Academic Papers
Alexander, C., Chen, X., Deng, J. and Q. Fu (2023) Impacts of Protocol Updates on Uniswap Decentralized Crypto Exchanges ssrn
Alexander, C., Chen, X., Deng, J. and T. Wang (2023) Arbitrage Opportunities and Efficiency Tests in Crypto Options. ssrn
Alexander, C. and X. Chen (2023) Non-Rarity Metrics for Non-Fungible Tokens. ssrn
Alexander, C., W. Wei and X. Chen (2024) Matching Kollo Measures. Journal of the Operational Research Society, Open Access DOI: 10.1080/01605682.2023.2240847
Alexander, C., Coulon, M., Han, Y. and X. Meng (2024) Evaluating the Discrimination Ability of Proper Multi-Variate Scoring Rules. Annals of Operations Research, 334, 857–883 Open Access
Alexander, C. and M. Dakos (2024) The New Tokenomics of Crowdfunding. The British Journal of Management, 35(2), 644-662 Open Access
Alexander, C., Chen, D. and and A. Imeraj (2023) Crypto Quanto and Inverse Options. Mathematical Finance, 33(4), 1005-1043 Open Access
Alexander, C., Deng, J. and B. Zou (2023) Hedging with Automatic Liquidation and Leverage Selection on Bitcoin Futures. European Journal of Operational Research, 306(1), 487 - 493 Open Access
Alexander, C. and I. Imeraj (2023) Delta Hedging Bitcoin Options with a Smile. Quantitative Finance 23(5), 799-817 Open Access
Alexander, C. and M. Dakos (2023) Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios. Quantitative Finance, 23(3), 393 - 427 Open Access
Alexander, C., Deng, J., Feng, J. and H. Wan (2023) Net Buying Pressure and the Information in Bitcoin Option Trades. Journal of Financial Markets, Vol. 63, Art. No. 100764 Open Access
Alexander, C., Heck, D. and A. Kaeck (2022) Price Discovery in Bitcoin: The Role of Limit Orders. ssrn
Alexander, C., Heck, D. and A. Kaeck (2022) The Role of Binance in Bitcoin Volatility Transmission. Applied Mathematical Finance, 29(1), 1 - 32 Open Access
Alexander, C., Han, Y. and X. Meng (2022) Static and Dynamic Models for Multivariate Distribution Forecasts. International Journal of Forecasting, 39(3), 1078 - 1096 Open Access
Alexander, C., Meng, X. and W. Wei (2022) Targetting Kollo Skewness with Random Orthogonal Matrix Simulation. European Journal of Operational Research, 299, 362 - 376 Open Access
Alexander, C., Chen, X. and C. Ward (2021) Risk-Adjusted Valuation for Real Option Decisions. Journal of Economic Behaviour and Organisation 191, 1046-1064. download
Alexander C. and X. Chen (2021) Model Risk in Real Option Valuation. Annals of Operations Research, 299(1), 1025-1056 download
Alexander, C. and A. Imeraj (2021) The Bitcoin VIX and its Variance Risk Premium. Journal of Alternative Investments, 23 (4) 84-109 download
Alexander, C. and J. Rauch (2021) A General Property for Time Aggregation. European Journal of Operational Research, 291(2), 536-548 download
Alexander, C. and E. Lazar (2021) The Continuous Limit of Weak GARCH. Econometric Reviews 40(2), 197-216 download
Alexander, C., Lazar, E. and S. Stanescu (2021) Analytic Moments for GARCH Processes. International Journal of Forecasting 37(1), 105-124 download
Alexander, C. and D. Heck (2020) Price Discovery in Bitcoin: The Impact of Unregulated Markets. Journal of Financial Stability 50, 1-18. download
Alexander, C., Choi, J., Massie, H. and S. Sohn (2020) Price Discovery and Microstructure in Ether Spot and Derivatives Markets. International Review of Financial Analysis, 71 download
Alexander C. and M. Dakos (2020) A Critical Investigation of Cryptocurrency Data and Analysis. Quantitative Finance, 20(2), 173-188 download
Alexander C., Choi, J., Park, H., and S. Sohn (2019) BitMEX Bitcoin Derivatives: Price Discovery, Informational Eciency and Hedging Effectiveness. Journal of Futures Markets, 40(1) 23-43 download
Alexander C., Kaeck, A. and Sumawong, A. (2019) A Parsimonious Parametric Model for Generating Margin Requirements for Futures. European Journal of Operational Research, 273(1), 31-43 download
