Mark Cummins

Dublin City University Business School

Dublin 9

Ireland

SCHOLARLY PAPERS

28

DOWNLOADS
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Top 11,204

in Total Papers Downloads

4,694

SSRN CITATIONS
Rank 32,955

SSRN RANKINGS

Top 32,955

in Total Papers Citations

18

CROSSREF CITATIONS

5

Scholarly Papers (28)

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 2,015 (8,318)
Citation 9

Abstract:

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

2.

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 319 (106,017)
Citation 1

Abstract:

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

3.
Downloads 311 (108,956)
Citation 1

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 165 (201,179)
Citation 1

Abstract:

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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
ESC Rennes School of Business, Dublin City University Business School and Trinity Business School, Trinity College Dublin
Downloads 146 (223,123)
Citation 1

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

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 222 (153,768)
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 Management School, Dublin City University Business School and University of Limerick - Kemmy Business School
Downloads 202 (167,937)

Abstract:

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6.

Sentiment in Oil Markets

Number of pages: 22 Posted: 14 Sep 2013 Last Revised: 02 Dec 2014
School of Engineering, University College Cork, Dublin City University Business School, ESC Rennes School of Business and Dublin City University - The INSIGHT Centre for Data Analytics
Downloads 168 (198,049)
Citation 2

Abstract:

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market sentiment, energy, multiple hypothesis testing

7.

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 152 (215,456)

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

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
Dublin City University Business School, ESC Rennes School of Business and Queen's Management School
Downloads 151 (216,641)
Citation 1

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

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 118 (263,714)
Citation 1

Abstract:

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Gas Storage Valuation Under Lévy Processes Using the Fast Fourier Transform

Journal of Energy Markets, Vol. 10, No. 4, 43–86, 2017
Number of pages: 44 Posted: 04 Jan 2018
Mark Cummins, Greg Kiely and Bernard Murphy
Dublin City University Business School, Gazprom Marketing & Trading and University of Limerick - Kemmy Business School
Downloads 2 (741,372)
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Gas Storage Valuation, Fast Fourier Transform, Lévy Modeling, Mean-Reverting Variance-Gamma Model, Mean-Reverting Diffusion, Jump-Diffusion Models

10.

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 115 (267,394)
Citation 1

Abstract:

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

11.

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
Dublin City University Business School, Dublin City University, Dublin City University Business School and Irish Centre for Cloud Computing and Commerce
Downloads 92 (312,969)

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

12.

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 Dublin City University Business School
Downloads 82 (333,724)

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

13.

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 77 (346,278)
Citation 2

Abstract:

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psychological barriers; clustering; non-ferrous metals

14.

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 75 (351,511)

Abstract:

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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 67 (373,886)

Abstract:

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16.

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 64 (382,712)

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

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, Dublin City University Business School, ESC Rennes School of Business and Trinity Business School, Trinity College Dublin
Downloads 62 (389,008)

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frontier markets, psychological barriers, individualism

18.

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 58 (402,007)

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

19.

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 Dublin City University Business School
Downloads 57 (405,514)

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

20.

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, Dublin City University Business School, ESC Rennes School of Business and Dublin City University - School of Computing
Downloads 56 (408,942)

Abstract:

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Emissions Market, Sentiment, Twitter

21.

Sentiment Effects in the European Emissions Market

Number of pages: 45 Posted: 20 Sep 2016
Dublin City University Business School, School of Engineering, University College Cork, ESC Rennes School of Business and Dublin City University - School of Computing
Downloads 55 (412,365)

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Sentiment, EUA, Carbon Markets, Uncertainty, Social Media

22.

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 48 (437,529)

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model confidence set, model selection, market risk models

23.

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 Dublin City University Business School
Downloads 30 (517,629)

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

24.

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, Dublin City University Business School, Dublin City University and Dublin City University
Downloads 28 (528,594)

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

25.

Influences from the European Parliament on EU Emissions Prices

Number of pages: 27 Posted: 15 Apr 2015
School of Engineering, University College Cork, Dublin City University Business School, ESC Rennes School of Business and Dublin City University - School of Computing
Downloads 28 (528,594)

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

26.

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 25 (546,206)
Citation 2

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

27.

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, Dublin City University Business School, ESC Rennes School of Business and University of Bath
Downloads 15 (611,013)

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clustering, psychological barriers, euro introduction, transaction data

28.

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:

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