Honorary Senior Fellow
Overview
Dr. Rand Low is an UQBS Honorary Fellow, and is currently based in Wall St, Manhattan, New York City.
Rand has undergraduate double-degrees in a Bachelors of Engineering (Mechatronics) and Bachelors of Computer Science at the University of Melbourne. He achieved a 1st class honours and received a Final Year Projects - Meridian Award in ‘Design & Implementation’. Rand also received a Faculty of Engineering and Melbourne Abroad Scholarships where he spent a year in Canada at McGill University and the University of British Columbia.
Rand’s career began as a control systems engineer and project manager for Honeywell, a major US engineering & technology conglomerate. Rand was responsible for the delivery and successful implementation of cutting-edge security systems, environmental control systems, and building management interfaces in iconic projects across Brisbane and Queensland. Rand achieved Chartered Professional Engineer (CPEng) and holds a Lean Six Sigma Green belt qualification. He received an Asia-Pacific Technical Excellence Champion award for optimizing engineering design processes.
During his PhD candidature, Rand has made over 25 presentations on his research on portfolio optimization and correlation modelling at academic conferences, university workshops, hedge funds, proprietary trading firms in the US, UK, Europe, and Australia. He has received ‘Best Paper in Finance’ at the 4th IAFDS conference, UQ 3MT BEL Faculty & People’s choice winner, and GSITA grant that supported him as a Visiting Scholar at the University of Strathclyde in Glasgow, UK in 2011.
Rand received a 3-year postdoctoral research grant from the University of Queensland graduate school and pursued his interests in investigating techniques for minimizing investment risk during financial crises. He received an Australia Award - Endeavour Fellowship and continued his postdoctoral research at New York University - Stern School of Business. As an academic mentor, he also led UQ's undergraduate CFA team to an national #2 position in Australia in both 2014 and 2015.
Rand is currently based in New York. He aspires to bring his Wall St experience back to Australia, and to engage with both postgraduate and undergraduate students of the unlimited possibilities of a UQ education. Rand is a UQ BEL Faculty Alumni Ambassador and is happy to meet with prospective, current students and UQ alumni in NYC. Rand has also worked and published with academics in research areas of interest to the banking industry.
Research Interests
- Correlation (dependence) modelling of financial time series with copulas and vine copulas.
- Evaluation and back-testing of portfolio optimization, risk management, and risk-parity investment strategies.
- Evaluation of financial systemic risk in hedge funds, banks, and commodities.
- Insulating investment portfolios from downside exposure.
- ‘Big Data’ analysis to generate alpha signals and trading opportunities.
Research Impacts
Rand won a 3-year postdoctoral research grant investigating the areas of portfolio and risk management for financial crises. As a UQ Postdoctoral Research Fellow, his areas of research involved fund performance evaluation, financial econometrics, correlation and volatility modelling, portfolio optimization for risk minimization, and trading strategies.
In student engagement, Rand has successfully led the UQ CFA team into the National Chartered Financial Analysts (CFA) Challenge to the finals in both 2014 & 2015 where the UQ team came in an over all #2 nationally.
In 2015/2016, Rand received an Australia Award - Endeavour Research Fellowship and continued his Postdoctoral Research at the New York University - Stern School of Business. Rand worked with Prof. Anthony Lynch and Prof. Andrew Patton on implementing copulas with dynamic portfolio optimization. During this time, he contributed his copula code towards the V-lab (http://vlab.stern.nyu.edu/en/ ) of the Volatility Institute headed by Nobel Prize winner Prof. Robert Engle. During this time, he was also proudly supported by the Australian Institute of Business and Economics (AIBE).
Based on his skills and knowledge in the use of copulas in portfolio optimization and risk management applications, Rand applies his research expertise at firms in Wall St, NYC.
Qualifications
- Doctor of Philosophy, The University of Queensland
Publications
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Journal Article: Cryptocurrency: tulip mania or digital promise for the millennial generation?