Leontsinis, S., and C. Alexander (2017) Arithmetic Variance Swaps, Quantitative Finance, 17(4), 551-569 download
Alexander, C., Korovilas D. and J. Kapraun (2016) ‘Diversification with Volatility Products’ Journal of International Money and Finance 65, 213-235 download
Alexander, C., J. Kapruan and D. Korovilas (2015) ‘Trading and Investing in Volatility Products’ Financial Markets, Institutions and Instruments 24(4), 313-347 download
Alexander, C. and D. Korovilas (2013) ‘Volatility exchange-traded notes: curse or cure?’ Journal of Alternative Investments 16(2), 52-70 download
Kaeck, A. and C. Alexander (2013) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management 19(3), 470-496 download
Alexander, C., Lazar, E. and S. Stanescu (2013) ‘Forecasting VaR using analytic higher moments for GARCH processes’ International Review of Financial Analysis 30, 36-45 download
Alexander, C., Propoczuk, M. and A. Sumawong (2013) ‘The (de)merits of minimum-variance hedging: Application to the crack spread’ Energy Economics 36, 698-707 download
Kaeck, A. and C. Alexander (2013) ‘Continuous-time VIX dynamics: on the role of stochastic volatility of volatility’ International Review of Financial Analysis 28, 45-56 download
Alexander, C. and J-M. Sarabia (2012) ‘Quantile uncertainty and value-at-risk’ Risk Analysis: An International Journal 32(8), 1293-1308 download
Ledermann, D. and C. Alexander (2012) ‘Further properties of random orthogonal matrix simulation’ Mathematics and Computers in Simulation 83, 56-79 download
Kaeck, A. and C. Alexander (2012) ‘Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions’ Journal of Banking and Finance 36 (11), 3110-3121 download
Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia (2012) ‘Generalized beta generated distributions’ Computational Statistics and Data Analysis 56(6), 1880–1897 download
Alexander, C. and A. Venkatramanan (2012) ‘Analytic approximations for multi-asset option pricing’ Mathematical Finance 22(4), 667-689 download
Alexander, C. and A. Kaeck (2012) ‘Does model fit matter for hedging? Evidence from FTSE 100 options’ Journal of Futures Markets 32(7), 609–638 download
Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) ‘Regime-dependent smile-adjusted delta hedging’ Journal of Futures Markets 32(3), 202-229 download
Venkatramanan, A. and C. Alexander (2011) ‘Closed-form approximations for spread options’ Applied Mathematical Finance 18 (5), 447-472 download
Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ Linear Algebra and its Applications 434, 1444-1467 download
Alexander, C. and E. Lazar (2009) ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 – 797 download
Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045 download
Alexander, C. and E. Sheedy (2008) ‘Developing a stress testing framework based on market risk models’ Journal of Banking and Finance 32:10, 2220-2236 download
Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021. download
Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337 download
Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479. download
Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 – 59 download
Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’ Journal of Banking and Finance, 31:6, 1839-1861 download
Yigitsbasioglu, A. and C. Alexander (2006) ‘Pricing and hedging convertible bonds: delayed calls and uncertain volatility’ International Journal of Theoretical and Applied Finance, 9:2, 415-437 download
Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336 download
Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61 download
Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13. download
Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25 download
Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11:1, 89-113 download
Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63. download
Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231. download
Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’ Quantitative Finance, 4:6 1-12. download
Alexander, C. (2004) ‘Normal mixture diffusion with uncertain volatility: modelling short and long term smile effects’ Journal of Banking and Finance, 28:12 2957-2980 download
Alexander, C. and A. Dimitriu (2004) ‘Sources of out-performance in equity markets: common trends, mean reversion and herding’ Journal of Portfolio Management, 30:4, 170-185 download
Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’ Quantitative Finance, 4:3 C30 – C33 download
Alexander, C. (2002) ‘Principal component models for generating large covariance matrices’ Review of Banking, Finance and Monetary Economics, Economic Notes, 31:2, 337-359 download
Alexander, C., I. Giblin and W. Weddington (2002) ‘Cointegration and asset allocation: a new active hedge fund strategy’ Research in International Business and Finance, 16, 65-90. download
Alexander, C. (2000) ‘Measuring operational risks with Bayesian belief networks’ Derivatives, Use Trading and Regulation 6:2 166-196 download
Alexander, C. (1999) ‘Optimal hedging using cointegration’ Philosophical Transactions of the Royal Society Series A 357 2039-2058 download
Alexander, C. and C. Leigh (1997) ‘On the covariance matrices used in VaR models’ Journal of Derivatives, 4:3 50-62 download
Alexander, C. and I. Giblin (1996) ‘Multivariate embedding methods: forecasting high-frequency data in the first INFFC’ Journal of Computational Intelligence in Finance 5:6 17-24 download
Alexander, C. and W. Ledermann (1996) ‘Are Nash bargaining wage agreements unique? An investigation into bargaining sets for firm/union negotiations’ Oxford Economic Papers 48:2 1-11 download
Alexander, C. and J. Wyeth (1996) ‘Causality testing in models of spatial market integration’ Journal of Development Studies, 32:1 144-146 download
Alexander, C. (1996) ‘Evaluating the use of RiskMetricsä as a risk measurement tool for your operation’ Derivatives: Use Trading and Regulation 2:3 277-285 download
Alexander, C. and H. Rendall (1995) ‘Data generation processes of spatial series: Analysis of ephemeral channel form’ Geographical Analysis 27:1 78-93 download
Alexander, C. (1995) ‘Common volatility in the foreign exchange market’ Applied Financial Economics 5:1 1-10. download
Alexander, C. and J. Wyeth (1994) ‘Cointegration and market integration: an application to the Indonesian rice market’ Journal of Development Studies 30:2 303-308 download
Alexander, C. and M. Barrow (1994) ‘Seasonality and cointegration of regional house prices in the UK’ Urban Studies 31:10 1667-1689 download
Alexander, C. and W. Ledermann (1994) ‘The constrained Nash bargaining solution’ Journal of the Operational Research Society 45:5 954-958 download
Alexander, C. (1993) ‘The changing relationship between productivity, wages and unemployment in the U.K.’ Oxford Bulletin of Economics and Statistics 55:1 87-102 download
Alexander, C. and A. Johnson (1992) ‘Are foreign exchange markets really efficient?’ Economics Letters 40 449-453 download
Alexander, C., I. Giblin and D. Newton (1992) ‘The symmetry of fractals’ Mathematical Intelligencer 14:2 32-34 download
Alexander, C. (1992) ‘The Kalai-Smorodinsky bargaining solution in wage negotiations’ Journal of the Operational Research Society 43:8 779-786 download
Alexander, C. (1988) [under name van der Ploeg] ‘On a converse to the Tschebotarev density theorem’ Journal of the Australian Mathematical Society Series A 44 287-293 download
Alexander, C. (1987) [under name van der Ploeg] ‘Duality in non-normal quartic fields’ American Mathematical Monthly 94 279-284 download
Alexander, C. and W. Ledermann (1985) [under name van der Ploeg] ‘Integral bases of dihedral number fields’ Journal of the Australian Mathematical Society Series A 38 351-371 download