Ramazan Gençay | Academic Influence

Ramazan Gençay's AcademicInfluence.com Rankings

Ramazan Gençay

Economics

#3641

World Rank

#4121

Historical Rank

economics Degrees

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Economics

Ramazan Gençay's Degrees

PhD Economics University of British Columbia
Masters Economics University of British Columbia
Bachelors Economics Middle East Technical University

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Why Is Ramazan Gençay Influential?

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According to Wikipedia, Ramazan Gençay was a Turkish-born Canadian economist. Born in Turkey, he graduated from Middle East Technical University in Ankara and attended graduate school in North America, where he earned a master's degree from the University of Guelph and a PhD from the University of Houston. He taught economics at the University of Windsor and Carleton University until 2004, and he was a professor of economics at Simon Fraser University from 2004 to 2018. He was "found dead" in Colombia on December 24, 2018 due to suspected scopolamine poisoning. According to SFU, he was "a pioneer in the use of wavelets to analyze financial data, in the analysis of high-frequency data, and [...] in the role of economic networks in financial markets."

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Ramazan Gençay's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2001) (1114)
An Introduc-tion to High-Frequency Finance (2001) (1079)
Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004) (415)
Multiscale systematic risk (2005) (327)
Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules (1999) (314)
The predictability of security returns with simple technical trading rules (1998) (271)
SEMIPARAMETRIC ESTIMATION OF A HEDONIC PRICE FUNCTION (1996) (230)
An algorithm for the n Lyapunov exponents of an n -dimensional unknown dynamical system (1992) (219)
Scaling properties of foreign exchange volatility (2001) (200)
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint (2000) (199)
High volatility, thick tails and extreme value theory in value-at-risk estimation (2003) (187)
Differentiating intraday seasonalities through wavelet multi-scaling (2001) (177)
Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging (2001) (156)
Optimization of technical trading strategies and the profitability in security markets (1998) (155)
UNIT ROOT TESTS WITH WAVELETS (2008) (150)
Using genetic algorithms to select architecture of a feedforward artificial neural network (2001) (146)
Nonlinear modeling and prediction with feedfor-ward and recurrent networks (1997) (132)
Moving average rules, volume and the predictability of security returns with feedforward networks (1998) (122)
Non-linear prediction of security returns with moving average rules (1996) (118)
Asymmetry of information flow between volatilities across time scales (2009) (107)
Scaling, Self-Similarity and Multifractality in FX Markets (2002) (92)
EVIM: A Software Package for Extreme Value Analysis in MATLAB (2001) (86)
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis (1992) (85)
Option Pricing With Modular Neural Networks (2009) (76)
Statistical properties of genetic learning in a model of exchange rate (2000) (73)
Fuzzy logic, trading uncertainty and technical trading (2013) (69)
A statistical framework for testing chaotic dynamics via Lyapunov exponents (1996) (66)
Testing chaotic dynamics via Lyapunov exponents (1998) (64)
Jump detection with wavelets for high-frequency financial time series (2014) (61)
Multi-scale tests for serial correlation (2015) (59)
A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators (1996) (57)
Overnight Borrowing, Interest Rates and Extreme Value Theory (2001) (54)
Commodity futures hedging, risk aversion and the hedging horizon (2013) (54)
Effective Return, Risk Aversion and Drawdowns (1999) (53)
Application of wavelet decomposition in time-series forecasting (2017) (53)
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates (1998) (52)
A Consistent Nonparametric Test of Symmetry in Linear Regression Models (1995) (49)
Intraday dynamics of stock market returns and volatility (2006) (46)
Model Risk for European-Style Stock Index Options (2007) (45)
Technical Trading Rules and the Size of the Risk Premium in Security Returns (1997) (45)
Foreign exchange trading models and market behavior (2003) (41)
Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures (2003) (39)
Investment Horizon Effect on Asset Allocation between Value and Growth Strategies (2010) (39)
Exploring exchange rate returns at different time horizons (2002) (36)
Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence (2006) (35)
Nonlinear prediction of noisy time series with feedforward networks (1994) (31)
Economic links and credit spreads (2015) (30)
Overnight Interest Rates and Aggregate Market Expectations (2008) (29)
The topological invariance of Lyapunov exponents in embedded dynamics (1996) (28)
Errors-in-variables estimation with wavelets (2009) (27)
Financial Applications of Nonextensive Entropy (2011) (24)
Private information and its origins in an electronic foreign exchange market (2013) (23)
Crash of '87 — Was it expected? (2010) (22)
The Tale of Two Financial Crises: An Entropic Perspective (2017) (22)
Intraday Statistical Properties of Eurofutures (1998) (20)
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events (2006) (20)
Long-Run Wavelet-Based Correlation for Financial Time Series (2018) (19)
Trading Frequency and Volatility Clustering (2008) (19)
Financial Applications of Nonextensive Entropy [Applications Corner] (2011) (18)
