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ICMA Centre

Dr Andrew Urquhart

Associate Professor of Finance

Andrew U

Specialisms

  • Fintech, 
  • Cryptocurrencies, 
  • Algorithmic Trading, 
  • Asset Allocation, 
  • Corporate Finance

Dr Andrew Urquhart is Associate Professor of Finance at the ICMA Centre, Henley Business School where he is Research Division Lead. Andrew joined the ICMA Centre in September 2018 from the University of Southampton where he was Associate Professor of Finance and previously Lecturer of Finance. Andrew holds a PhD from Newcastle University where he also received a MSc Finance (distinction) and BA (Hons) in Economics and Politics.

Andrew’s main research interests are fintech, cryptocurrencies, corporate governance, financial markets, high-frequency trading, and investor sentiment. He has published over 30 papers in a range of leading international journals and his research has received considerable attention with over 800 citations. He regularly presents his work at leading international conferences such as the Financial Management Association (US and European), INFINITI, Paris Financial Management, British Accounting and Finance Association, European Financial Management Association, Economic History Society and Forecasting Financial Markets conferences.

He has also received over £500,000 in research income and he is also an associate editor at the European Journal of Finance (3*), International Review of Financial Analysis (3*) and Research in International Business and Finance (2*). Andrew received the best paper award at the 2018 Cryptocurrency Research Conference and also awarded the Deans award for leadership in research in 2017 as well as the Tom Fetherston award for the best paper in International Review of Financial Analysis in 2013.

Currently Andrew teaches the modules Blockchain, Cryptocurrencies and Applications as masters level, as well as Fintech and Cryptocurrencies as undergraduate level. Previously, he has taught Quantitative Methods for Finance at the ICMA Centre, as well as Portfolio Theory and Financial Markets at undergraduate level and the masters module Quantitative Research Methods in Finance, both at the University of Southampton. He is also an external examiner for Imperial College London for their summer school programme and MSc Finance programmes as SOAS and Birkbeck College.

Reference: Urquhart, A. and Zhang, H. (2019) Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. International Review of Financial Analysis, 63. pp. 49-57. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2019.02.009

The intraday dynamics of bitcoin

 Dr Andrew Urquhart, A. Eross, F. MCGroarty, S. Wolfe
Reference: Eross, A., MCGroarty, F., Urquhart, A. and Wolfe, S. (2019) The intraday dynamics of bitcoin. Research in International Business and Finance, 49. pp. 71-81. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2019.01.008
Reference: Platanakis, E. and Urquhart, A. (2019) Portfolio management with cryptocurrencies: the role of estimation risk. Economics Letters, 177. pp. 76-80. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2019.01.019
Reference: Eross, A., Urquhart, A. and Wolfe, S. (2019) An early warning indicator for liquidity shortages in the interbank market. International Journal of Finance & Economics, 24 (3). pp. 1300-1312. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1719
Reference: Dao, T. M., McGroarty, F. and Urquhart, A. (2019) The Brexit vote and currency markets. Journal of International Financial Markets, Institutions and Money, 59. pp. 153-164. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2018.11.004
Reference: Shen, D., Urquhart, A. and Wang, P. (2019) Does Twitter predict Bitcoin? Economics Letters, 174. pp. 118-122. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.11.007
Reference: Corbet, S., Lucey, B., Urquhart, A. and Yarovaya, L. (2019) Cryptocurrencies as a financial asset: a systematic analysis. International Review of Financial Analysis, 62. pp. 182-199. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2018.09.003
Reference: Zhang, H. and Urquhart, A. (2019) Pairs trading across mainland China and Hong Kong stock markets. International Journal of Finance & Economics, 24 (2). pp. 698-726. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1687
Reference: Manahov, V., Hudson, R. and Urquhart, A. (2019) High frequency trading from an evolutionary perspective: financial markets as adaptive systems. International Journal of Finance and Economics, 24 (2). pp. 943-962. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1700
Reference: Eross, A., Urquhart, A. and Wolfe, S. (2019) Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets. European Journal of Finance, 25 (1). pp. 35-53. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2018.1462840
Reference: Platanakis, E. and Urquhart, A. (2019) Should investors include bitcoin in their portfolios? A portfolio theory approach. The British Accounting Review. ISSN 0890-8389 (In Press)
Reference: Shen, D., Urquhart, A. and Wang, P. (2019) A three-factor pricing model for cryptocurrencies. Finance Research Letters. ISSN 1544-6123 doi: https://doi.org/10.1016/j.frl.2019.07.021 (In Press)
Reference: Hudson, R. and Urquhart, A. (2019) Technical trading and cryptocurrencies. Annals of Operations Research. ISSN 0254-5330 (In Press)
Reference: Urquhart, A. and Zhang, H. (2019) The performance of technical trading rules in Socially Responsible Investments. International Review of Economics and Finance, 63. pp. 397-411. ISSN 1059-0560 doi: https://doi.org/10.1016/j.iref.2019.05.002
Reference: Katsiampa, P., Moutsianas, K. and Urquhart, A. (2019) Information demand and cryptocurrency market activity. Economics Letters. ISSN 0165-1765 (In Press)
Reference: Kalyvas, A., Papakyriakou, P., Sakkas, A. and Urquhart, A. (2019) What drives Bitcoin’s price crash risk? Economics Letters. 108777. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2019.108777 (In Press)
Reference: Dao, T. M., McGroarty, F. and Urquhart, A. (2018) Ultra-high-frequency lead–lag relationship and information arrival. Quantitative Finance, 18. pp. 725-735. ISSN 1469-7696 doi: https://doi.org/10.1080/14697688.2017.1414484
Reference: Urquhart, A. (2018) What causes the attention of Bitcoin? Economics Letters, 166. pp. 40-44. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.02.017

