Honorary Senior Fellow
Overview
Rand Low is an Associate Professor of Quantitative Finance at Bond Business School and Honorary Senior Fellow at the University of Queensland.
Professor Low’s research areas are in asset and investments management, specifically correlation/dependence modelling, portfolio optimization, risk management, systematic trading strategies and multi-asset investing strategies. His work has been published in leading academic and industry journals such as Journal of Banking & Finance, Quantitative Finance, Journal of Empirical Finance, Journal of Investing, and Journal of Risk.
Prior to his PhD, Professor Low worked in control systems engineering and management roles for Honeywell and is a Chartered Professional Engineer. Upon completing his PhD, he won a 3-year postdoctoral research grant on portfolio optimization & risk management techniques for financial crises and was a recipient of the Australia Awards - Endeavour fellowship. He has been a visiting research fellow at the New York University - Stern School of Business.
Professor Low has worked at the global headquarters of Bank of America Merrill Lynch and BlackRock in New York City. He led teams of quantitative analysts in building mathematical models for market/credit/operational risk, securities lending, structured products, asset-backed securities, and portfolio management. Professor Low has also defended quantitative model development practices on behalf of these institutions to US regulators such as the Federal Reserve (FED) and the Office of the Comptroller of Currency (OCC). He is familiar with stress-testing and model risk management practices such as model validation and governance for large financial institutions.
Professor Low’s is interested in applying statistical and machine learning techniques in automating business processes and investments management in areas such as corporate credit ratings, robo-advisors, digital assets, and systematic active strategies.
Research Interests
- Multi-asset portfolio optimization (Commodities, Fixed Income, Private Equity)
- Dependence modelling for financial crises (Vine copulas, Factor copulas)
- Digital assets & cryptocurrency (Ethereum, Stablecoin, Privatecoin)
- Credit risk, market risk & operational risk (PD/LGD/EAD, VaR/CVaR)
- Systematic trading strategies (Factor-Investing, Event-Driven)
Research Impacts
In public engagement, Professor Low has frequently contributed his academic and industry insights into topical issues in financial markets, investing and retirement with national newspapers and trade publications (e.g., Courier Mail, Australian Stock Exchange, Singapore Diamond Investment Exchange).
In student engagement, he 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. His research students are working in the asset management and investments industry.
Based on Professor Low's research expertise in the application of copulas in portfolio optimization and risk management, he has led quantitative research & development teams in the world's pre-eminent buy-side and sell-side financial institutions in Manhattan, NYC.
He is a consultant and advisor to financial technology firms such such as BitOrb (Digital Assets Derivatives Exchange) and the Australian Bond Exchange (Fixed Income Products Exchange).
Qualifications
- Doctor of Philosophy, The University of Queensland
Publications
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Journal Article: 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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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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Commodity risk premia in modern portfolio management
(2021) Doctor Philosophy
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Relationships and gaps between technological advancement and mineral resources prices and stocks behaviour, leading to an investment decision making model
Doctor Philosophy
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Tree-based, deep learning and sentiment analysis applications to corporate credit ratings
Doctor Philosophy
Available Projects
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Corporate credit risk ratings (Statistical Learning, Machine Learning)
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Robo-advisors (Dynamic Portfolio Optimization, Bellman Equation)
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Multi-asset portfolio optimization (Hedge funds, Commodities, Fixed income)
Publications
Featured Publications
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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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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 (2017). Canonical vine copulas in the context of modern portfolio management : are they worth it?. Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns. (pp. 263-289) edited by Jamie Alcock and Stephen Satchell. Chichester, West Sussex, United Kingdom: John Wiley and Sons. doi: 10.1002/9781119288992.ch11
Journal Article
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The strategic allocation to style-integrated portfolios of commodity futures
Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2022). The strategic allocation to style-integrated portfolios of commodity futures. Journal of Commodity Markets 100259, 100259. doi: 10.1016/j.jcomm.2022.100259
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Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2020). Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. Journal of Empirical Finance, 58, 164-180. doi: 10.1016/j.jempfin.2020.05.006
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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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Marsh, Terry and Low, Rand (2019). Guest editorial: Cryptocurrency and blockchain: 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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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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Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation
Low, Rand Kwong Yew (2018). Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation. Accounting and Finance, 58 (S1), 423-463. doi: 10.1111/acfi.12274
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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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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
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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
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Relationships and gaps between technological advancement and mineral resources prices and stocks behaviour, leading to an investment decision making model
Doctor Philosophy — Associate Advisor
Other advisors:
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Tree-based, deep learning and sentiment analysis applications to corporate credit ratings
Doctor Philosophy — Associate Advisor
Completed Supervision
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Commodity risk premia in modern portfolio management
(2021) Doctor Philosophy — Principal Advisor
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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Corporate credit risk ratings (Statistical Learning, Machine Learning)
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Robo-advisors (Dynamic Portfolio Optimization, Bellman Equation)
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Multi-asset portfolio optimization (Hedge funds, Commodities, Fixed income)
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Digital Assets & Cryptocurrency
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Copulas and dependence modelling (Vine copulas, Archimedean copulas)
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Statistical arbitrage (Pairs trading, Risk arbitrage, Event studies)
