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1

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

GenÇay Ramazan, Ballocchi Giuseppe, Dacorogna Michel, Olsen Richard, Pictet Olivier

Journal:

International Economic Review

Year:

2002

Language:

english

File:

PDF, 179 KB

english, 2002

2

Non-linear prediction of security returns with moving average rules

Ramazan Gençay

Journal:

Journal of Forecasting

Year:

1996

Language:

english

File:

PDF, 702 KB

english, 1996

3

Hedging Through a Limit Order Book with Varying Liquidity

Agliardi, Rossella, Gençay, Ramazan

Journal:

The Journal of Derivatives

Year:

2014

Language:

english

File:

PDF, 1.89 MB

english, 2014

4

Fuzzy logic, trading uncertainty and technical trading

Nikola Gradojevic, Ramazan Gençay

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 505 KB

english, 2013

5

Foreign exchange trading models and market behavior

Ramazan Gençay, Michel Dacorogna, Richard Olsen, Olivier Pictet

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 209 KB

english, 2003

6

Jump detection with wavelets for high-frequency financial time series

Xue, Yi, Gençay, Ramazan, Fagan, Stephen

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 471 KB

english, 2014

7

Trading frequency and volatility clustering

Yi Xue, Ramazan Gençay

Journal:

Journal of Banking & Finance

Year:

2012

Language:

english

File:

PDF, 759 KB

english, 2012

8

Moving average rules, volume and the predictability of security returns with feedforward networks

Ramazan Gençay, Thanasis Stengos

Journal:

Journal of Forecasting

Year:

1998

Language:

english

File:

PDF, 156 KB

english, 1998

9

Intraday dynamics of stock market returns and volatility

Faruk Selçuk, Ramazan Gençay

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2006

Language:

english

File:

PDF, 497 KB

english, 2006

10

Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules

Ramazan Gençay

Journal:

Journal of International Economics

Year:

1999

Language:

english

File:

PDF, 81 KB

english, 1999

11

OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS

AGLIARDI, ROSSELLA, GENÇAY, RAMAZAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 231 KB

english, 2017

12

Commodity futures hedging, risk aversion and the hedging horizon

Conlon, Thomas, Cotter, John, Gençay, Ramazan

Journal:

European Journal of Finance

Year:

2015

Language:

english

File:

PDF, 362 KB

english, 2015

13

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Ramazan Gençay, Giuseppe Ballocchi, Michel Dacorogna, Richard Olsen and Olivier Pictet

Journal:

International Economic Review

Year:

2002

Language:

english

File:

PDF, 538 KB

english, 2002

14

Scaling properties of foreign exchange volatility

Ramazan Gençay, Faruk Selçuk, Brandon Whitcher

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2001

Language:

english

File:

PDF, 321 KB

english, 2001

15

Optimization of technical trading strategies and the profitability in security markets

Ramazan Gençay

Journal:

Economics Letters

Year:

1998

Language:

english

File:

PDF, 44 KB

english, 1998

16

Spot Arbitrage in FX Market and Algorithmic Trading: Speed Is Not of the Essence

Mahmoodzadeh, Soheil, Tseng, Michael C, Gencay, Ramazan

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 2.08 MB

english, 2017

17

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Gencay, Ramazan, Dacorogna, Michel M., Ballocchi, Giuseppe, Olsen, Richard B., Pictet, Olivier V.

Journal:

SSRN Electronic Journal

Year:

1999

File:

PDF, 8.46 MB

1999

18

Economic links and credit spreads

Gençay, Ramazan, Signori, Daniele, Xue, Yi, Yu, Xiao, Zhang, Keyi

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 533 KB

english, 2015

19

Pricing and hedging derivative securities with neural networks and a homogeneity hint

René Garcia, Ramazan Gençay

Journal:

Journal of Econometrics

Year:

2000

Language:

english

File:

PDF, 160 KB

english, 2000

20

Extreme value theory and Value-at-Risk: Relative performance in emerging markets

Ramazan Gençay, Faruk Selçuk

Journal:

International Journal of Forecasting

Year:

2004

Language:

english

File:

PDF, 308 KB

english, 2004

21

Overnight interest rates and aggregate market expectations

Nikola Gradojevic, Ramazan Gencay

Journal:

Economics Letters

Year:

2008

Language:

english

File:

PDF, 371 KB

english, 2008

22

A Visual Goodness-of-Fit Test for Econometric Models

Gençay, Ramazan, Selçuk, Faruk

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

1998

Language:

english

File:

PDF, 559 KB

english, 1998

23

How Successful Are Wavelets in Detecting Jumps?

Eroğlu, Burak, Gençay, Ramazan, Yazgan, M.

