Walid Ben Omrane

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

Ontario, L2S 3A1

Canada

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

SCHOLARLY PAPERS

11

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15

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34

Scholarly Papers (11)

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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 518 (82,488)
Citation 1

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

2.

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

Downloads 390 (115,308)
Citation 10

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 390 (114,313)
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 253 (182,349)
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-Caltech
Downloads 179 (251,401)

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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 155 (283,933)

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

6.

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 125 (335,905)

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

7.

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 125 (337,890)

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

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 101 (392,693)

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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 65 (505,062)

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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 Hafner
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Catholic University of Louvain (UCL) - School of Statistics
Downloads 48 (580,982)
Citation 3

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

11.

The Dynamics of Currency, Savings, and Investment Rates

International Review of Finance, Vol. 18, Issue 1, pp. 3-33, 2018
Number of pages: 31 Posted: 05 Mar 2018
Walid Ben Omrane and Skander Lazrak
Brock University - Department of Finance, Operations and Information Systems (FOIS) and Brock University - Goodman School of Business
Downloads 3 (930,613)

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