Future directions in international financial integration research - a crowdsourced perspective

 Dr Andrew Urquhart, Brian M. Lucey, Samuel A. Vigne, Laura Ballester, Leonidas Barbopoulos, Janusz Brzeszczynski, Oscar Carchano, Nebojsa Dimic, Viviana Fernandex, Fabian Gogolin, Ana González-Urteaga, John W. Goodell, Pia Helbing, Riste Ichev, Fearghal Kearney, Elaine Laing, Charles J. Larkin, Annika Lindblad, Igor Lončarski, Kim Cuong Ly, Matej Marinč, Richard J. McGee, Frank McGroarty, Conor Neville, Martha O'Hagan-Luff, Vanja Piljak, Aleksander Sevic, Xin Sheng, Dimitrios Stafylas, Roald Versteeg, Anh N Vu, Simon Wolfe, Larisa Yarovaya, Andrea Zaghini
Reference: Lucey, B. M., Vigne, S. A., Ballester, L., Barbopoulos, L., Brzeszczynski, J., Carchano, O., Dimic, N., Fernandex, V., Gogolin, F., González-Urteaga, A., Goodell, J. W., Helbing, P., Ichev, R., Kearney, F., Laing, E., Larkin, C. J., Lindblad, A., Lončarski, I., Ly, K. C., Marinč, M., McGee, R. J., McGroarty, F., Neville, C., O'Hagan-Luff, M., Piljak, V., Sevic, A., Sheng, X., Stafylas, D., Urquhart, A. , Versteeg, R., Vu, A. N., Wolfe, S., Yarovaya, L. and Zaghini, A. (2018) Future directions in international financial integration research - a crowdsourced perspective. International Review of Financial Analysis, 55. pp. 35-49. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2017.10.008

Does intraday technical trading have predictive power in precious metal markets?

