Details about Nikola Gradojevic

Access statistics for papers by Nikola Gradojevic.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pgr194

Working Papers

2020

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

2017

3. Informativeness of trade size in foreign exchange markets
   Post-Print, HAL View citations (6)
   See also Journal Article Informativeness of trade size in foreign exchange markets, Economics Letters, Elsevier (2017) View citations (6) (2017)

2015

4. High-Frequency Technical Trading
   Post-Print, HAL
5. Informed traders' arrival in foreign exchange markets: Does geography matter?
   Post-Print, HAL View citations (2)
   See also Journal Article Informed traders’ arrival in foreign exchange markets: Does geography matter?, Empirical Economics, Springer (2015) View citations (5) (2015)
6. Multi-criteria Classification for Pricing European Options
   Working Paper series, Rimini Centre for Economic Analysis
   See also Journal Article Multi-criteria classification for pricing European options, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016) View citations (2) (2016)
7. Multiscale analysis of foreign exchange order flows and technical trading profitability
   Post-Print, HAL View citations (11)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (1)
   Working Papers, IESEG School of Management (2013)
   See also Journal Article Multiscale analysis of foreign exchange order flows and technical trading profitability, Economic Modelling, Elsevier (2015) View citations (13) (2015)
8. Predicting Systemic Risk with Entropic Indicators
   Working Paper series, Rimini Centre for Economic Analysis
   See also Journal Article Predicting Systemic Risk with Entropic Indicators, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (9) (2017)

2014

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

2013

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

2012

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

2009

12. Asymmetry of Information Flow Between Volatilities Across Time Scales
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    See also Journal Article Asymmetry of information flow between volatilities across time scales, Quantitative Finance, Taylor & Francis Journals (2010) View citations (59) (2010)
13. Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence, Journal of Empirical Finance, Elsevier (2010) View citations (13) (2010)
14. Errors-in-Variables Estimation with No Instruments
    Working Paper series, Rimini Centre for Economic Analysis View citations (9)
15. Informed Trading in an Electronic Foreign Exchange Market
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
16. Option Pricing with Modular Neural Networks
    Working Paper series, Rimini Centre for Economic Analysis View citations (28)
17. Overnight Interest Rates and Aggregate Market Expectations
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Overnight interest rates and aggregate market expectations, Economics Letters, Elsevier (2008) View citations (11) (2008)
18. Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)

2008

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

2000

20. The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
    Staff Working Papers, Bank of Canada View citations (11)

Journal Articles

2024

1. Drilling Deeper: Non-Linear, Non-Parametric Natural Gas Price and Volatility Forecasting
   The Energy Journal, 2024, 45, (4), 1-25
2. Fear, extreme fear and U.S. stock market returns
   Physica A: Statistical Mechanics and its Applications, 2024, 656, (C)
3. Unlocking the black box: Non-parametric option pricing before and during COVID-19
   Annals of Operations Research, 2024, 334, (1), 59-82

2023

4. Forecasting Bitcoin with technical analysis: A not-so-random forest?
   International Journal of Forecasting, 2023, 39, (1), 1-17 View citations (4)

2022

5. The Profitability of Technical Analysis during the COVID-19 Market Meltdown
   JRFM, 2022, 15, (5), 1-19

2021

6. Brexit and foreign exchange market expectations: Could it have been predicted?
   Annals of Operations Research, 2021, 297, (1), 167-189
7. Heterogeneous investment horizons, risk regimes, and realized jumps
   International Journal of Finance & Economics, 2021, 26, (1), 617-643 View citations (2)
   See also Working Paper Heterogeneous investment horizons, risk regimes, and realized jumps, Post-Print (2020) (2020)
8. S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown
   JRFM, 2021, 14, (7), 1-13 View citations (7)
9. Volatility cascades in cryptocurrency trading
   Journal of Empirical Finance, 2021, 62, (C), 252-265 View citations (11)

2020

10. A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
    Economic Modelling, 2020, 85, (C), 57-73 View citations (2)
    See also Working Paper A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage, Post-Print (2020) View citations (2) (2020)
11. The Impact of Economic Freedom on Economic Growth? New European Dynamic Panel Evidence
    JRFM, 2020, 13, (2), 1-13 View citations (11)

2019

12. Non-fundamental, non-parametric Bitcoin forecasting
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) View citations (20)

2017

13. Informativeness of trade size in foreign exchange markets
    Economics Letters, 2017, 150, (C), 27-33 View citations (6)
    See also Working Paper Informativeness of trade size in foreign exchange markets, Post-Print (2017) View citations (6) (2017)
14. Predicting Systemic Risk with Entropic Indicators
    Journal of Forecasting, 2017, 36, (1), 16-25 View citations (9)
    See also Working Paper Predicting Systemic Risk with Entropic Indicators, Working Paper series (2015) (2015)

2016

15. Multi-criteria classification for pricing European options
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (2), 123-139 View citations (2)
    See also Working Paper Multi-criteria Classification for Pricing European Options, Working Paper series (2015) (2015)

2015

16. Informed traders’ arrival in foreign exchange markets: Does geography matter?
    Empirical Economics, 2015, 49, (4), 1431-1462 View citations (5)
    See also Working Paper Informed traders' arrival in foreign exchange markets: Does geography matter?, Post-Print (2015) View citations (2) (2015)
17. Multiscale analysis of foreign exchange order flows and technical trading profitability
    Economic Modelling, 2015, 47, (C), 156-165 View citations (13)
    See also Working Paper Multiscale analysis of foreign exchange order flows and technical trading profitability, Post-Print (2015) View citations (11) (2015)

2014

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

2013

19. Causality between Regional Stock Markets: A Frequency Domain Approach
    Panoeconomicus, 2013, 60, (5), 633-647
20. Fuzzy logic, trading uncertainty and technical trading
    Journal of Banking & Finance, 2013, 37, (2), 578-586 View citations (19)
21. Private information and its origins in an electronic foreign exchange market
    Economic Modelling, 2013, 33, (C), 86-93 View citations (9)

2012

22. Frequency domain analysis of foreign exchange order flows
    Economics Letters, 2012, 115, (1), 73-76 View citations (7)

2011

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

2010

24. Asymmetry of information flow between volatilities across time scales
    Quantitative Finance, 2010, 10, (8), 895-915 View citations (59)
    See also Working Paper Asymmetry of Information Flow Between Volatilities Across Time Scales, Working Paper series (2009) View citations (2) (2009)
25. Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
    Journal of Empirical Finance, 2010, 17, (2), 270-282 View citations (13)
    See also Working Paper Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence, Working Paper series (2009) (2009)
26. Random Walk Theory and Exchange Rate Dynamics in Transition Economies
    Panoeconomicus, 2010, 57, (3), 303-320 View citations (2)

2008

27. Overnight interest rates and aggregate market expectations
    Economics Letters, 2008, 100, (1), 27-30 View citations (11)
    See also Working Paper Overnight Interest Rates and Aggregate Market Expectations, Working Paper series (2009) View citations (1) (2009)

2007

28. A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s
    Applied Financial Economics, 2007, 17, (17), 1377-1387
29. Investment information content in Bollinger Bands?
    Applied Financial Economics Letters, 2007, 3, (4), 263-267 View citations (1)
30. 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 View citations (10)
31. The microstructure of the Canada/U.S. dollar exchange rate: A robustness test
    Economics Letters, 2007, 94, (3), 426-432 View citations (9)

2006

32. Non-linear, non-parametric, non-fundamental exchange rate forecasting
    Journal of Forecasting, 2006, 25, (4), 227-245 View citations (19)