Seminar by Professor Nikola Gradojevic
Associate Professor of Finance at the IÉSEG School of Management
Lille Catholic University, Lille, France
Time and location:
University of Essex, Wednesday 16th October 2013, 4pm, Room 1N1.4.1
Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability
This talk presents a work about the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest weak evidence that technical trading activities of financial and non-financial customers drive frequent violations of the FX market microstructure assumption that exchange rate movements are driven by order flow. After controlling for transaction costs, we find that the contribution of financial customers in feedback trading dominates the contribution of non-financial customers at lower frequencies, while the opposite holds at higher frequencies. An additional, novel contribution is that technical indicators constructed from order flows can be profitable.
Nikola Gradojevic received the Ph.D. degree in financial economics from the University of British Columbia, Vancouver, BC, Canada, in 2003. He also holds an M.A. in Economics from University of Essex and Central European University and an M.Sc. in Electrical Engineering (System Control Major). Currently, he is an Associate Professor of Finance at the IÉSEG School of Management, Lille Catholic University, in Lille and Paris, France. During his career he took positions at the University of British Columbia, Bank of Canada, Federal Reserve Bank of St. Louis, Lakehead University, and in the private sector as a consultant. He has held visiting appointments at Rouen Business School in France, University of Bologna in Italy, Faculty of Economics in Montenegro and University of Novi Sad, Faculty of Technical Sciences. He is a Research 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, Non-additive Entropy, Artificial Intelligence (e.g., neural networks and fuzzy logic), Technical Trading, Asset Price Volatility and Bubbles.
- Gradojevic, N. & Gencay, R., Fuzzy logic, trading uncertainty and technical trading, Journal of Banking & Finance, Vol. 37, 2013, 578-586
- Gradojevic, N. & Lento, C., Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability, Manuscript, 2013
Edward Tsang; Last updated 2013.10.17