Nikola Gradojevic

Nikola Gradojevic
Professor, Finance
Department of Economics and Finance
Email: 
ngradoje@uoguelph.ca
Phone number: 
ext. 52357
Office: 
MacKinnon (MCKN), Room 734

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About

Biography

Nikola Gradojevic received the Ph.D. degree in financial economics from the University of British Columbia, Vancouver, BC, Canada, in 2003. Currently, he is a Professor of Finance in the Department of Economics and Finance, at the University of Guelph.

During his career he took positions at the University of British Columbia, Bank of Canada, Federal Reserve Bank of St. Louis, IÉSEG School of Management, Lakehead University, and in the private sector as a consultant in the financial and mining industries. He has held or still holds visiting appointments at Rouen Business School in France, University of Bologna in Italy, University of Essex (The Centre for Computational Finance and Economic Agents) in the United Kingdom, Mediterranean School of Business in Tunisia, Faculty of Economics in Montenegro and University of Novi Sad, Faculty of Technical Sciences in Serbia. He is currently a Senior Fellow at the Rimini Center for Economic Analysis in Italy.

Dr. Gradojevic’s research interests include Empirical Asset Pricing, Market Microstructure, High-Frequency Finance, International Finance, Risk Management, Entropy, Wavelets, Artificial Intelligence (e.g., neural networks and fuzzy logic), Technical Trading, Asset Price Volatility, Bubbles and Jumps.

Education

  • B.Sc. & M.Sc. in Electrical Engineering (System Control) from University of Novi Sad, Faculty of Technical Sciences (Serbia).
  • M.A. in Economics from University of Essex (U.K.) and Central European University (Hungary).
  • Ph.D. in Economics from University of British Columbia (Vancouver, BC).

Awards and Honours

  • Lakehead University, Merit in Research (2010).
  • Lakehead University, Contributions to Research Award (June 2009) – awarded annually to the top three university researchers. 
  • Best paper award (international finance) at the Midwest Finance Association conference (March, 2009, Chicago); 
  • A Global Supplementary Grant for 2001–2002 graduate studies by Open Society Institute (OSI); 
  • A Supplementary Grant for 1998–1999 graduate studies by Open Society Institute (OSI); 
  • A full M.A. fellowship for 1996–1998 by Foundation for Open Society (George Soros Foundation).

Research Interests

  • Empirical Asset Pricing, 
  • Market Microstructure, 
  • High-Frequency Finance, 
  • International Finance, 
  • Risk Management, 
  • Entropy, 
  • Wavelets, 
  • Artificial Intelligence (e.g., neural networks and fuzzy logic), 
  • Technical Trading, 
  • Asset Price Volatility, Bubbles and Jumps.

Publications

Gencay R., Gradojevic N. (2017), The tale of two financial crises: An entropic perspective, Entropy, 19 (6), 244. doi: 10.3390/e19060244, Special Issue "Entropic Applications in Economics and Finance" *NEW

Gradojevic N., Erdemlioglu, D., Gencay R., (2017), Informativeness of trade size in foreign exchange markets, Economics Letters, 150, pp. 27-33. http://dx.doi.org/10.1016/j.econlet.2016.11.010 *NEW

Gradojevic N., Caric M., (2017), Predicting Systemic Risk with Entropic Indicators, Journal of Forecasting, 36 (1), pp. 16-25. http://onlinelibrary.wiley.com/doi/10.1002/for.2411/full *NEW

Nikolić S.T., Gradojevic N., Đaković V., Mladenović V., Stanković J. (2017), The marketing-entrepreneurship paradox: A frequency-domain analysis, E&M: Economics & Management, 20 (3), 207-218. http://dx.doi.org/10.15240/tul/001/2017-3-014.*NEW

Gradojevic N., (2016), Multi-criteria Classification for Pricing European Options, Studies in Nonlinear Dynamics & Econometrics, 20 (2), pp. 123-139 (Supplemental_Data_and_Code).

Gradojevic N., Gencay Ramazan, Olsen Richard, Selcuk Faruk, (2015), Informed Traders' Arrival in Foreign Exchange Markets: Does Geography Matter?, Empirical Economics, 49 (4), pp. 1431-1462.

Gradojevic N., Lento C., (2015), High-Frequency Technical Trading: Insights for Practitioners, in: Greg N. Gregoriou (Eds.), The Handbook of High Frequency Trading, Academic Press, 20, pp. 347-357.

Gradojevic N., Lento C., (2015), Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability, Economic Modelling, 47, pp. 156-165.

Gradojevic N., (2014), Foreign exchange customers and dealers: Who's driving whom?, Finance Research Letters, 11(3), pp. 213-218.

Gencay R., Gradojevic N., (2013), Private information and its origins in an electronic foreign exchange market, Economic Modelling, 33, pp. 86-93.

Gradojevic N., Gencay R., (2013), Fuzzy Logic, Trading Uncertainty and Technical Trading, Journal of Banking & Finance, 37(2), pp. 578–586.

