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Nikola Gradojevic


May 28, 2013 by Michael Dohan

Selected Research Papers

“Fuzzy Logic, Trading Uncertainty and Technical Trading” (with Ramo Gençay), Journal of Banking and Finance 37 (2), 578-586 (2013).*NEW

Lento, C., Gradojevic, N. (2013). The Effectiveness of Option Pricing Models During Financial Crises.” In: Wehn, C.S., Hoppe, C., Gregoriou, G.N. (Eds)., Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges. Academic Press, Elsevier Inc., pp. 1–11.

“Improving Non-parametric Option Pricing during the Financial Crisis” (with Dragan Kukolj and Camillo Lento), Proceedings of the IEEE Computational Intelligence for Financial Engineering and Economics (2012).

“Frequency Domain Analysis of Foreign Exchange Order Flows”Economics Letters 115, 73-76 (2012).

“Parametric Option Pricing: A Divide-and-Conquer Approach” (with Dragan Kukolj), Physica D: Nonlinear Phenomena 240 (19), 1528-1535 (2011).

“Clustering and Classification in Option Pricing” (with Dragan Kukolj and Ramo Gençay), Review of Economic Analysis 3 (2), 109-128 (2011).

“Financial Applications of Non-extensive Entropy” (with Ramo Gençay), IEEE Signal Processing Magazine 28 (5), 116-141 (2011).

“Errors-in-Variables Estimation with Wavelets” (with Ramo Gençay), Journal of Statistical Computation and Simulation 81 (11), 1545-1564 (2011).

“Asymmetry of Information Flow between Volatilities Across Time Scales” (with Ramo Gençay, Faruk Selcuk  and Brandon Whitcher), Quantitative Finance 10 (8), 895-915 (2010).
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“Crash of ’87 – Was it Expected? Aggregate Market Fears and Long Range Dependence” (with Ramo Gençay), Journal of Empirical Finance 17 (2), 270-282 (2010) (special issue in honour of Benoît B. Mandelbrot’s 80th birthday).

“Random Walk Theory and Exchange Rate Dynamics in Transition Economies” (with V. Djakovic and G. Andjelic), Panoeconomicus 57 (3), 303-320 (2010).

“Informed Trading in Electronic Foreign Exchange Market” (with Ramo Gençay).

“The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate” (with Christopher J. Neely) – Federal Reserve Bank of St. Louis Working Paper #2008-006C–Best paper award (international finance)  at the Midwest Finance Association conference (March, 2009, Chicago); also presented at the 64th European Meeting of the Econometric Society (August 23-27, 2009, in Barcelona, Spain).

“When Do Informed Traders Arrive in Foreign Exchange Markets?” (with Ramo Gençay and Faruk Selçuk), presented at the 63rd European Meeting of the Econometric Society (August 27-31, 2008, in Milan, Italy).

“Option Pricing with Modular Neural Networks” (with Ramo Gençay and Dragan Kukolj), presented at the 61st European Meeting of the Econometric Society (August 24-28, 2006, in Vienna, Austria), IEEE Transactions on Neural Networks 20 (4), 626-637 (2009).

“Revisiting Non-Parametric Exchange Rate Prediction” (with Marko Caric), Journal of Applied Business Research 25 (2), 79-93 (2009).

“Overnight Interest Rates and Aggregate Market Expectations” (with Ramo Gençay), Economics Letters 100 (1), 27-30 (2008).

“Non-linear, Hybrid Exchange Rate Modelling and Trading Profitability in the Foreign Exchange Market”Journal of Economic Dynamics and Control 31 (2), 557-574 (2007).

“The Microstructure of the Canada/U.S. Dollar Exchange Rate: A Robustness Test”Economics Letters 94 (3), 426-432 (2007).

“A Market Microstructure Analysis of the Canadian Dollar Depreciation Episodes in the 1990s”Applied Financial Economics 17 (17), 1377-1387  (2007).

“Investment information content in Bollinger Bands?” (with Camillo Lento and Chris Wright), Applied Financial Economics Letters 3 (4), 263-267 (2007).

“The Profitability of Technical Trading Rules: A Combined Signal Approach” (with Camillo Lento), Journal of Applied Business Research 23 (1), 13-27 (2007).

“Non-linear, Non-parametric, Non-fundamental Exchange Rate Forecasting” (with Jing Yang), Journal of Forecasting 25 (4), 227-245 (2006).

  Served as a Referee for

Journal of Econometrics;
Journal of International Economics;
Journal of Macroeconomics;
Journal of Banking and Finance;
Journal of Economic Dynamics and Control;
Journal of Empirical Finance;
European Journal of Finance;
Finance Research Letters;
Studies in Nonlinear Dynamics and Econometrics;
Journal of International Financial Markets, Institutions and Money;
Journal of Applied Business Research;
Applied Economics;
Applied Financial Economics;
Managerial Finance;
IEEE Transactions on Neural Networks;
Empirical Economics;
Scottish Journal of Political Economy;
Emerging Markets Finance and Trade;
Quantitative Finance;
Economic Modelling;
Computational Methods in Financial Engineering;
International Journal of Technology Management;
African Journal of Business Management;
International Journal of Industrial Engineering and Management;
International Review of Economics and Finance;
Algorithmic Finance;
Social Sciences and Humanities Research Council of Canada (SSHRC);
Administrative Sciences Association of Canada (ASAC).

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