Ramazan Gencay

Simon Fraser University

Professor

Department of Economics

8888 University Drive

Burnaby , British Columbia V5A 1S6

Canada

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 4,804

SSRN RANKINGS

Top 4,804

in Total Papers Downloads

8,335

CITATIONS
Rank 13,176

SSRN RANKINGS

Top 13,176

in Total Papers Citations

29

Scholarly Papers (30)

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Olsen and Associates Working Paper No. 319
Number of pages: 62 Posted: 30 Mar 1999
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
Downloads 1,818 (8,065)
Citation 4

Abstract:

Loading...

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

International Economic Review, Vol. 43, No. 2, pp. 463-492, 2002
Number of pages: 30 Posted: 07 Feb 2003
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting, Lykke Corp and Pictet Asset Management
Downloads 39 (427,605)
Citation 4
  • Add to Cart

Abstract:

Loading...

2.

Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence

Number of pages: 23 Posted: 27 Jan 2007
Ramazan Gencay and Nikola Gradojevic
Simon Fraser University and University of Guelph, Department of Economics and Finance
Downloads 778 (30,148)
Citation 1

Abstract:

Loading...

Non-additive Entropy, Shannon Entropy, Tsallis Entropy, q-Gaussian Distribution.

3.

Effective Return, Risk Aversion and Drawdowns

Olsen & Associates Working Paper No. 321
Number of pages: 24 Posted: 20 Jul 1999
DEAR-Consulting, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 609 (41,883)
Citation 6

Abstract:

Loading...

4.

Asymmetry of Information Flow between Volatilities Across Time Scales

Number of pages: 40 Posted: 05 May 2003 Last Revised: 17 Jun 2009
Simon Fraser University, Bilkent University - Department of Economics, University of Guelph, Department of Economics and Finance and National Center for Atmospheric Research
Downloads 471 (58,266)
Citation 3

Abstract:

Loading...

Discrete wavelet transform, wavelet-domain hidden Markov trees, foreign exchange markets, stock markets, multiresolution analysis, scaling, Finance, Financial Econometrics, Volatility, High-Frequency Finance, Wavelets

5.

Intraday Statistical Properties of Eurofutures

Olsen & Associates Working Paper No. 320
Number of pages: 51 Posted: 30 Mar 1999
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting and Olsen & Associates
Downloads 387 (73,805)
Citation 1

Abstract:

Loading...

6.

When Do Informed Traders Arrive in Foreign Exchange Markets?

Number of pages: 28 Posted: 14 Dec 2007
Ramazan Gencay, Nikola Gradojevic and Faruk Selcuk
Simon Fraser University, University of Guelph, Department of Economics and Finance and Bilkent University - Department of Economics
Downloads 386 (74,048)

Abstract:

Loading...

Foreign Exchange Markets, Volume, Informed Trading, Noise Trading

7.

A Closer Look at the Eurofutures Market: Intraday Statistical Analysis

Number of pages: 21 Posted: 03 Aug 1998
Olsen & Associates, Pictet & Cie, Banquiers, DEAR-Consulting and Simon Fraser University
Downloads 341 (85,486)
Citation 2

Abstract:

Loading...

8.

Unit Root Tests with Wavelets

Econometric Theory, Vol. 26, pp. 1305-1331, 2010
Number of pages: 30 Posted: 26 May 2008 Last Revised: 24 Dec 2011
Ramazan Gencay and Yanqin Fan
Simon Fraser University and University of Washington - Department of Economics
Downloads 340 (85,780)
Citation 4

Abstract:

Loading...

Unit root tests, cointegration, discrete wavelet transformation, maximum overlap wavelet transformation, energy decomposition

9.

Option Pricing with Modular Neural Networks

Number of pages: 25 Posted: 27 Jan 2007
Nikola Gradojevic and Ramazan Gencay
University of Guelph, Department of Economics and Finance and Simon Fraser University
Downloads 292 (101,365)
Citation 1

Abstract:

Loading...

Option Pricing, Modular Neural Networks, Non-parametric Methods.

The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Swiss Finance Institute Research Paper No. 09-11
Number of pages: 51 Posted: 31 Mar 2009 Last Revised: 18 Jan 2010
Ramazan Gencay, Rajna Gibson and Yi Xue
Simon Fraser University, University of Geneva - Geneva Finance Research Institute (GFRI) and Department of Economics, Simon Fraser University
Downloads 215 (138,236)

Abstract:

Loading...

