G. Charles-Cadogan

University of Leicester

Lecturer

University Road

Leicester, LE1 7RH

United Kingdom

Ryerson University - Institute for Innovation and Technology Management

Lecturer/ Research Scientist in Behavioral Stochastic Processes

575 Bay

Toronto, Ontario M5G 2C5

Canada

  • University of Leicester

  • Ryerson University - Institute for Innovation and Technology Management

SCHOLARLY PAPERS

18

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in Total Papers Downloads

5,089

SSRN CITATIONS

0

CROSSREF CITATIONS

9

Scholarly Papers (18)

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1.

Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes

Number of pages: 58 Posted: 01 Jan 2012 Last Revised: 23 Jan 2012
G. Charles-Cadogan
University of Leicester
Downloads 1,859 (10,013)

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high frequency trading, hedge factor volatility, price reversal, market crash, price bubbles, statistical arbitrage, van der Korput's Lemma, Sharpe ratio, cost of carry

2.

Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficient Markets

JSM Proceedings, Business and Economic Statistics Section, pp. 673-687, American Statistical Association, Alexandria, VA, 2011
Number of pages: 15 Posted: 01 Sep 2011 Last Revised: 29 Mar 2012
G. Charles-Cadogan
University of Leicester
Downloads 560 (56,842)

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market timing, empirical alpha process, trading strategy, martingale system, behavioural finance, high frequency trading, Brownian Bridge, Jensen's Alpha, portable alpha

3.

A Theory of Asset Pricing and Performance Evaluation for Minority Banks with Implications for Bank Failure Prediction, Compensating Risk, and CAMELS Rating

Number of pages: 70 Posted: 19 Nov 2010 Last Revised: 29 Jan 2011
G. Charles-Cadogan
University of Leicester
Downloads 442 (76,182)

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Minority Banks, Synthetic Cash Flows, Internal Rates of Return, Behavioral Asset Pricing, CAMELS Rating, Random Utility, Options Pricing, Bank Regulation, Return on Assets

4.

A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and Trade Algorithm

Proceedings of Foundations and Applications of Utility, Risk and Decision Theory (FUR) XV. Forthcoming
Number of pages: 51 Posted: 01 May 2012 Last Revised: 14 May 2012
G. Charles-Cadogan
University of Leicester
Downloads 395 (86,973)

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confidence, chaos, ambiguity, momentum, impact events, ergodic theory, large deviations

5.

Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM

Number of pages: 24 Posted: 23 Dec 2011
G. Charles-Cadogan
University of Leicester
Downloads 285 (124,957)

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empirical alpha process, portfolio hedging strategies, active portfolio management, market systemic risk, swaption, delegated portfolio management, local time of alpha

6.

Representation Theory for Risk on Markowitz-Tversky-Kahneman Topology

Number of pages: 27 Posted: 11 Jun 2012 Last Revised: 12 Jun 2012
G. Charles-Cadogan
University of Leicester
Downloads 278 (128,304)
Citation 1

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representation theory, topological groups, utility hypersurface, risk torsion, chaos, loss aversion

7.

The Source of Uncertainty in Probabilistic Preferences Over Gambles

Number of pages: 38 Posted: 14 Dec 2011 Last Revised: 03 Dec 2012
G. Charles-Cadogan
University of Leicester
Downloads 196 (180,309)
Citation 2

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statistical ensembles, random fields, Gibbs measure, gambles, probabilistic preference, maximum entropy principle, uncertainty, behavioural quantum wave

8.

Canonical Option Pricing and Greeks with Implications for Market Timing

Number of pages: 44 Posted: 23 Jun 2010 Last Revised: 29 Jan 2011
G. Charles-Cadogan
University of Leicester
Downloads 182 (192,589)
Citation 1

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algebraic number theory, price discovery, derivatives pricing, asset pricing, market timing, Wold decomposition, empirical pricing kernel, option Greeks, dual option pricing

9.

Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders

Journal of Investment Strategies, 2015
Number of pages: 34 Posted: 14 Jun 2015 Last Revised: 16 Apr 2018
G. Charles-Cadogan
University of Leicester
Downloads 148 (229,519)

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Sharpe Ratio, portfolio performance evaluation, high frequency trading, subordinate process, stock price dynamics, active portfolio management

10.

A Note on Confidence Momentum and Term Structure of Confidence with Applications to Financial Markets

Number of pages: 7 Posted: 13 Feb 2012 Last Revised: 09 Nov 2012
G. Charles-Cadogan
University of Leicester
Downloads 143 (235,965)

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confidence, term structure, random field, hope and fear, probability weighting function, momentum

11.

A Regulator's Exercise of Career Option to Quit and Join a Regulated Firm's Management with Applications to Financial Institutions

Proceedings of Southern Finance Association 2012
Number of pages: 40 Posted: 11 Mar 2012 Last Revised: 15 Jul 2016
John A. Cole and G. Charles-Cadogan
North Carolina Agricultural and Technical State University - School of Business & Economics and University of Leicester
Downloads 130 (254,494)

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career option, revolving door, capital structure, leverage, vega, managerial compensation

12.

Commutative Prospect Theory and Confident Behaviour Under Risk and Uncertainty in Psychological Space

Number of pages: 42 Posted: 03 Feb 2012 Last Revised: 25 Mar 2012
G. Charles-Cadogan
University of Leicester
Downloads 129 (255,988)

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commutative prospect theory, epsilon-homotopy, priority heuristic, stopped stochastic process, Dudley-Talagrand metric, equivalent martingale measure, confidence, probability leakage

13.

Group Representations for Decision Making under Risk and Uncertainty

Number of pages: 47 Posted: 20 Dec 2012
G. Charles-Cadogan
University of Leicester
Downloads 97 (312,843)
Citation 1

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invariant behavior, group theory, representation theory, singular operator, prospect theory, decision field theory, risk and uncertainty, SU(2)

14.

Forecasting the Pricing Kernel of IBNR Claims Development in Property-Casualty Insurance

Number of pages: 22 Posted: 13 Jun 2010
G. Charles-Cadogan
University of Leicester
Downloads 72 (374,238)

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IBNR claims ladder, claims reserve forecast, stochastic claim inflation, claims risk exposure, link ratio function, property-casualty insurance, insurance accounting

15.

The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities

Number of pages: 40 Posted: 16 Sep 2012 Last Revised: 29 Nov 2017
G. Charles-Cadogan
University of Leicester
Downloads 66 (392,213)
Citation 2

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minority banks, behavioral asset pricing, compensating risk premium, loss aversion, altruism, statistical risk accounting, price of risk

16.

Bankruptcy Risk Induced by Career Concerns of Regulators

Financial Research Letters, Forthcoming
Number of pages: 23 Posted: 30 Dec 2013 Last Revised: 31 Dec 2013
John A. Cole and G. Charles-Cadogan
North Carolina Agricultural and Technical State University - School of Business & Economics and University of Leicester
Downloads 62 (404,906)

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career concerns, revolving door, agency cost, managerial compensation, bankruptcy, value-at-risk, human capital

17.

Expected Utility Theory and Inner and Outer Measures of Loss Aversion

Journal of Mathematical Economics, Vol. 63, No. 1, 2016
Number of pages: 37 Posted: 04 May 2016 Last Revised: 16 Apr 2018
G. Charles-Cadogan
University of Leicester
Downloads 23 (580,807)

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decision theory, loss aversion index, inner measure, outer measure, utility theory

18.

Probability Interference in Expected Utility Theory

Journal of Mathematical Economics, 2018
Number of pages: 37 Posted: 19 Apr 2018
G. Charles-Cadogan
University of Leicester
Downloads 22 (587,300)

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transitivity axiom, harmonic analysis, abstract probability weighting function, quantum probability