Some of the recent publications of PhD students from the Finance Department at UTS.

Aliyev, N. and He, X., 2023, "Ambiguous Price Formation", Journal of Mathematical Economics, 106, 1-14.

Dhawan, A. and Putnins, T., 2023. "A New Wolf in Town? Pump-and-Dump Manipulation in Cryptocurrency Markets", Review of Finance, 27(3), 935-975.

Luong, T. M., Scheule, H. and Wanzare, N., 2023, "Impact of Mortgage Soft Information in Loan Pricing on Default Prediction Using Machine Learning", International Review of Finance, 23(1), 158-186.

Nikitopoulos Sklibosios, C., Thomas, A. and Wang, J., 2023, "The Economic Impact of Daily Volatility Persistence on Energy Markets", Journal of Commodity Markets, 30, 100285.

Alfeus, M. and Nikitopoulos Sklibosios, C., 2023, "Forecasting Volatility in Commodity Markets with Long-Memory Models", Journal of Commodity Markets, 28, 100248.

Bohmann, M., and Patel, V., 2022, "Informed Options Trading Prior to FDA Announcements", Journal of Business Finance and Accounting, 49(7-8), 1211-1236

Brogaard, J., Nguyen, T. H., Putnins, T., and Wu, E., 2022, “What Moves Stock Prices? The Role of News, Noise, and Information”, Review of Financial Studies, 35(9), 4341–4386.

Luong, T. M. and Scheule, H., 2022, "Benchmarking Forecast Approaches for Mortgage Credit Risk for Forward Periods", European Journal of Operations Research, 299(2), 750-767.

Mwampashi, M. M., Nikitopoulos Sklibosios, C., Rai, A. and Konstandatos, O., 2022, “Large-Scale and Rooftop Solar Generation in the NEM: A Tale of Two Renewables Strategies", Energy Economics, 115, 106372.

Ahn, K., Park, J. and Hong, K., 2021, "The Value-at-Risk of Time-Series Momentum and Contrarian Trading Strategies", Journal of Risk Model Validation, 15(3), 35–63.

Khomyn, M. and Putnins, T., 2021, "Algos Gone Wild: What Drives the Extreme Order Cancellation Rates in Modern Markets?", Journal of Banking and Finance, 129.

Mwampashi, M. M., Nikitopoulos Sklibosios, C., Konstandatos, O. and Rai, A., 2021, "Wind Generation and the Dynamics of Electricity Prices in Australia", Energy Economics, 103.

Bohmann, M., and Patel, V., 2020, "Information Leakage in Energy Derivatives around News Announcements", The Journal of Derivatives, 27(4), pp. 13-29.

Chiarella, C., Di Guilmi, C. and Zhi, T., 2020, "“Animal Spirits” and Bank’s Lending Behaviour, A Disequilibrium Approach", Studies in Nonlinear Dynamics & Econometrics, 24(2).

Gan, B., Alexeev, V., Bird, R. and Yeung, D., 2020, "Sensitivity to Sentiment: News vs Social Media", International Review of Financial Analysis, 67.

Luong, T. M., Pieters, R., Scheule, H. and Wu, E., 2020, "The Impact of Government Guarantees on Banks' Wholesale Funding Costs and Risk-taking: Evidence from a Natural Experiment", Pacific-Basin Finance Journal, 61.

Alfeus, M. and Schlogl, E., 2019, “On Spread Option Pricing Using Two-Dimensional Fourier Transform”, International Journal of Theoretical and Applied Finance, 22(5).

Alfeus, M., Schlogl, E. and Overbeck, L., 2019, "Regime Switching Rough Heston Model", Journal of Futures Markets, 39(5), pp. 538-552.

Bohmann, M., Michayluk, D. and Patel, V., 2019, "Price Discovery in Commodity Derivatives: Speculation or Hedging?”, Journal of Futures Markets, 39(9), pp. 1107-1121.

Bohmann, M., Michayluk, D., Patel, V. and Walsh, K., 2019, "Liquidity and Earnings in Event Studies: Does Data Granularity Matter?", Pacific-Basin Finance Journal, 54, pp. 118-131.

Cheng, B., Nikitopoulos Sklibosios, C. and Schlogl, E., 2019, "Interest Rate Risk in Long-Dated Commodity Options Positions: To Hedge or Not to Hedge?", Journal of Futures Markets, 39(1), pp. 109-127.

Foley, S, Karlsen, J. and Putnins, T., 2019, "Sex, Drugs, and Bitcoin: How Much Illegal Activity is Financed through Cryptocurrencies?", Review of Financial Studies, 32(5), pp. 1798-1853.

Cheng, B., Nikitopoulos Sklibosios, C. and Schlogl, E., 2018, "Pricing of Long-Dated Commodity Derivatives: Do Stochastic Interest Rates Matter?", Journal of Banking and Finance, 95, pp. 148-166.

Su, F. and Zhang, J., 2018, "Global Price Discovery in the Australian Dollar Market and its Determinants", Pacific-Basin Finance Journal, 38, pp. 35-55.

Bui, C,, Scheule, H. and Wu, E., 2017, "The Value of Bank Capital Buffers in Maintaining Financial System Resilience", Journal of Financial Stability, 33, pp. 23-40.

Khan, M. S., Scheule, H. and Wu, E., 2017, "Funding Liquidity and Bank Risk Taking", Journal of Banking and Finance, 82, pp. 203-216.

Lo, D., 2017, "On the Limit Order Behaviour of Retail and Non-Retail Investors", Pacific-Basin Finance Journal, 44, pp. 1-12.

Hauptfleisch, M., Putnins, T. and Lucey, B., 2016, "Who Sets the Price of Gold? London or New York", Journal of Futures Markets, 36(3), pp. 564-586.

Michayluk, D. M. and Patel, V., 2016, "Return Predictability Following Different Drivers of Large Price Changes", International Review of Financial Analysis, 45, pp. 202-214.

Bugeja, M., Patel, V. and Walter, T. S., 2015, "The Microstructure of Australian Takeover Announcements", Australian Journal of Management, 40(1), pp. 161-188.

He, X. and Li, K., 2015, "Profitability of Time Series Momentum", Journal of Banking and Finance, 53, pp. 140-157.