Photo of Mr Jason Laws

Mr Jason Laws

Deputy head of department for Economics, Finance and Accounting. Finance and Accounting

    Publications

    2020

    Technical Analysis, Spread Trading and Data Snooping Control (Journal article)

    Psaradellis, I., Laws, J., Pantelous, A. A., & Sermpinis, G. (2020). Technical Analysis, Spread Trading and Data Snooping Control.

    2019

    Internal capital market mergers in weak external market environment: An emerging market evidence (Journal article)

    Huang, W., Zhang, H., Goyal, A., & Laws, J. (2019). Internal capital market mergers in weak external market environment: An emerging market evidence. International Journal of Finance and Economics, 24(4), 1486-1505. doi:10.1002/ijfe.1739

    DOI: 10.1002/ijfe.1739

    2018

    Performance of technical trading rules: evidence from the crude oil market (Journal article)

    Psaradellis, I., Laws, J., Pantelous, A. A., & Sermpinis, G. (2018). Performance of technical trading rules: evidence from the crude oil market. The European Journal of Finance, 25(17), 1793-1815. doi:10.1080/1351847X.2018.1552172

    DOI: 10.1080/1351847X.2018.1552172

    Cross-border exchanges and volatility forecasting (Journal article)

    Goyal, A., Kallinterakis, V., Kambouroudis, D., & Laws, J. (2018). Cross-border exchanges and volatility forecasting. QUANTITATIVE FINANCE, 18(5), 789-799. doi:10.1080/14697688.2017.1414512

    DOI: 10.1080/14697688.2017.1414512

    2016

    Derivatives and Hedge Funds (Chapter)

    Derivatives and Hedge Funds (2016). Palgrave Macmillan UK. doi:10.1057/9781137554178

    DOI: 10.1057/9781137554178

    2015

    Modelling commodity value at risk with Psi Sigma neural networks using open–high–low–close data (Journal article)

    Sermpinis, G., Laws, J., & Dunis, C. L. (2015). Modelling commodity value at risk with Psi Sigma neural networks using open–high–low–close data. The European Journal of Finance, 21(4), 316-336. doi:10.1080/1351847x.2012.744763

    DOI: 10.1080/1351847x.2012.744763

    Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models (Journal article)

    Dunis, C. L., Laws, J., Middleton, P. W., & Karathanasopoulos, A. (2015). Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models. The European Journal of Finance, 21(4), 352-375. doi:10.1080/1351847x.2013.830140

    DOI: 10.1080/1351847x.2013.830140

    2014

    Derivative products and innovation in Islamic finance (Journal article)

    Kiong Kok, S., Giorgioni, G., & Laws, J. (2014). Derivative products and innovation in Islamic finance. International Journal of Islamic and Middle Eastern Finance and Management, 7(3), 242-257. doi:10.1108/imefm-07-2013-0084

    DOI: 10.1108/imefm-07-2013-0084

    2013

    NONLINEAR FORECASTING OF THE GOLD MINER SPREAD: AN APPLICATION OF CORRELATION FILTERS (Journal article)

    Dunis, C. L., Laws, J., Middleton, P. W., & Karathanasopoulos, A. (2013). NONLINEAR FORECASTING OF THE GOLD MINER SPREAD: AN APPLICATION OF CORRELATION FILTERS. Intelligent Systems in Accounting, Finance and Management, 20(4), 207-231. doi:10.1002/isaf.1345

    DOI: 10.1002/isaf.1345

    Investor Sentiment and Forecasting Ability: Evidence from COT Reports in Precious Metal Futures Markets (Journal article)

    Zhang, Y., & Laws, J. (2013). Investor Sentiment and Forecasting Ability: Evidence from COT Reports in Precious Metal Futures Markets.

