2

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

9.

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 University of Strathclyde
Downloads 198 (283,806)
Citation 1

Abstract:

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10.

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 University Belfast - Queen's Management School, University of Limerick - Kemmy Business School and University of Strathclyde
Downloads 181 (307,477)

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

11.

Negativity Bias in the European Emissions Market: Evidence from High-Frequency Twitter Sentiment

Number of pages: 38 Posted: 21 May 2018
School of Engineering, University College Cork, University of Strathclyde, Dublin City University Business School and Dublin City University - School of Computing
Downloads 173 (320,028)
Citation 1

Abstract:

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Emissions Market, Sentiment, Twitter

12.

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
University of Strathclyde, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 160 (342,266)
Citation 2

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

13.

Beyond Accuracy in Artificial Intelligence Based Credit Scoring Systems: Explainability and Sustainability in Decision Support

Number of pages: 28 Posted: 14 Aug 2023 Last Revised: 02 Sep 2023
Marc Schmitt and Mark Cummins
University of Oxford and University of Strathclyde
Downloads 146 (369,130)
Citation 1

Abstract:

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Decision Support Systems, Explainable Artificial Intelligence, Digital Sustainability, Deep Learning, Gradient Boosting

14.

Sentiment Effects in the European Emissions Market

Number of pages: 45 Posted: 20 Sep 2016
University of Strathclyde, School of Engineering, University College Cork, Dublin City University Business School and Dublin City University - School of Computing
Downloads 138 (385,711)

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Sentiment, EUA, Carbon Markets, Uncertainty, Social Media

15.

Comparative Evidence on the Performance of Institutional Investors in Online Business Lending

Number of pages: 48 Posted: 10 Mar 2018 Last Revised: 17 Sep 2018
University of Strathclyde, Dublin City University, University of Galway - J.E. Cairnes School of Business & Economics and Irish Centre for Cloud Computing and Commerce
Downloads 136 (390,219)
Citation 2

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institutional investors; retail investors; business lending; online credit markets; information asymmetries

16.

Behavioral Influences in Non-Ferrous Metals Prices

Number of pages: 41 Posted: 16 Nov 2014
University of Strathclyde, Dublin City University Business School and Trinity Business School, Trinity College Dublin
Downloads 121 (426,658)
Citation 2

Abstract:

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psychological barriers; clustering; non-ferrous metals

17.

Psychological Price Barriers in Frontier Equities

Number of pages: 41 Posted: 18 Aug 2016
SEB LU / University of Ljubljana - School of Economics and Business, University of Strathclyde, Dublin City University Business School and Trinity Business School, Trinity College Dublin
Downloads 120 (429,330)
Citation 1

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frontier markets, psychological barriers, individualism

18.

Influences from the European Parliament on EU Emissions Prices

Number of pages: 27 Posted: 15 Apr 2015
School of Engineering, University College Cork, University of Strathclyde, Dublin City University Business School and Dublin City University - School of Computing
Downloads 113 (449,110)

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

19.

Determining Risk Model Confidence Sets

Finance Research Letters, Forthcoming
Number of pages: 16 Posted: 10 Feb 2017
University of Strathclyde, Dublin City University Business School and Dublin City University Business School
Downloads 111 (455,154)

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model confidence set, model selection, market risk models

20.

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 University Belfast - Queen's Management School, University of Strathclyde and University of Limerick - Kemmy Business School
Downloads 103 (480,319)

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21.

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 University of Strathclyde
Downloads 103 (480,319)

Abstract:

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22.

A New Real Options Method for R&D Investment Analysis: Application to CO2 Recycling Technology

Number of pages: 31 Posted: 27 Dec 2018
Peter Deeney, Mark Cummins, K. Heintz and M. Pryce
School of Engineering, University College Cork, University of Strathclyde, Dublin City University and Dublin City University
Downloads 102 (483,469)

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OR in Research and Development, Real Options, Compound Option Structure, CO2 Recycling Technology

23.

Multiple Hypothesis Testing of Market Risk Forecasting Models

Number of pages: 25 Posted: 11 Jun 2015
Francesco Esposito and Mark Cummins
Dublin City University Business School and University of Strathclyde
Downloads 97 (500,005)

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

24.

EU ETS Market Interactions: A Multiple Hypothesis Testing Approach

Number of pages: 17 Posted: 14 Oct 2012
Mark Cummins
University of Strathclyde
Downloads 93 (513,803)

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

25.

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, University of Strathclyde and University of Limerick
Downloads 86 (539,431)

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

26.

A High-Frequency Analysis of Price Resolution and Pricing Barriers in Equities on the Adoption of a New Currency

Applied Economics, Vol. 50, No. 36, 2018
Number of pages: 37 Posted: 02 Jul 2018
ESC Rennes School of Business, University of Strathclyde, Dublin City University Business School and University of Bath
Downloads 60 (657,388)

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clustering, psychological barriers, euro introduction, transaction data

27.

How Do Corporate Factors Affect Price Discovery Process between Equity and Credit Markets?

Number of pages: 45 Posted: 02 Sep 2022
Xinquan Zhou, Guillaume Bagnarosa and Mark Cummins
Dublin City University Business School, ESC Rennes School of Business and University of Strathclyde
Downloads 59 (662,734)

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Price discovery, Credit Default Swap, Equity, High-Frequency, Financial Market Microstructure

28.

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 Esposito and Mark Cummins
Dublin City University Business School and University of Strathclyde
Downloads 56 (679,307)

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

29.

Multiple Comparisons Problem: Recent Advances Applied to Energy and Emissions

Number of pages: 17 Posted: 09 Dec 2012
Mark Cummins
University of Strathclyde
Downloads 40 (782,735)
Citation 2

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

30.

Endurance of Inaccurate Models: Understanding the Persistence of Value-at-Risk

Number of pages: 26 Posted: 02 Sep 2023
Orla McCullagh, Sheila Killian and Mark Cummins
University of Limerick, University of Limerick and University of Strathclyde
Downloads 24 (916,452)

Abstract:

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Value-at-Risk (VaR), Market Risk, Bank regulation, Mediating.

31.

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 University Belfast - Queen's Management School, University of Limerick - Kemmy Business School and University of Strathclyde

Abstract:

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