Informed traders, options, stocks, signal precision, transaction costs, volatility trading

The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Number of pages: 51 Posted: 11 Mar 2010
Ramazan Gencay, Rajna Gibson and Yi Xue
Simon Fraser University, University of Geneva - Geneva Finance Research Institute (GFRI) and University of International Business and Economics (UIBE)
Downloads 54 (372,685)

Abstract:

Loading...

options, signal precision, transaction costs, volatility trading

11.

Impact of Algorithmic Trading on Market Quality: A Reconciliation

Number of pages: 45 Posted: 19 Sep 2017 Last Revised: 03 Aug 2018
Michael Tseng, Soheil Mahmoodzadeh and Ramazan Gencay
University of Central Florida, University of Cambridge - Faculty of Economics and Simon Fraser University
Downloads 257 (116,027)

Abstract:

Loading...

Market Quality, Algorithmic Trading, High Frequency Econometrics, Foreign Exchange Market

12.

Price Impact and Bursts In Liquidity Provision

Swiss Finance Institute Research Paper No. 16-21
Number of pages: 41 Posted: 11 Mar 2016 Last Revised: 15 Oct 2016
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and University of Central Florida
Downloads 256 (116,492)

Abstract:

Loading...

Price Impact, Burst, High-Frequency Trading, Market Quality, Adverse Selection

13.

Investment Horizon Effect on Asset Allocation between Value and Growth Strategies

Number of pages: 31 Posted: 20 Apr 2010
Francis Haeuck In, Sangbae Kim and Ramazan Gencay
Monash University - Department of Accounting, Kyungpook National University - School of Business Administartion and Simon Fraser University
Downloads 239 (124,946)

Abstract:

Loading...

Asset allocation, value stocks, growth stocks, investment horizon, wavelet analysis

14.

A New Wavelet-based Ultra-High-Frequency Analysis of Triangular Currency Arbitrage

Economic Modelling, Forthcoming
Number of pages: 45 Posted: 16 Aug 2017 Last Revised: 16 May 2019
Nikola Gradojevic, Ramazan Gencay and Deniz Erdemlioglu
University of Guelph, Department of Economics and Finance, Simon Fraser University and IESEG School of Management, LEM-CNRS 9221, France
Downloads 233 (128,201)

Abstract:

Loading...

Investment analysis, Exchange rates, Triangular arbitrage, Limit order book, Wavelets.

15.

Informed Trading in Electronic Foreign Exchange Market

Number of pages: 11 Posted: 05 Sep 2008
Ramazan Gencay and Nikola Gradojevic
Simon Fraser University and University of Guelph, Department of Economics and Finance
Downloads 202 (146,981)

Abstract:

Loading...

Foreign Exchange Markets, Volume, Informed Trading, Noise Trading

16.

Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

Number of pages: 48 Posted: 31 May 2006
Alejandro Garcia-Canizares and Ramazan Gencay
Bank of Canada and Simon Fraser University
Downloads 185 (159,342)
Citation 2

Abstract:

Loading...

Collateral under extreme events, high frequency finance, financial risk management

17.

Overnight Borrowing, Interest Rates and Extreme Value Theory

Number of pages: 26 Posted: 13 Sep 2004
Ramazan Gencay and Faruk Selcuk
Simon Fraser University and Bilkent University - Department of Economics
Downloads 183 (160,928)
Citation 3

Abstract:

Loading...

Financial crises, risk management, extreme value theory, overnight rate, federal funds

18.

Economic Links and Counterparty Risk

Number of pages: 27 Posted: 16 Mar 2012 Last Revised: 22 Mar 2012
Daniele Signori and Ramazan Gencay
Simon Fraser University (SFU) and Simon Fraser University
Downloads 133 (210,595)

Abstract:

Loading...

NARMA, network autoregression, counterparty risk, corporate credit spreads, supply networks

19.

Commodity Futures Hedging, Risk Aversion and the Hedging Horizon

European Journal of Finance (Forthcoming)
Number of pages: 37 Posted: 13 Sep 2012 Last Revised: 07 Jan 2015
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 131 (213,198)

Abstract:

Loading...

commodity markets, futures hedging, risk aversion, hedging horizon, wavelet analysis, selective hedging

20.

