Dragos Bozdog

Stevens Institute of Technology

Teaching Associate Professor

Hoboken, NJ 07030

United States

http://personal.stevens.edu/~dbozdog/

SCHOLARLY PAPERS

6

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SSRN CITATIONS

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CROSSREF CITATIONS

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Scholarly Papers (6)

1.

Rare Events Analysis of High-Frequency Equity Data

Wilmott Journal, pp. 74-81, 2011, Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 29 Feb 2012 Last Revised: 15 Oct 2018
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 1,017 (21,319)

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high-frequency trading, average daily volume, trading strategy

2.

Construction of Volatility Indices Using a Multinomial Tree Approximation Method

HANDBOOK OF MODELING HIGH-FREQUENCY DATA IN FINANCE, Frederi G. Viens, Maria C. Mariani and Ionut Florescu, eds., December 2011
Number of pages: 24 Posted: 04 Mar 2012 Last Revised: 19 Jun 2018
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 75 (320,054)

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volatility, multinomial tree

3.

A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures

"A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures", M. Kong, A. Salighehdar and D. Bozdog, Journal of Management Science and Business Intelligence (JMSBI), Vol. 3, No. 1, July 2018, Stevens Institute of Technology School of Business Research Paper
Number of pages: 9 Posted: 02 Jul 2018
Mingyuan Kong, Amin Salighehdar and Dragos Bozdog
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 44 (413,394)

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Brexit; Liquidity Measures; Correlation; Tail Events

4.

A Frontier Market Case: Does Bucharest Stock Exchange Have a Leading Domestic Index?

Journal Studia Universitatis Babes-Bolyai Negotia, LVII, 2, 2012, pp. 3-26
Number of pages: 23 Posted: 24 Jan 2013
Cornelia Pop, Dragos Bozdog and Adina Calugaru
Babes-Bolyai University, Stevens Institute of Technology and MarketAxess
Downloads 25 (498,306)

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frontier market, financial investment companies, Granger-causality, regression, leading index

5.

The Bucharest Stock Exchange Case: Is BET-FI an Index Leader for the Oldest Indices BET and BET-C?

International Business: Research, Teaching and Practice, Volume 7(1), pg.35-54, 2013.
Number of pages: 20 Posted: 02 Nov 2013
Cornelia Pop, Dragos Bozdog and Adina Calugaru
Babes-Bolyai University, Stevens Institute of Technology and MarketAxess
Downloads 14 (562,951)

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frontier market, diversification, Granger causality, Romania

6.

Cluster Analysis of Liquidity Measures in a Stock Market Using High Frequency Data

Stevens Institute of Technology School of Business Research Paper
Posted: 26 Oct 2017 Last Revised: 23 Mar 2018
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology

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Liquidity, High Frequency Trading, Correlation, Hierarchical Clustering