    GP algorithm versus hybrid and mixed neural networks (Journal article)

    Dunis, C. L., Laws, J., & Karathanasopoulos, A. (2013). GP algorithm versus hybrid and mixed neural networks. The European Journal of Finance, 19(3), 180-205. doi:10.1080/1351847x.2012.679740

    DOI: 10.1080/1351847x.2012.679740

    Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks (Journal article)

    Sermpinis, G., Laws, J., & Dunis, C. L. (2013). Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks. The European Journal of Finance, 19(3), 165-179. doi:10.1080/1351847x.2011.606990

    DOI: 10.1080/1351847x.2011.606990

    2012

    Forecasting and trading the EUR/USD exchange rate with Gene Expression and Psi Sigma Neural Networks (Journal article)

    Sermpinis, G., Laws, J., Karathanasopoulos, A., & Dunis, C. L. (2012). Forecasting and trading the EUR/USD exchange rate with Gene Expression and Psi Sigma Neural Networks. Expert Systems with Applications, 39(10), 8865-8877. doi:10.1016/j.eswa.2012.02.022

    DOI: 10.1016/j.eswa.2012.02.022

    Forecasting and trading the EUR/USD exchange rate with stochastic Neural Network combination and time-varying leverage (Journal article)

    Sermpinis, G., Dunis, C., Laws, J., & Stasinakis, C. (2012). Forecasting and trading the EUR/USD exchange rate with stochastic Neural Network combination and time-varying leverage. Decision Support Systems, 54(1), 316-329. doi:10.1016/j.dss.2012.05.039

    DOI: 10.1016/j.dss.2012.05.039

    Currency trading in volatile markets: Did neural networks outperform for the EUR/USD during the financial crisis 2007–2009? (Journal article)

    Dunis, C. L., Laws, J., & Schilling, U. (2012). Currency trading in volatile markets: Did neural networks outperform for the EUR/USD during the financial crisis 2007–2009?. Journal of Derivatives & Hedge Funds, 18(1), 2-41. doi:10.1057/jdhf.2011.31

    DOI: 10.1057/jdhf.2011.31

    2011

    Modelling and trading the Greek stock market with mixed neural network models (Journal article)

    Dunis, C. L., Laws, J., & Karathanassopoulos, A. (2011). Modelling and trading the Greek stock market with mixed neural network models. Applied Financial Economics, 21(23), 1793-1808. doi:10.1080/09603107.2011.577008

    DOI: 10.1080/09603107.2011.577008

    Cointegration-based optimisation of currency portfolios (Journal article)

    Dunis, C. L., Laws, J., & Shone, A. (2011). Cointegration-based optimisation of currency portfolios. Journal of Derivatives & Hedge Funds, 17(2), 86-114. doi:10.1057/jdhf.2011.11

    DOI: 10.1057/jdhf.2011.11

    Higher order and recurrent neural architectures for trading the EUR/USD exchange rate (Journal article)

    Dunis, C. L., Laws, J., & Sermpinis, G. (2011). Higher order and recurrent neural architectures for trading the EUR/USD exchange rate. Quantitative Finance, 11(4), 615-629. doi:10.1080/14697680903386348

    DOI: 10.1080/14697680903386348

    Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs (Journal article)

    Dunis, C., Laws, J., & Rudy, J. (2011). Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs.

    2010

    Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs (Journal article)

    Rudy, J., Dunis, C., & Laws, J. (2010). Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs.

    Modelling and trading the EUR/USD exchange rate at the ECB fixing (Journal article)

    Dunis, C. L., Laws, J., & Sermpinis, G. (2010). Modelling and trading the EUR/USD exchange rate at the ECB fixing. The European Journal of Finance, 16(6), 541-560. doi:10.1080/13518470903037771

    DOI: 10.1080/13518470903037771

    Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices (Journal article)

    Dunis, C. L., Laws, J., & Rudy, J. (2011). Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices. Journal of Asset Management, 12(3), 185-202. doi:10.1057/jam.2011.15

    DOI: 10.1057/jam.2011.15

    Modelling commodity value at risk with higher order neural networks (Journal article)

    Dunis, C. L., Laws, J., & Sermpinis, G. (2010). Modelling commodity value at risk with higher order neural networks. Applied Financial Economics, 20(7), 585-600. doi:10.1080/09603100903459873

    DOI: 10.1080/09603100903459873

    Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters (Journal article)

    Dunis, C. L., Laws, J., & Evans, B. (2010). Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters. Journal of Derivatives & Hedge Funds, 15(4), 274-287. doi:10.1057/jdhf.2009.24

