Overview
Rand Low is Honorary Associate Professor at the University of Queensland and an Associate Professor of Quantitative Finance at Bond Business School.
Assoc. Professor Rand Low’s research areas are in asset and investments management, specifically correlation/dependence modelling, portfolio optimization, risk management, systematic trading strategies and commodities 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, Journal of Commodities Markets, Resource Policy, and Journal of Risk. Rand is an avid supporter of Open Access Journals and multi-disciplinary research. He is an Editor of the Special Issue of Mathematics: Mathematical Models and Applications in Finance (Impact Factor: 2.6; Q1 Journal Ranking)
Prior to his PhD studies, Assoc Prof. Professor Low worked in control systems engineering and management roles for Honeywell for landmark engineering projects such as GOMA, SLQ, Brisbane Square, Mater Mothers' Hospital, St Andrews Hospital, and more where he achieved the Chartered Engineer designation from Engineers Australia. During his PhD studies, he won the GSITA Award and 3MT competitions. Upon completing his PhD, he received the Dean's Award for Research Higher Degree Excellence, a research fellowship on portfolio optimization & risk management techniques for financial crises and an Australia Awards - Endeavour fellow. He has been a visiting research fellow at the New York University - Stern School of Business, and an Australian Institute of Business and Economis (AIBE) Scholar He has also had Visiting Research Fellow appointments at the University of Strathclyde, Glasgow, UK and Sunway University, Kuala Lumpur, Malaysia.
Assoc. Prof Low research expertise has allowed him to successfully transition into industry as he has worked at the global headquarters of Bank of America Merrill Lynch and BlackRock in New York City. He led teams of quantitative researchers in building mathematical models for market/credit/operational risk, securities lending, structured products, asset-backed securities, and portfolio management. He 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 worked on quantiative model stress-testing, model risk management practices, and model risk governance for major global financial institutions.
Assoc. 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 (i.e., cryptocurrencies, blockchain), commodities, and systematic active investment 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
Professor Low has frequently contributed his academic and industry insights into topical issues in global financial markets, the Australian economy, interest rates, cryptocurrencies, and investing & retirement with national newspapers and trade publications (e.g., Australian Financial Review, Courier Mail, BBC, Australian Stock Exchange, Singapore Diamond Investment Exchange, news.com.au, 7news, Newsweek, etc.). He has been quoted as the "DIY recession guy" appearing on interviews with Channel 9: The Today Show, Channel 10 The Project, and Channel 10 News. He has also been interviewed several times on ABC Brisbane Mornings with Steve Austin on the state of the Australian economy, inflation rates & risks, and the Australian Federal Budget 2024. He has also been called to parliament for the Inquiry into the Development of the Australian Corporate Bond Market and provided advice on how to increase Australian retail investment into corporate bonds.
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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Impact of Mining Technological Innovations on Iron Ore Share Prices
(2024) 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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Determinants of corporate credit ratings: Does ESG matter?
Michalski, Lachlan and Low, Rand Kwong Yew (2024). Determinants of corporate credit ratings: Does ESG matter?. International Review of Financial Analysis, 94 103228, 103228. doi: 10.1016/j.irfa.2024.103228
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Does time frame of IPO proceeds predict survival of firms? Evidence from the Malaysian market
Alyasa-Gan, Siti Sarah, Che-Yahya, Norliza and Low, Rand Kwong Yew (2023). Does time frame of IPO proceeds predict survival of firms? Evidence from the Malaysian market. Journal of Emerging Market Finance, 22 (4), 359-381. doi: 10.1177/09726527231178086
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The commodity risk premium and neural networks
Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2023). The commodity risk premium and neural networks. Journal of Empirical Finance, 74 101433, 1-20. doi: 10.1016/j.jempfin.2023.101433
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Mugebe, P., Kizil, M.S., Yahyaei, M. and Low, R. (2023). Foundation of a framework for evaluating the impact of mining technological innovation on a company's market value. Resources Policy, 85 103913, 103913. doi: 10.1016/j.resourpol.2023.103913
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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, 28 100259, 1-21. doi: 10.1016/j.jcomm.2022.100259
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Mugebe, Pilot, Yahyaei, Mohsen and Low, Rand Kwong Yew (2022). Foundation of a framework for evaluating the impact of mining technological innovation on a company's market value. SSRN Electronic Journal, 1-25. doi: 10.2139/ssrn.4036259
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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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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
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Impact of Mining Technological Innovations on Iron Ore Share Prices
(2024) 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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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)
