Nikola Gradojevic

University of Guelph, Department of Economics and Finance

Associate Professor of Finance

50 Stone Road East

Guelph, Ontario N1G 2W1

Canada

http://https://www.uoguelph.ca/economics/users/nikola-gradojevic

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3

Rimini (RN), RN 47900

Italy

  • University of Guelph, Department of Economics and Finance

  • University of Bologna - Rimini Center for Economic Analysis (RCEA)

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 19,095

SSRN RANKINGS

Top 19,095

in Total Papers Downloads

3,228

SSRN CITATIONS
Rank 36,208

SSRN RANKINGS

Top 36,208

in Total Papers Citations

15

CROSSREF CITATIONS

7

Scholarly Papers (12)

Actions:
Email selected abstracts
1.

Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence

Number of pages: 23 Posted: 27 Jan 2007
Ramazan Gencay and Nikola Gradojevic
Simon Fraser University and University of Guelph, Department of Economics and Finance
Downloads 911 (31,630)
Citation 5

Abstract:

Loading...

Non-additive Entropy, Shannon Entropy, Tsallis Entropy, q-Gaussian Distribution.

2.

Asymmetry of Information Flow between Volatilities Across Time Scales

Number of pages: 40 Posted: 05 May 2003 Last Revised: 17 Jun 2009
Ramazan Gencay, Faruk Selcuk, Nikola Gradojevic and Brandon Whitcher
Simon Fraser University, Bilkent University - Department of Economics, University of Guelph, Department of Economics and Finance and National Center for Atmospheric Research
Downloads 497 (70,161)
Citation 11

Abstract:

Loading...

Discrete wavelet transform, wavelet-domain hidden Markov trees, foreign exchange markets, stock markets, multiresolution analysis, scaling, Finance, Financial Econometrics, Volatility, High-Frequency Finance, Wavelets

3.

When Do Informed Traders Arrive in Foreign Exchange Markets?

Number of pages: 28 Posted: 14 Dec 2007
Ramazan Gencay, Nikola Gradojevic and Faruk Selcuk
Simon Fraser University, University of Guelph, Department of Economics and Finance and Bilkent University - Department of Economics
Downloads 398 (91,300)
Citation 3

Abstract:

Loading...

Foreign Exchange Markets, Volume, Informed Trading, Noise Trading

4.

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 325 (114,789)
Citation 1

Abstract:

Loading...

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

5.

Option Pricing with Modular Neural Networks

Number of pages: 25 Posted: 27 Jan 2007
Nikola Gradojevic and Ramazan Gencay
University of Guelph, Department of Economics and Finance and Simon Fraser University
Downloads 304 (123,272)
Citation 7

Abstract:

Loading...

Option Pricing, Modular Neural Networks, Non-parametric Methods.

6.

Informed Trading in Electronic Foreign Exchange Market

Number of pages: 11 Posted: 05 Sep 2008
Ramazan Gencay and Nikola Gradojevic
Simon Fraser University and University of Guelph, Department of Economics and Finance
Downloads 213 (175,799)
Citation 2

Abstract:

Loading...

Foreign Exchange Markets, Volume, Informed Trading, Noise Trading

7.

Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability

Number of pages: 30 Posted: 17 Jun 2012
Nikola Gradojevic and Camillo Lento
University of Guelph, Department of Economics and Finance and Lakehead University
Downloads 176 (208,797)
Citation 2

Abstract:

Loading...

Foreign Exchange Markets, Order Flows, Technical Trading, Frequency Domain

8.

The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate

Number of pages: 35 Posted: 11 Feb 2008
Nikola Gradojevic and Christopher J. Neely
University of Guelph, Department of Economics and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 149 (240,197)

Abstract:

Loading...

Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

9.

Errors-in-Variables Estimation with Wavelets

Number of pages: 24 Posted: 17 Jun 2009 Last Revised: 20 Nov 2009
Ramazan Gencay and Nikola Gradojevic
Simon Fraser University and University of Guelph, Department of Economics and Finance
Downloads 97 (328,237)

Abstract:

Loading...

Cointegration, discrete wavelet transformation, maximum overlap wavelet transformation, energy decomposition, errors-in-variables, persistence

10.

The Dynamic Interaction of Trading Flows, Macroeconomic Announcements and the CAD/USD Exchange Rate: Evidence from Disaggregated Data

Number of pages: 37 Posted: 02 May 2009 Last Revised: 19 Aug 2009
Nikola Gradojevic and Christopher J. Neely
University of Guelph, Department of Economics and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 94 (334,824)
Citation 5

Abstract:

Loading...

Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

11.

Improving Non-Parametric Option Pricing during the Financial Crisis

Rimini Centre for Economic Analysis Working Paper No. 12-35
Number of pages: 15 Posted: 06 Aug 2012
Dragan Kukolj, Nikola Gradojevic and Camillo Lento
affiliation not provided to SSRN, University of Guelph, Department of Economics and Finance and Lakehead University
Downloads 64 (417,483)

Abstract:

Loading...

2008 financial crisis, Parametric option pricing models, Non-parametric option pricing models, modular neural network-fuzzy learning vector quantization (MNN-FLVQ) model

12.

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:

Loading...

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