Gradojevic N., Dobardzic Eldin, (2013), Causality between regional stock markets: A frequency domain approach, Panoeconomicus, 60(5), pp. 633-647.

Gradojevic N., (2012), Frequency domain analysis of foreign exchange order flows, Economics Letters, 115(1), pp. 73–76.

Gradojevic N., Kukolj Dragan, Lento Camillo, (2012), Improving Non-parametric Option Pricing during the Financial Crisis, in: Adam Ghandar (Eds.), Conference on Computational Intelligence for Financial Engineering and Economics, IEEE, pp. 1-7.

Lento C., Gradojevic N., (2012), The Effectiveness of Option Pricing Models during Financial Crises, in: Wehn, C.S., Gregoriou, G. N., Christian Hoppe, C. (Eds.), Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Academic Press, Oxford, 1, pp. 1-11.

Gencay R., Gradojevic N., (2011), Errors-in-Variables Estimation with Wavelets, Journal of Statistical Computation and Simulation, 81(11), pp. 1545-1564.

Gradojevic N., Gencay R., (2011), Financial Applications of Nonextensive Entropy, IEEE Signal Processing Magazine, 28(5), pp. 116-141.

Gradojevic N., Kukolj D., (2011), Parametric option pricing: A divide-and-conquer approach, Physica D: Nonlinear Phenomena, 240(19), pp. 1528–1535.

Gradojevic N., Kukolj D., Gencay R., (2011), Clustering and Classification in Option Pricing, Review of Economic Analysis, 3(2), pp. 109-128.

Gencay R., Gradojevic N., (2010), Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence, Journal of Empirical Finance, 17(2), pp. 270–282.

Gencay R., Gradojevic N., Selcuk F., Whitcher B., (2010), Asymmetry of Information Flow between Volatilities Across Time Scales, Quantitative Finance, 10(8), pp. 895–915 (Asymmetric Vertical Volatility Codes/Wavelet-Based Hidden Markov Trees).

Lento C., Serenko A., Gradojevic N., Booker L., Yol S., (2010), The Electronic Law of One Price (eLOP), in: Lee, I. (Eds.), Encyclopedia of E-Business Development and Management in the Digital Economy, IGI Global, pp. 55/64.

Gradojevic N., (2010), Multiscale Analysis of Microstructure Causality in the Foreign Exchange Market, International Journal of Industrial Engineering and Management, 1(2), pp. 47-52.

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

Gradojevic N., Caric M., (2009), Revisiting Non-Parametric Exchange Rate Prediction, Journal of Applied Business Research, 25(2), pp. 79-93.

Gradojevic N., Gencay R., Kukolj D., (2009), Option Pricing with Modular Neural Networks, IEEE Transactions on Neural Networks, 20(4), pp. 626-637.

Gradojevic N., Gencay R., (2008), Overnight Interest Rates and Aggregate Market Expectations, Economics Letters, 100(1), pp. 27–30.

Gradojevic N., (2007), A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s, Applied Financial Economics, 17(17), pp. 1377-1387.

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

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

Lento C., Gradojevic N., (2007), The Profitability of Technical Trading Rules: A Combined Signal Approach, Journal of Applied Business Research, 23(1), pp. 13-27.

Lento C., Gradojevic N., Wright C., (2007), Investment information content in Bollinger Bands? , Applied Financial Economics Letters, 3(4), pp. 263-267.

Smith D., Gradojevic N., Irwin S., (2007), An Analysis of Brand Equity Determinants: Gross Profit, Advertising, Research and Development, Journal of Business and Economics Research, 5(11), pp. 103-116.

Gradojevic N., Yang J., (2006), Non-linear, Non-parametric, Non-fundamental Exchange Rate Forecasting, Journal of Forecasting, 25(4), pp. 227-245.

Presentations

Gradojevic, N., Erdemlioglu, D., Gencay, R. (2017, August). Informativeness of trade size in foreign exchange markets. 70th European Meeting of the Econometric Society, Lisbon, Portugal. 

Gradojevic, N., Erdemlioglu, D., Gencay, R. (2016, September). Informativeness of trade size in foreign exchange markets. The Rimini Conference in Economics and Finance - RCEF 2016, Waterloo, Canada.

Erdemlioglu, D. and Gradojevic, N. (2016, June). Heterogeneous investment horizons, jump risk and market fear. Canadian Economics Association Meeting, Ottawa, Canada (Presenter, Discussant).

Erdemlioglu, D. and Gradojevic, N. (2016, May). Heterogeneous investment horizons, jump risk and market fear. RCEA Macro-Money-Finance Workshop "Advances in Macroeconomics and Finance", Rimini, Italy.

Erdemlioglu, D. and Gradojevic, N. (2015, June). Heterogeneous investment horizons, jump risk and market fear. European Financial Management Association, 2015 Annual Meetings, Amsterdam, Netherlands.