Journal:

Year:

2017

Language:

english

File:

PDF, 284 KB

english, 2017

24

Errors-in-variables estimation with wavelets

Gençay, Ramazan, Gradojevic, Nikola

Journal:

Journal of Statistical Computation and Simulation

Year:

2011

Language:

english

File:

PDF, 292 KB

english, 2011

25

An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system

Ramazan Gencay, W.Davis Dechert

Journal:

Physica D: Nonlinear Phenomena

Year:

1992

Language:

english

File:

PDF, 872 KB

english, 1992

26

Exploring exchange rate returns at different time horizons

Ramzi Nekhili, Aslihan Altay-Salih, Ramazan Gençay

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2002

Language:

english

File:

PDF, 169 KB

english, 2002

27

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

Gencay, Ramazan, Gradojevic, Nikola

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 323 KB

english, 2006

28

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics || DISCRETE WAVELET TRANSFORMS

Gençay, Ramazan

Year:

2002

Language:

english

File:

PDF, 4.39 MB

english, 2002

29

Tests for serial correlation of unknown form in dynamic least squares regression with wavelets

Li, Meiyu, Gençay, Ramazan

Journal:

Economics Letters

Year:

2017

Language:

english

File:

PDF, 710 KB

english, 2017

30

Market Impact of Algorithmic Trading: A Reconciliation

Tseng, Michael C, Mahmoodzadeh, Soheil, Gencay, Ramazan

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 833 KB

english, 2017

31

Semiparametric estimation of a hedonic price function

Paul M. Anglin, Ramazan Gençay

Journal:

Journal of Applied Econometrics

Year:

1996

Language:

english

File:

PDF, 909 KB

english, 1996

32

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics || WAVELETS FOR VARIANCE-COVARIANCE ESTIMATION

Gençay, Ramazan

Year:

2002

Language:

english

File:

PDF, 2.74 MB

english, 2002

33

A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators

Ramazan Gençay, Xian Yang

Journal:

Economics Letters

Year:

1996

Language:

english

File:

PDF, 710 KB

english, 1996

34

Nonlinear modelling and prediction with feedforward and recurrent networks

Ramazan Gençay, Tung Liu

Journal:

Physica D: Nonlinear Phenomena

Year:

1997

Language:

english

File:

PDF, 1.40 MB

english, 1997

35

Short‐run wavelet‐based covariance regimes for applied portfolio management

Berger, Theo, Gençay, Ramazan

Journal:

Journal of Forecasting

Year:

2020

File:

PDF, 5.88 MB

2020

36

EVIM: A Software Package for Extreme Value Analysis in MATLAB

Gençay, Ramazan, Selçuk, Faruk, Ulugülyagci, Abdurrahman

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2001

Language:

english

File:

PDF, 693 KB

english, 2001

37

Effective return, risk aversion and drawdowns

Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, Olivier V. Pictet

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2001

Language:

english

File:

PDF, 131 KB

english, 2001

38

Software reviews

Ramazan Gençay, Faruk Selçuk

Journal:

International Journal of Forecasting

Year:

2001

Language:

english

File:

PDF, 409 KB

english, 2001

39

Differentiating intraday seasonalities through wavelet multi-scaling

Ramazan Gençay, Faruk Selçuk, Brandon Whitcher

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2001

Language:

english

File:

PDF, 314 KB

english, 2001

40

Testing chaotic dynamics via Lyapunov exponents

Mikael Bask, Ramazan Gençay

Journal:

Physica D: Nonlinear Phenomena

Year:

1998

Language:

english

File:

PDF, 115 KB

english, 1998

41

Investment horizon effect on asset allocation between value and growth strategies

Francis In, Sangbae Kim, Ramazan Gençay

Journal:

Economic Modelling

Year:

2011

Language:

english

File:

PDF, 430 KB

english, 2011

42

Asymmetry of information flow between volatilities across time scales

Gençay, Ramazan, Gradojevic, Nikola, Selçuk∥, Faruk, Whitcher, Brandon

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 1.77 MB

english, 2010

43

International chaos?

Murray Frank, Ramazan Gencay, Thanasis Stengos

Journal:

European Economic Review

Year:

1988

Language:

english

File:

PDF, 2.16 MB

english, 1988

44

Long-Run Wavelet-Based Correlation for Financial Time Series

Conlon, Thomas, Cotter, John, Gençay, Ramazan

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 1.47 MB

english, 2018

45

Estimation of a Time-Varying Parameter with Arbitrary Structural Breaks

Tseng, Michael C, Gencay, Ramazan

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 973 KB

english, 2017

46

The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms

Gencay, Ramazan, Dechert, W. Davis

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

1996

Language:

english

File:

PDF, 290 KB

english, 1996

47

The Tale of Two Financial Crises: An Entropic Perspective

Gençay, Ramazan, Gradojevic, Nikola

Journal:

Year:

2017

Language:

english

File:

PDF, 351 KB

english, 2017

48

Trading Frequency and Volatility Clustering

Xue, Yi, Gencay, Ramazan

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 648 KB

english, 2008

49

Enhancing the predictability of crude oil markets with hybrid wavelet approaches

Uddin, Gazi Salah, Gençay, Ramazan, Bekiros, Stelios, Sahamkhadam, Maziar

Journal:

Economics Letters

Year:

2019

Language:

english

File:

PDF, 924 KB

english, 2019

50

Contagion in a Network of Heterogeneous Banks

Gencay, Ramazan, Pang, Hao, Tseng, Michael C, Xue, Yi

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 530 KB

english, 2017

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