Walid Ben Omrane

Brock University - Department of Finance, Operations and Information Systems (FOIS)

Ontario, L2S 3A1

Canada

SCHOLARLY PAPERS

11

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2,191

SSRN CITATIONS
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SSRN RANKINGS

Top 21,707

in Total Papers Citations

24

CROSSREF CITATIONS

34

Scholarly Papers (11)

1.

The Predictive Success and Profitability of Chart Patterns in the Euro/Dollar Foreign Exchange Market

IAG Working Paper No. 95-03, CORE Discussion Paper No. 2004/35
Number of pages: 27 Posted: 13 Jan 2004
Walid Ben Omrane and Hervé Van Oppens
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Catholic University of Louvain (UCL) - Department of Business Administration (IAG) - Finance Unit
Downloads 593 (85,120)
Citation 2

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foreign exchange market, chart patterns, high frequency data, technical analysis

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

CORE Discussion Paper
Number of pages: 27 Posted: 07 May 2003
Walid Ben Omrane, Luc Bauwens and Pierre Giot
Brock University - Department of Finance, Operations and Information Systems (FOIS), Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 401 (135,124)
Citation 10

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foreign exchange market, volatility, news announcements, high frequency data

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

Journal of Internztional Money and Finance, Vol. 24, pp. 1108-1125, 2005
Posted: 21 Feb 2006
Luc Bauwens, Walid Ben Omrane and Pierre Giot
Université catholique de Louvain, Brock University - Department of Finance, Operations and Information Systems (FOIS) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)

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foreign exchange market, volatility, news announcements, high frequency data

3.

Intra-Daily FX Optimal Portfolio Allocation

CORE Discussion Paper No. 2006/10
Number of pages: 28 Posted: 10 Jul 2006
Luc Bauwens, Walid Ben Omrane and Erick W. Rengifo
Université catholique de Louvain, Brock University - Department of Finance, Operations and Information Systems (FOIS) and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 271 (207,751)
Citation 1

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Optimal portfolio selection, Value-at-Risk, GARCH models, Foreign exchange markets

4.

Using Self-Organizing Maps to Adjust Intra-Day Seasonality

Number of pages: 21 Posted: 09 May 2005 Last Revised: 03 May 2013
Walid Ben Omrane and Eric de Bodt
Brock University - Department of Finance, Operations and Information Systems (FOIS) and NHH
Downloads 193 (287,098)

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foreign exchange market, self-organizing maps, seasonality, high frequency data

5.

The Sign Switch Effect of Macroeconomic News in Foreign Exchange Markets

Number of pages: 40 Posted: 19 Jan 2013 Last Revised: 01 Jun 2015
Walid Ben Omrane and Tanseli Savaser
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Vassar College - Department of Economics
Downloads 167 (326,219)
Citation 2

Abstract:

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Financial crisis, exchange rates, US dollar, macroeconomic news, high-frequency data

6.

Exchange Rate Volatility Response to Macroeconomic News: Evidence from the Great Recession

Number of pages: 32 Posted: 01 Jun 2015
Walid Ben Omrane and Tanseli Savaser
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Vassar College - Department of Economics
Downloads 146 (364,937)

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Financial crisis, exchange rates, US dollar,macroeconomic news, high-frequency data, volatility

7.

The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets

Ben Omrane, Wa., Guesmi, K., Qi, Q., and Saadi, S. (2021). The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets. Accepted for publication in the Annals of Operations Research.
Number of pages: 45 Posted: 01 Oct 2021 Last Revised: 03 Nov 2021
Walid Ben Omrane, Khaled Guesmi, Qianru Qi and Samir Saadi
Brock University - Department of Finance, Operations and Information Systems (FOIS), PSB Paris School of Business - Center of Research for Energy and Climate Change, Telfer School of Management and University of Ottawa - Telfer School of Management
Downloads 132 (394,955)

Abstract:

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Macroeconomic news, Jumps, Co-jumps, Bitcoin, Ethereum, High frequency data.

8.

The Foreign Exchange Quoting Activity as an Informative Signal

Number of pages: 21 Posted: 08 May 2004
Walid Ben Omrane and Andréas Heinen
Brock University - Department of Finance, Operations and Information Systems (FOIS) and University of Cergy-Pontoise - THEMA
Downloads 114 (441,178)

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Foreign Exchange, Market Microstructure, Time Series, Count Data

9.

The Response of Individual Fx Dealers' Quoting Activity to Macroeconomic News Announcements'

CORE Discussion Paper No. 2003/70
Number of pages: 23 Posted: 31 May 2007
Walid Ben Omrane and Andréas Heinen
Brock University - Department of Finance, Operations and Information Systems (FOIS) and University of Cergy-Pontoise - THEMA
Downloads 81 (553,285)

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Foreign Exchange, Market Microstructure, Time Series, Count Data.

10.

Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets

Number of pages: 36 Posted: 29 Jan 2018
Walid Ben Omrane and Christian M. Hafner
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Catholic University of Louvain - Institute of Statistics
Downloads 68 (610,201)
Citation 3

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Foreign exchange markets, Volatility spillover, News surprises, Impulse response Analysis, High frequency data

11.

Distributional Asymmetric and Nonlinear Interconnectedness between Crypto-Assets and the Us Equity Market: A Contrary Point of View

Number of pages: 78 Posted: 07 Dec 2023
Brock University - Department of Finance, Operations and Information Systems (FOIS), Drexel University - Lebow College of Business, University of Orléans and ESSCA School of Management
Downloads 25 (905,898)

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Interconnectedness, Cryptocurrencies, S&P 500 stock index, Asymmetry, Nonlinearity.