Publications & Works

Published journal articles indexed by SCI, SSCI, and AHCI

Articles Published in Other Journals

Refereed Congress / Symposium Publications in Proceedings

An Opening Price Based Day Trading Strategy for Fast Traders

Forecasting Financial Markets Conference, Rennes, France, 14 - 16 June 2023

Do corporate factors tell about market liquidity of stocks? A worldwide analysis

Forecasting Financial Markets Conference, Milan, Italy, 29 June - 01 July 2022

High-frequency Trading Regulations: When and How to?

39th EBES Conference, Roma, Italy, 6 - 08 April 2022, pp.28

Information Arrival and Efficiency in Bitcoin Market

Global Business Research Congress, İstanbul, Turkey, 10 - 11 June 2021, vol.13, pp.96

Does Regional Google Search Volume Contain Private Information?

International Symposium on Economics, Finance and Econometrics, Hatay, Turkey, 5 - 07 September 2019, pp.10

Cost and Pricing Structures of Capital market infrastructure Institutions: A Closer Look at Integration

European Financial Management Association 2019 Annual Conference, Ponta-Delgada, Portugal, 26 - 29 June 2019

Closing Price Manipulation and Liquidity

Global Business Research Congress, İstanbul, Turkey, 30 - 31 May 2019

High-Frequency Trading and Market Quality: Case of a ”Slightly Exposed” Market

Financial Econometrics Conference: Market Microstructure, Limit Order Books and Derivative Markets, Lancaster, England, 13 - 14 September 2018

Google Search and Stock Returns

Global Business Research Conference 2018, İstanbul, Turkey, 24 May 2018

Trading in Spot vs Futures: The Effect of Tick Size

Istanbul Finance Congress, İstanbul, Turkey, 2 - 03 November 2017

Capital Structure of Dow Jones Islamic Market World Index Firms

Borsa Istanbul Finance and Economics Conference, İstanbul, Turkey, 1 - 02 October 2015

Levels of Algorithmic and High Frequency Trading in Borsa Istanbul

Borsa Istanbul Economics and Finance Conference, İstanbul, Turkey, 1 - 02 October 2015

A Comparison of Effective Bid Ask Spread Proxies Evidence from Borsa Istanbul Futures

55th Meeting of European Working Group for Commodities and Financial Modelling (EWGCFM), Ankara, Turkey, 14 - 16 May 2015, pp.5

An Evaluation of Risk Measures at High Frequency

Financial Engineering Conference, İzmir, Turkey, 20 - 21 November 2011, pp.1


Financial Engineering Conference, İzmir, Turkey, 20 - 21 October 2011, pp.1-9

Commonality in Intermarket Liquidity: A Single Country Case

International Conference on Mathematical Finance and Economics, İstanbul, Turkey, 6 - 08 July 2011, pp.55

Finansal Krizde Teknolojinin Rolü

TMMOB Sanayi Kongresi, Ankara, Turkey, 11 - 12 December 2009, pp.9-10

A Correlation Analysis of Order Aggressiveness

AFFI Meeting, Poitiers, France, 26 - 27 June 2006

Books & Book Chapters

Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High-Frequency Traders

in: Handbook of High Frequency Trading, Greg Gregoriou, Editor, Academic Press (Elsevier), pp.305-326, 2015

A Review of Market Risk Measures and Computation Techniques

in: Rethinking Valuation and Pricing Models, Carsten S. Wehn, Christian Hoppe, Greg N. Gregoriou, Editor, Academic Press (Elsevier), pp.283-302, 2012

High-frequency Performance of Value at Risk and Expected Shortfall: Evidence from ISE30 Index Futures

in: Rethinking Valuation and Pricing Models, Carsten S. Wehn,Christain Hoppe,Greg N. Gregoriou, Editor, Academic Press , Oxford, pp.303-315, 2012

The Effects of Different Parameter Estimation Methods on Option Pricing

in: The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets, Greg Gregoriou Christian Hoppe Carsten Wehn, Editor, McGraw Hill Higher Education , New York, pp.125-140, 2010

Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets

in: Stock Market Volatility, Greg N. Gregoriou, Editor, CRC, New York , New York, pp.499-516, 2009

Indices, Price Book, Price Earnings, and Dividend Yield Ratios in Emerging Financial Markets

in: Emerging Markets Performance Analysis and Innovation, GREG N. GREGORIU, Editor, Taylor and Francis, New-York, pp.95-115, 2009

Intraday Liquidity in the Istanbul Stock Exchange

in: Stock Market Liquidity Implications for Market Microstructure and Asset Pricing, François-Serge Lhabitant,Greg N. Gregoriou, Editor, John Wiley & Sons, West Sussex, UK , New Jersey, pp.77-94, 2008




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