Deniz Erdemlioglu

IESEG School of Management, LEM-CNRS 9221, France

3 rue de la Digue

Lille, 59000

France

http://www.denizerdemlioglu.com

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 47,824

in Total Papers Downloads

829

CITATIONS

4

Scholarly Papers (7)

1.

Market Reaction to News and Investor Attention in Real Time

Number of pages: 50 Posted: 31 Jul 2017 Last Revised: 16 Aug 2017
Deniz Erdemlioglu, Roland L. Gillet and Thomas Renault
IESEG School of Management, LEM-CNRS 9221, France, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 300 (99,476)

Abstract:

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Investor attention, News announcements, Stock returns, High-frequency data, Big data, Volatility, Jumps, Social media, Textual analysis, Information retrieval

2.

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 243 (124,147)

Abstract:

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

3.

Econometric Modeling of Exchange Rate Volatility and Jumps

Federal Reserve Bank of St. Louis Working Paper No. 2012-008A
Number of pages: 69 Posted: 12 Apr 2012
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, LEM-CNRS 9221, France, University of Angers - Research Group in Quantitative Saving (GREQAM) and Federal Reserve Bank of St. Louis - Research Division
Downloads 184 (161,811)

Abstract:

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Foreign exchange volatility, ARCH models, realized volatility, intraday periodicity, jumps, macroeconomic announcements, central bank interventions

4.

The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps

KU Leuven - Center for Economic Studies Discussion Paper No. DPS13.04
Number of pages: 37 Posted: 11 Mar 2013
Catholic University of Leuven (KUL) - Department of Economics, IESEG School of Management, LEM-CNRS 9221, France, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 64 (340,944)
Citation 4

Abstract:

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Central bank communication, Exchange rate communication, Official statements, High-frequency data, Jump process, Volatility

5.

Which Continuous-Time Model is Most Appropriate for Exchange Rates?

FRB of St. Louis Working Paper No. 2013-024C
Number of pages: 29 Posted: 18 Aug 2013 Last Revised: 23 Aug 2014
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, LEM-CNRS 9221, France, University of Angers - Research Group in Quantitative Saving (GREQAM) and Federal Reserve Bank of St. Louis - Research Division
Downloads 38 (426,953)

Abstract:

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Exchange rates, Brownian motion, Volatility, Jumps, Intraday periodicity, High-frequency data

6.

Long-Term Asset Allocation, Risk Tolerance and Market Sentiment

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 03 Jun 2019
Deniz Erdemlioglu and Robert Joliet
IESEG School of Management, LEM-CNRS 9221, France and IESEG School of Management Lille/Paris

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Asset management, Portfolio choice, Investment horizons, Investor and market sentiment, Fund performance, Signal processing

7.

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:

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