    DOI: 10.1057/jdhf.2009.24

    2009

    The robustness of neural networks for modelling and trading the EUR/USD exchange rate at the ECB fixing (Journal article)

    Dunis, C. L., Laws, J., & Sermpinis, G. (2009). The robustness of neural networks for modelling and trading the EUR/USD exchange rate at the ECB fixing. Journal of Derivatives & Hedge Funds, 15(3), 186-205. doi:10.1057/jdhf.2009.10

    DOI: 10.1057/jdhf.2009.10

    Performance of Shariah-Compliant Indices in London and NY Stock Markets and their potential for diversification (Journal article)

    Kok, S., Giorgioni, G., & Laws, J. (2009). Performance of Shariah-Compliant Indices in London and NY Stock Markets and their potential for diversification. International Journal of Monetary Economics and Finance, 2(3/4), 398. doi:10.1504/ijmef.2009.029071

    DOI: 10.1504/ijmef.2009.029071

    2008

    Trading futures spread portfolios: applications of higher order and recurrent networks (Journal article)

    Dunis, C. L., Laws, J., & Evans, B. (2008). Trading futures spread portfolios: applications of higher order and recurrent networks. The European Journal of Finance, 14(6), 503-521. doi:10.1080/13518470801890834

    DOI: 10.1080/13518470801890834

    2006

    Trading futures spreads: an application of correlation and threshold filters (Journal article)

    Dunis, C. L., Laws, J., & Evans, B. (2006). Trading futures spreads: an application of correlation and threshold filters. Applied Financial Economics, 16(12), 903-914. doi:10.1080/09603100500426432

    DOI: 10.1080/09603100500426432

    Modelling and trading the soybean-oil crush spread with recurrent and higher order networks: A comparative analysis (Journal article)

    Dunis, C. L., Laws, J., & Evans, B. (2006). Modelling and trading the soybean-oil crush spread with recurrent and higher order networks: A comparative analysis. Neural Network World, (3), 192-213.

    2005

    Hedging effectiveness of stock index futures (Journal article)

    Laws, J., & Thompson, J. (2005). Hedging effectiveness of stock index futures. European Journal of Operational Research, 163(1), 177-191. doi:10.1016/j.ejor.2004.01.007

    DOI: 10.1016/j.ejor.2004.01.007

    Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story (Journal article)

    Duns, C. L., Laws, J., & Evans, B. (2005). Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story. Derivatives Use Trading and Regulation, 12(1/2), 1-20.

    Trading with Higher Order and Recurrent Networks: A Comparative Analysis (Journal article)

    Duns, C. L., Laws, J., & Evans, B. (2005). Trading with Higher Order and Recurrent Networks: A Comparative Analysis. Neural Network World, (6), 509-523.

    2004

    The efficiency of financial futures markets: Tests of prediction accuracy (Journal article)

    Laws, J., & Thompson, J. (2004). The efficiency of financial futures markets: Tests of prediction accuracy. European Journal of Operational Research, 155(2), 284-298. doi:10.1016/s0377-2217(03)00087-0

    DOI: 10.1016/s0377-2217(03)00087-0

    2003

    FX volatility forecasts and the informational content of market data for volatility (Journal article)

    Dunis, C., Laws, J., & Chauvin, S. (2003). FX volatility forecasts and the informational content of market data for volatility. The European Journal of Finance, 9(3), 242-272. doi:10.1080/13518470210151100

    DOI: 10.1080/13518470210151100

    2000

    FX Volatility Forecasts: A fusion-optimisation approach (Journal article)

    Dunis, C. L., Laws, J., & Chauvin, S. (2000). FX Volatility Forecasts: A fusion-optimisation approach. Neural Network World, (1-2/00), 187-202.

    1995

    Business cycle analysis and forecasting with a structural vector auto regression model for wales (Journal article)

    Ioannidis, C., Laws, J., Matthews, K., & Morgan, B. (1995). Business cycle analysis and forecasting with a structural vector auto regression model for wales. Journal of Forecasting, 14(3), 251-265. doi:10.1002/for.3980140308

    DOI: 10.1002/for.3980140308