Preprints Finance and Econometrics

Title: Non-parameteric Price Momentum Models for Global Equity Index and Currency Markets.

Dias F., Kiraly F. and Peters G.W.

Preprint [SSRN]

Title: Privacy Aware Incentive Mechanism for Mobile Crowd Sensing.

Koh J.Y., Peters G.W., Leong D., Nevat I. and Wong W.C.

Title: Dynamic Quantile Function Models.

Wilson Y. Chen, Peters G.W., Richard H. Gerlach and Scott A. Sisson.

Preprint [SSRN]

Title: Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades.

Ames M., Bagnarosa G., Peters G.W. and Shevchenko P.

Preprint [SSRN]

Title: Structural Models for Intra-day Liquidity and Resilience in Limit Order Book.

Panayi E.,Peters G.W., Danielsson J. and Zigrand J.P.

Preprint [SSRN]

Title: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades.

Ames M., Bagnarosa G. and Peters G.W.

Preprint [SSRN] and [arXiv: 1303.4314 ]

Title: Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term

Ames M., Bagnarosa G., Peters G.W., Shevchenko P.V. and Matsui T.

Preprint [SSRN http://ssrn.com/abstract=2840730 ]

Quantitative Risk Solutions Lab