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Details about Nikola Gradojevic

Homepage:https://www.uoguelph.ca/business/node/5744
Workplace:Department of Economics and Finance, Gordon Lang School of Business and Economics, University of Guelph, (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Nikola Gradojevic.

Last updated 2021-09-27. Update your information in the RePEc Author Service.

Short-id: pgr194


Jump to Journal Articles

Working Papers

2020

  1. A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
    Post-Print, HAL
    See also Journal Article in Economic Modelling (2020)
  2. Heterogeneous investment horizons, risk regimes, and realized jumps
    Post-Print, HAL
    See also Journal Article in International Journal of Finance & Economics (2021)

2017

  1. Informativeness of trade size in foreign exchange markets
    Post-Print, HAL View citations (4)
    See also Journal Article in Economics Letters (2017)

2015

  1. High-Frequency Technical Trading
    Post-Print, HAL
  2. Informed traders' arrival in foreign exchange markets: Does geography matter?
    Post-Print, HAL View citations (1)
    See also Journal Article in Empirical Economics (2015)
  3. Multi-criteria Classification for Pricing European Options
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)
  4. Multiscale analysis of foreign exchange order flows and technical trading profitability
    Post-Print, HAL View citations (6)
    Also in Working Papers, IESEG School of Management (2013) Downloads
    Working Paper series, Rimini Centre for Economic Analysis (2012) Downloads View citations (1)

    See also Journal Article in Economic Modelling (2015)
  5. Predicting Systemic Risk with Entropic Indicators
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Forecasting (2017)

2014

  1. Informativeness of the Trade Size in an Electronic Foreign Exchange Market
    Working Papers, IESEG School of Management Downloads

2013

  1. Foreign exchange customers and dealers: Who’s driving whom?
    Working Papers, IESEG School of Management Downloads
    See also Journal Article in Finance Research Letters (2014)

2012

  1. Improving Non-Parametric Option Pricing during the Financial Crisis
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)

2009

  1. Asymmetry of Information Flow Between Volatilities Across Time Scales
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    See also Journal Article in Quantitative Finance (2010)
  2. Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Empirical Finance (2010)
  3. Errors-in-Variables Estimation with No Instruments
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (9)
  4. Informed Trading in an Electronic Foreign Exchange Market
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
  5. Option Pricing with Modular Neural Networks
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (19)
  6. Overnight Interest Rates and Aggregate Market Expectations
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Economics Letters (2008)
  7. Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)

2008

  1. The dynamic interaction of order flows and the CAD/USD exchange rate
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)

2000

  1. The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
    Staff Working Papers, Bank of Canada Downloads View citations (9)

Journal Articles

2021

  1. Brexit and foreign exchange market expectations: Could it have been predicted?
    Annals of Operations Research, 2021, 297, (1), 167-189 Downloads
  2. Heterogeneous investment horizons, risk regimes, and realized jumps
    International Journal of Finance & Economics, 2021, 26, (1), 617-643 Downloads
    See also Working Paper (2020)
  3. S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown
    Journal of Risk and Financial Management, 2021, 14, (7), 1-13 Downloads
  4. Volatility cascades in cryptocurrency trading
    Journal of Empirical Finance, 2021, 62, (C), 252-265 Downloads

2020

  1. A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
    Economic Modelling, 2020, 85, (C), 57-73 Downloads View citations (1)
    See also Working Paper (2020)
  2. The Impact of Economic Freedom on Economic Growth? New European Dynamic Panel Evidence
    Journal of Risk and Financial Management, 2020, 13, (2), 1-13 Downloads View citations (2)

2019

  1. Non-fundamental, non-parametric Bitcoin forecasting
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) Downloads View citations (2)

2017

  1. Informativeness of trade size in foreign exchange markets
    Economics Letters, 2017, 150, (C), 27-33 Downloads View citations (4)
    See also Working Paper (2017)
  2. Predicting Systemic Risk with Entropic Indicators
    Journal of Forecasting, 2017, 36, (1), 16-25 Downloads View citations (3)
    See also Working Paper (2015)

2016

  1. Multi-criteria classification for pricing European options
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (2), 123-139 Downloads
    See also Working Paper (2015)

2015

  1. Informed traders’ arrival in foreign exchange markets: Does geography matter?
    Empirical Economics, 2015, 49, (4), 1431-1462 Downloads View citations (4)
    See also Working Paper (2015)
  2. Multiscale analysis of foreign exchange order flows and technical trading profitability
    Economic Modelling, 2015, 47, (C), 156-165 Downloads View citations (9)
    See also Working Paper (2015)

2014

  1. Foreign exchange customers and dealers: Who’s driving whom?
    Finance Research Letters, 2014, 11, (3), 213-218 Downloads View citations (1)
    See also Working Paper (2013)

2013

  1. Causality between Regional Stock Markets: A Frequency Domain Approach
    Panoeconomicus, 2013, 60, (5), 633-647 Downloads View citations (4)
  2. Fuzzy logic, trading uncertainty and technical trading
    Journal of Banking & Finance, 2013, 37, (2), 578-586 Downloads View citations (12)
  3. Private information and its origins in an electronic foreign exchange market
    Economic Modelling, 2013, 33, (C), 86-93 Downloads View citations (8)

2012

  1. Frequency domain analysis of foreign exchange order flows
    Economics Letters, 2012, 115, (1), 73-76 Downloads View citations (6)

2011

  1. Clustering and Classification in Option Pricing
    Review of Economic Analysis, 2011, 3, (2), 109-128 Downloads

2010

  1. Asymmetry of information flow between volatilities across time scales
    Quantitative Finance, 2010, 10, (8), 895-915 Downloads View citations (41)
    See also Working Paper (2009)
  2. Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
    Journal of Empirical Finance, 2010, 17, (2), 270-282 Downloads View citations (12)
    See also Working Paper (2009)
  3. Random Walk Theory and Exchange Rate Dynamics in Transition Economies
    Panoeconomicus, 2010, 57, (3), 303-320 Downloads View citations (6)

2008

  1. Overnight interest rates and aggregate market expectations
    Economics Letters, 2008, 100, (1), 27-30 Downloads View citations (9)
    See also Working Paper (2009)

2007

  1. A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s
    Applied Financial Economics, 2007, 17, (17), 1377-1387 Downloads
  2. Investment information content in Bollinger Bands?
    Applied Financial Economics Letters, 2007, 3, (4), 263-267 Downloads View citations (15)
  3. Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market
    Journal of Economic Dynamics and Control, 2007, 31, (2), 557-574 Downloads View citations (6)
  4. The microstructure of the Canada/U.S. dollar exchange rate: A robustness test
    Economics Letters, 2007, 94, (3), 426-432 Downloads View citations (9)

2006

  1. Non-linear, non-parametric, non-fundamental exchange rate forecasting
    Journal of Forecasting, 2006, 25, (4), 227-245 Downloads View citations (17)
 
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