Trading Frequency and Volatility Clustering

Number of pages: 61 Posted: 20 Mar 2009
Yi Xue and Ramazan Gencay
Department of Economics, Simon Fraser University and Simon Fraser University
Downloads 131 (213,198)

Abstract:

Loading...

Trading frequency, Volatility clustering, Signal extraction, Hyperbolic decay

21.

Long-Run International Diversification

Number of pages: 57 Posted: 05 Mar 2015 Last Revised: 20 Sep 2016
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 117 (232,209)

Abstract:

Loading...

International Diversification, International Finance, Long-Run, Correlation

22.

Scaling, Self-Similarity and Multifractality in FX Markets

Physica A, 323, pp. 578 – 590, 2003
Number of pages: 13 Posted: 04 May 2012
Zhaoxia Xu and Ramazan Gencay
UNSW Australia Business School, School of Banking and Finance and Simon Fraser University
Downloads 97 (264,569)

Abstract:

Loading...

Scaling, Self-similarity, Multifractality, High-frequency data, Foreign exchange markets

23.

Human vs. High-Frequency Traders, Penny Jumping, and Tick Size

Journal of Banking and Finance, Vol. 85, 2017
Number of pages: 34 Posted: 09 Dec 2017
Soheil Mahmoodzadeh and Ramazan Gencay
University of Cambridge - Faculty of Economics and Simon Fraser University
Downloads 90 (277,542)

Abstract:

Loading...

Interbank Foreign Exchange Market, Tick Size, Market Quality

24.

Errors-in-Variables Estimation with Wavelets

Number of pages: 24 Posted: 17 Jun 2009 Last Revised: 20 Nov 2009
Ramazan Gencay and Nikola Gradojevic
Simon Fraser University and University of Guelph, Department of Economics and Finance
Downloads 87 (283,526)
Citation 1

Abstract:

Loading...

Cointegration, discrete wavelet transformation, maximum overlap wavelet transformation, energy decomposition, errors-in-variables, persistence

25.

Long-Run Wavelet-Based Correlation for Financial Time Series

European Journal of Operational Research - Forthcoming , Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-7
Number of pages: 41 Posted: 14 Jun 2018 Last Revised: 19 Sep 2018
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 77 (305,183)

Abstract:

Loading...

Decision Analysis; Long-Run; Correlation; Wavelet; Portfolio Analysis

26.

Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures

Bank of Canada Working Paper No. 2007-25
Number of pages: 31 Posted: 15 Apr 2007
Alejandro Garcia-Canizares and Ramazan Gencay
Bank of Canada and Simon Fraser University
Downloads 71 (319,619)

Abstract:

Loading...

Collateral under extreme events, Copulas, Frechet bounds, Financial risk management, Extreme value theory

27.

Contagion in a Network of Heterogeneous Banks

Number of pages: 49 Posted: 20 Sep 2017
Ramazan Gencay, Hao Pang, Michael Tseng and Yi Xue
Simon Fraser University, Duke University - Department of Economics, University of Central Florida and University of International Business and Economics (UIBE)
Downloads 61 (345,953)

Abstract:

Loading...

Financial networks, Contagion, Heterogeneous banks, Core-Periphery structure, Network externality

28.

Hierarchical Information and the Rate of Information Diffusion

Number of pages: 52 Posted: 21 Mar 2009
Yi Xue and Ramazan Gencay
Department of Economics, Simon Fraser University and Simon Fraser University
Downloads 55 (363,800)
Citation 1

Abstract:

Loading...

Information hierarchies, Information diffusion rate, Momentum

29.

Hedging Through a Limit Order Book with Varying Liquidity

Posted: 20 May 2019
Rossella Agliardi and Ramazan Gencay
University of Bologna - Faculty of Mathematical, Physical and Natural Sciences and Simon Fraser University
Downloads 0 (650,650)

Abstract:

Loading...

30.

Informativeness of Trade Size in Foreign Exchange Markets

Forthcoming in Economics Letters
Posted: 17 Nov 2016
Deniz Erdemlioglu, Nikola Gradojevic and Ramazan Gencay
IESEG School of Management, LEM-CNRS 9221, France, University of Guelph, Department of Economics and Finance and Simon Fraser University

Abstract:

Loading...

Foreign Exchange Markets, Volume, Trade Size, Volatility, Informed Trading, Noise Trading, Market Microstructure