 Dr Andrew Urquhart, Jonathan A. Batten, Brian M. Lucey, Frank McGroarty, Maurice Peat
Reference: Batten, J. A., Lucey, B. M., McGroarty, F., Peat, M. and Urquhart, A. (2018) Does intraday technical trading have predictive power in precious metal markets? Journal of International Financial Markets, Institutions and Money, 52. pp. 102-113. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2017.06.005
Reference: Platanakis, E., Sutcliffe, C. and Urquhart, A. (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171. pp. 93-96. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.07.020
Reference: Urquhart, A. (2017) How predictable are precious metal returns? European Journal of Finance, 23 (14). pp. 1390-1413. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2016.1204334
Reference: Urquhart, A. (2017) Price clustering in Bitcoin. Economics Letters, 159. pp. 145-148. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2017.07.035

Stylized facts of intraday precious metals

 Dr Andrew Urquhart, Jonathan Batten, Brian Lucey, Frank McGroarty, Maurice Peat
Reference: Batten, J., Lucey, B., McGroarty, F., Peat, M. and Urquhart, A. (2017) Stylized facts of intraday precious metals. PLoS ONE, 12 (4). ISSN 1932-6203 doi: https://doi.org/10.1371/journal.pone.0174232
Reference: Hudson, R., McGroarty, F. and Urquhart, A. (2017) Sampling frequency and the performance of different types of technical trading rules. Finance Research Letters, 22. pp. 136-139. ISSN 1544-6123 doi: https://doi.org/10.1016/j.frl.2016.12.015
Reference: Dao, T. M., McGroarty, F. and Urquhart, A. (2016) A calendar effect: weekend overreaction (and subsequent reversal) in spot FX rates. Journal of Multinational Financial Management, 37. pp. 158-167. ISSN 1042-444X doi: https://doi.org/10.1016/j.mulfin.2016.11.001
Reference: Eross, A., Urquhart, A. and Wolfe, S. (2016) Liquidity risk contagion in the interbank market. Journal of International Financial Markets, Institutions and Money, 45. pp. 142-155. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2016.07.005
Reference: Urquhart, A. (2016) The inefficiency of Bitcoin. Economics Letters, 148. pp. 80-82. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2016.09.019
Reference: Urquhart, A. and McGroarty, F. (2016) Are stock markets really efficient? Evidence of the adaptive market hypothesis. International Review of Financial Analysis, 47. pp. 39-49. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2016.06.011
Reference: Urquhart, A. and Hudson, R. (2016) Investor sentiment and local bias in extreme circumstances: the case of the Blitz. Research in International Business and Finance, 36. pp. 340-350. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2015.09.010
Reference: Goodell, J. W., McGroarty, F. and Urquhart, A. (2015) Political uncertainty and the 2012 US presidential election: a cointegration study of prediction markets, polls and a stand-out expert. International Review of Financial Analysis, 42. pp. 162-171. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2015.05.003
Reference: Urquhart, A. , Gebka, B. and Hudson, R. (2015) How exactly do markets adapt? Evidence from the moving average rule in three developed markets. Journal of International Financial Markets, Institutions and Money, 38. pp. 127-147. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2015.05.019
Reference: Hudson, R. and Urquhart, A. (2015) War and stock markets: the effect of World War Two on the British stock market. International Review of Financial Analysis, 40. pp. 166-177. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2015.05.015
Reference: Urquhart, A. and McGroarty, F. (2014) Calendar effects, market conditions and the Adaptive Market Hypothesis: evidence from long-run U.S. data. International Review of Financial Analysis, 35. pp. 154-166. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2014.08.003
Reference: Urquhart, A. (2014) The Euro and European stock market efficiency. Applied Financial Economics, 24 (19). pp. 1235-1248. ISSN 0960-3107 doi: https://doi.org/10.1080/09603107.2014.924292
Reference: Urquhart, A. and Hudson, R. (2013) Efficient or adaptive markets? Evidence from major stock markets using very long run historic data. International Review of Financial Analysis, 28. pp. 130-142. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.03.005

Fintech and Cryptocurrencies

This module seeks to introduce students to Fintech as well as cryptocurrencies and blockchain. The module offers students the opportunity to gain an understanding of how and why firms are...

Module code: IC316

Blockchain, Cryptocurrencies and Applications

Blockchain technology is rapidly changing the financial industry and beyond. Countless applications are being explored in payments, insurance, lending, fund raising, settlement of securities transactions and contract execution. In this...

Module code: ICM318

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