Marsh, Terry and Low, Rand (2019) Cryptocurrency: tulip mania or digital promise for the millennial generation?. Studies in Economics and Finance, 36 1: 2-7. doi:10.1108/SEF-03-2019-355
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Journal Article: The profitability of pairs training strategies: distance, cointegration and copula methods
Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert (2016) The profitability of pairs training strategies: distance, cointegration and copula methods. Quantitative Finance, 16 10: 1541-1558. doi:10.1080/14697688.2016.1164337
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Journal Article: Diamonds vs. precious metals: what shines brightest in your investment portfolio?
Low, Rand Kwong Yew, Yao, Yiran and Faff, Robert (2016) Diamonds vs. precious metals: what shines brightest in your investment portfolio?. International Review of Financial Analysis, 43 1-14. doi:10.1016/j.irfa.2015.11.002
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Journal Article: Canonical vine copulas in the context of modern portfolio management: are they worth it?
Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy J. (2013) Canonical vine copulas in the context of modern portfolio management: are they worth it?. Journal of Banking and Finance, 37 8: 3085-3099. doi:10.1016/j.jbankfin.2013.02.036
Grants
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Portfolio optimization & risk management techniques for financial crises
(2014–2016) UQ Postdoctoral Research Fellowship
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The role of risk adjusted return metrics in retirement choices
(2014–2015) Accounting and Finance Association of Australia and New Zealand
Supervision
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Social media analytics within the context of portfolio optimisation
Doctor Philosophy
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Analysing the profitability of complex statistical arbitrage strategies and their relation to market efficiency
Doctor Philosophy
Available Projects
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Correlation (dependence) modelling of financial time series with copulas and vine copulas.
-
Evaluation and back-testing of portfolio optimization, risk management, and risk-parity investment strategies.
-
Evaluation of financial systemic risk in hedge funds, banks, and commodities.
Publications
Featured Publications
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Cryptocurrency: tulip mania or digital promise for the millennial generation?
Marsh, Terry and Low, Rand (2019) Cryptocurrency: tulip mania or digital promise for the millennial generation?. Studies in Economics and Finance, 36 1: 2-7. doi:10.1108/SEF-03-2019-355
-
The profitability of pairs training strategies: distance, cointegration and copula methods
Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert (2016) The profitability of pairs training strategies: distance, cointegration and copula methods. Quantitative Finance, 16 10: 1541-1558. doi:10.1080/14697688.2016.1164337
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Diamonds vs. precious metals: what shines brightest in your investment portfolio?
Low, Rand Kwong Yew, Yao, Yiran and Faff, Robert (2016) Diamonds vs. precious metals: what shines brightest in your investment portfolio?. International Review of Financial Analysis, 43 1-14. doi:10.1016/j.irfa.2015.11.002
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Canonical vine copulas in the context of modern portfolio management: are they worth it?
Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy J. (2013) Canonical vine copulas in the context of modern portfolio management: are they worth it?. Journal of Banking and Finance, 37 8: 3085-3099. doi:10.1016/j.jbankfin.2013.02.036
Book Chapter
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Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy (2018). Canonical vine copulas in the context of modern portfolio management : are they worth it?. In Jamie Alcock and Stephen Satchell (Ed.), Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns (pp. 263-289) Chichester, West Sussex, United Kingdom: John Wiley & Sons. doi:10.1002/9781119288992.ch11
Journal Article
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Cryptocurrency and blockchains: retail to institutional
Low, Rand and Marsh, Terry (2019) Cryptocurrency and blockchains: retail to institutional. Journal of Investing, 29 1: 18-30. doi:10.3905/joi.2019.1.102
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Cryptocurrency: tulip mania or digital promise for the millennial generation?