Erdemlioglu, D. and Gradojevic, N. (2014, December). Heterogeneous investment horizons and realized jump risk in financial markets. International Conference on Computational and Financial Econometrics, Pisa, Italy. 

Gradojevic, N. and Gencay, R. (2014, June). Predictors of triangular arbitrage opportunities: Interdependence and order book indicators. The Rimini Conference in Economics and Finance (RCEF-2014): The Next Convergence, Rimini, Italy. 

Gencay, R. and N. Gradojevic, Olsen, R., Selcuk, F. (2013, August). Informed Traders' Arrival in Foreign Exchange Markets: Does Geography Matter?. European Meeting of the Econometric Society, Gothenburg, Sweden. 

N. Gradojevic and Gencay, R. (2013, June). Triangular Arbitrage Opportunities: Scisti Uti Foro. 2nd Rimini Time Series Workshop, Rimini, Italy.

Gencay, R. and N. Gradojevic. (2012, August). Private information and its origins in an electronic foreign exchange market. European Economic Association annual meeting, Malaga, Spain.

Kukolj, D., N. Gradojevic, and Lento, C. (2012, April). Improving Non-parametric Option Pricing during the Financial Crisis. IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr), New York, New York. 

N. Gradojevic and Lento, C. (2011, October). Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability. International Monetary and Financial Economics Workshop, Toronto, Canada-Ontario. 

“Reducing uncertainty in technical trading with fuzzy logic: ‘Fuzzy technical indicators’”, Canadian Economics Association Meeting, Ottawa, June 2-5, 2011 (Presenter, Discussant and Session Chair);

N. Gradojevic and Gencay, R. (2011, May). Reducing uncertainty in technical trading with fuzzy logic: ‘Fuzzy technical indicators’. Rimini Finance Workshop, Rimini, Italy; 

Kukolj, D. and N. Gradojevic (2011, April). Option Pricing by Fuzzy Logic Based Signal Processing. International Conference on Society and Information Technologies, Orlando, Florida; 

“The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate”, 64th European Meeting of the Econometric Society, Barcelona, August 23-27, 2009 (Presenter); 

“The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate”, 2009 Meetings of Midwest Finance Association, Chicago, March 4-7 (Presenter) - best paper award (international finance); 

When do informed traders arrive in FX markets?, 2008 Latin American Meeting of the Econometric Society, Rio de Janeiro, November 20-22 (Presenter and Session Chair); 

When do informed traders arrive in FX markets?, 63rd European Meeting of the Econometric Society, Milano, August 27-31, 2008 (Presenter and Session Chair); 

When do informed traders arrive in FX markets?, Canadian Economics Association Meeting, Vancouver, June 6-8, 2008 (Presenter, Discussant and Session Chair); 

“Option Pricing with Modular Neural Networks”, CEA 2006 Annual Meeting at Concordia University, Montreal, May 26-28 (Presenter and Session Chair); 

“Option Pricing with Modular Neural Networks”, 61st European Meeting of the Econometric Society, August 24-28, 2006, in Vienna, Austria (Presenter); 

Canadian Econometrics Study Group, October 21–22, 2005, SFU Harbour Centre, Vancouver (Session Chair); 

“Non-parametric Exchange Rate Prediction: Revisited”, CEA 2005 Annual Meeting at McMaster University, Hamilton, May 27-29 (Presenter and Discussant).

Funding

  • IÉSEG School of Management’s internal funding (2013, 2014, 2015).
  • Social Sciences and Humanities Research Council of Canada (sole principal investigator), 2008-2011 ($59,250);
  • Lakehead University’s internal funding (2003, 2004, 2006, 2007).

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 Operational Research; European Journal of Finance; Journal of Financial Econometrics; Economics Letters; Finance Research Letters; International Journal of Forecasting; 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; IEEE Systems Journal; Neurocomputing; Neural Computing and Applications; Empirical Economics; Scottish Journal of Political Economy; Emerging Markets Finance and Trade; Quantitative Finance; Economic Modelling; Econometric Reviews; The Journal of Risk; Communications in Nonlinear Science and Numerical Simulation; Entropy; Physica A; Review of Economic Analysis; International Review of Finance (Wiley); International Review of Financial Analysis (Elsevier); Computational Methods in Financial Engineering; Panoeconomicus; Organizacija (Organization-Journal of Management, Information Systems and Human Resources); International Journal of Technology Management; Business Economics (Biznis Ekonomija); African Journal of Business Management; International Journal of Industrial Engineering and Management; International Review of Economics and Finance; Information; Journal of Risk and Financial Management; Algorithmic Finance; Social Sciences and Humanities Research Council of Canada (SSHRC);Administrative Sciences Association of Canada (ASAC).

Current Courses

ECON 4660 - Risk Management in Finance and Insurance (Fall 2017)
ECON 4560 - Advanced Topics in Finance (Winter 2018)