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

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 21,498

in Total Papers Downloads

3,323

SSRN CITATIONS
Rank 35,602

SSRN RANKINGS

Top 35,602

in Total Papers Citations

15

CROSSREF CITATIONS

7

Scholarly Papers (12)

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 948 (34,223)
Citation 6

Abstract:

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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 502 (78,783)
Citation 11

Abstract:

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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 406 (101,158)
Citation 3

Abstract:

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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, Department of Finance, LEM-CNRS 9221, France
Downloads 339 (123,999)
Citation 1

Abstract:

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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 310 (136,102)
Citation 7

Abstract:

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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 215 (195,593)
Citation 2

Abstract:

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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 182 (227,203)
Citation 2

Abstract:

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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 153 (264,237)

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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 102 (353,927)

Abstract:

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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 101 (356,218)
Citation 5

Abstract:

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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 65 (459,556)

Abstract:

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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, Department of Finance, 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