Marsh, Terry and Low, Rand (2019) Cryptocurrency: tulip mania or digital promise for the millennial generation?. Studies in Economics and Finance, 36 1: 2-7. doi:10.1108/SEF-03-2019-355
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Marsh, Terry and Low, Rand (2019) Guest editorial. Studies in Economics and Finance, 36 1: 2-7. doi:10.1108/SEF-03-2019-355
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BV–VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets
Low, Rand, Li, Te and Marsh, Terry (2018) BV–VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets. Journal of Risk, 21 2: 63-97. doi:10.21314/jor.2018.399
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Avkiran, Necmi K., Ringle, Christian M. and Low, Rand (2018) Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing. Journal of Risk, 20 5: 83-115. doi:10.21314/JOR.2018.386
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Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation
Low, Rand Kwong Yew (2017) Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation. Accounting and Finance, 58 423-463. doi:10.1111/acfi.12274
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The role of analyst forecasts in the momentum effect
Low, Rand Kwong Yew and Tan, Enoch (2016) The role of analyst forecasts in the momentum effect. International Review of Financial Analysis, 48 67-84. doi:10.1016/j.irfa.2016.09.007
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The profitability of pairs training strategies: distance, cointegration and copula methods
Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert (2016) The profitability of pairs training strategies: distance, cointegration and copula methods. Quantitative Finance, 16 10: 1541-1558. doi:10.1080/14697688.2016.1164337
-
Enhancing mean-variance portfolio selection by modeling distributional asymmetries
Low, Rand Kwong Yew, Faff, Robert and Aas, Kjersti (2016) Enhancing mean-variance portfolio selection by modeling distributional asymmetries. Journal of Economics and Business, 85 49-72. doi:10.1016/j.jeconbus.2016.01.003
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Diamonds vs. precious metals: what shines brightest in your investment portfolio?
Low, Rand Kwong Yew, Yao, Yiran and Faff, Robert (2016) Diamonds vs. precious metals: what shines brightest in your investment portfolio?. International Review of Financial Analysis, 43 1-14. doi:10.1016/j.irfa.2015.11.002
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Is diversification always optimal?
Humphrey, Jacquelyn E., Benson, Karen L., Low, Rand K.Y. and Lee, Wei-Lun (2015) Is diversification always optimal?. Pacific Basin Finance Journal, 35 Part B: 521-532. doi:10.1016/j.pacfin.2015.09.003
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Canonical vine copulas in the context of modern portfolio management: are they worth it?
Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy J. (2013) Canonical vine copulas in the context of modern portfolio management: are they worth it?. Journal of Banking and Finance, 37 8: 3085-3099. doi:10.1016/j.jbankfin.2013.02.036
Other Outputs
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Examination of correlation structures in the context of modern portfolio management
Low, Kwong Yew (2013). Examination of correlation structures in the context of modern portfolio management PhD Thesis, UQ Business School, The University of Queensland.
Grants (Administered at UQ)
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Portfolio optimization & risk management techniques for financial crises
(2014–2016) UQ Postdoctoral Research Fellowship
-
The role of risk adjusted return metrics in retirement choices
(2014–2015) Accounting and Finance Association of Australia and New Zealand
PhD and MPhil Supervision
Current Supervision
-
Social media analytics within the context of portfolio optimisation
Doctor Philosophy — Associate Advisor
Other advisors:
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Analysing the profitability of complex statistical arbitrage strategies and their relation to market efficiency
Doctor Philosophy — Associate Advisor
Other advisors:
Possible Research Projects
Note for students: The possible research projects listed on this page may not be comprehensive or up to date. Always feel free to contact the staff for more information, and also with your own research ideas.
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Correlation (dependence) modelling of financial time series with copulas and vine copulas.
-
Evaluation and back-testing of portfolio optimization, risk management, and risk-parity investment strategies.
-
Evaluation of financial systemic risk in hedge funds, banks, and commodities.
-
Insulating investment portfolios from downside exposure.
-
‘Big Data’ analysis to generate alpha signals and trading opportunities.
-
Risk-on & Risk-off modelling