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms (1996) (18)
Is the largest Lyapunov exponent preserved in embedded dynamics (2000) (17)
6 – WAVELET DENOISING (2002) (16)
Hedging Through a Limit Order Book with Varying Liquidity (2014) (15)
Hypotheses testing based on modified nonparametric estimation of an affinity measure between two distributions (1993) (15)
Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment (2018) (14)
Enhancing the predictability of crude oil markets with hybrid wavelet approaches (2019) (12)
Contagion in a Network of Heterogeneous Banks (2017) (11)
Human vs. High-Frequency Traders, Penny Jumping, and Tick Size (2017) (11)
Unit Root and Cointegration Tests with Wavelets ∗ (2006) (11)
A Closer Look at the Eurofutures Market: Intraday Statistical Analysis (1998) (10)
Liquidity-Induced Dynamics in Futures Markets (2008) (10)
Information flow between volatilities across time scales (2004) (10)
A New Wavelet-based Ultra-High-Frequency Analysis of Triangular Currency Arbitrage (2019) (9)
Informativeness of trade size in foreign exchange markets (2017) (8)
Economic Links and Counterparty Risk (2012) (8)
Hierarchical Information and the Rate of Information Diffusion (2009) (8)
Informed traders’ arrival in foreign exchange markets: Does geography matter? (2015) (8)
Forthcoming in European Economic Review Overnight borrowing, interest rates and extreme value theory (2004) (7)
When Do Informed Traders Arrive in Foreign Exchange Markets? (2007) (7)
Option Pricing with Neural Networks and a Homogeneity Hint (1998) (6)
Robustness of systematic risk across time scales (2002) (6)
Clustering and Classification in Option Pricing (2011) (6)
Time-to-Expiry Seasonalities in Eurofutures (2000) (6)
Is it Brownian or fractional Brownian motion (2016) (6)
Short‐run wavelet‐based covariance regimes for applied portfolio management (2020) (5)
Tests for serial correlation of unknown form in dynamic least squares regression with wavelets (2017) (5)
Tick Size Change in the Wholesale Foreign Exchange Market (2014) (5)
Errors-in-Variables Estimation with No Instruments (2009) (4)
Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression (1996) (4)
Informed Trading in Electronic Foreign Exchange Market (2008) (4)
Software review: MATLAB neural network toolbox (2001) (3)
Long-Run International Diversification (2015) (3)
Price impact and bursts in liquidity provision (2016) (3)
A Visual Goodness-of-Fit Test for Econometric Models (1998) (3)
OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS (2017) (3)
Muddying the Waters: Who Induces Volatility in an Emerging Market? (2018) (3)
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures (2007) (3)
Algorithm for the N-Lyapunov exponents of an N-dimensional unknown dynamical system (1992) (2)
Volatility-return dynamics across different timescales (2)
4 – DISCRETE WAVELET TRANSFORMS (2002) (2)
2 – MARKETS AND DATA (2001) (2)
Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? (2009) (2)
Robust Prediction of Triangular Currency Arbitrage with Liquidity and Realized Risk Measures: A New Wavelet-Based Ultra-High-Frequency Analysis (2017) (2)
How Successful Are Wavelets in Detecting Jumps? (2017) (1)
Pricing and Hedging Derivative Securities with Neural Networks: Bayesian Regularization, Early Stopping, and Bagging Ramazan Gençay and Min Qi (2001) (1)
3 – OPTIMUM LINEAR ESTIMATION (2002) (1)
Predictors of triangular arbitrage opportunities : Interdependence and order book indicators (2014) (1)
Applications of extreme value theory to collateral valuation (2007) (1)
Serial Correlation Tests with Wavelets (2011) (1)
WHEN ARE WAVELETS USEFUL FORECASTERS (2017) (1)
Impact of Algorithmic Trading on Market Quality: A Reconciliation (2018) (1)
Estimation of Linear Model with One Time-varying Parameter via Wavelets (2014) (1)
MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS (2019) (1)
Asymmetric Liquidity-Induced Dynamics in Futures Markets (2008) (0)
Informed traders’ arrival in foreign exchange markets: Does geography matter? (2015) (0)
Author ' s personal copy Private information and its origins in an electronic foreign exchange market (2013) (0)
Multi-Scaling of Foreign Exchange Volatility (2007) (0)
11 – TRADING MODELS (2001) (0)
8 – ARTIFICIAL NEURAL NETWORKS (2002) (0)
WORKING PAPER SERIES First Version : September 2017 WHEN ARE WAVELETS USEFUL FORECASTERS ? (0)
5 – WAVELETS AND STATIONARY PROCESSES (2002) (0)
Editorial for Challenge (2008) (0)
A Visual Test of Normality for Econometric Models (1998) (0)
Author ' s personal copy Overnight interest rates and aggregate market expectations (2008) (0)
A jacobian algorithm of lyapunov exponents via multilayer feedforward networks (1991) (0)
Economic Links and Counterparty Risk : the Network Determinants of Credit Spreads (2012) (0)
Tests of the risk premium on foreign currency futures impiled by the intertemporal asset pricing theory (1995) (0)
5 – BASIC STYLIZED FACTS (2001) (0)
7 – WAVELETS FOR VARIANCE-COVARIANCE ESTIMATION (2002) (0)
Recovering cointegration via wavelets in the presence of non-linear patterns (2021) (0)
Resilience to the financial crisis in customer-supplier networks (2019) (0)
The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading (2009) (0)
2 – LINEAR FILTERS (2002) (0)
A Visual Test for Noise Filtering in Nonlinear Time Series (1998) (0)
Author ' s personal copy Trading frequency and volatility clustering (2012) (0)

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What Schools Are Affiliated With Ramazan Gençay?

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