G. Charles-Cadogan
University of Johannesburg
G. Charles-Cadogan is currently a lecturer in financial economics at the University of Johannesburg, Department of Economics and Econometrics. His research is focused on asymptotic theories of financial decision making, high frequency trading, statistical arbitrage, and empirical processes motivated by microfoundations of behavioural economics. Among other outlets, his work has been published in Journal of Mathematical Economics, Financial Research Letters, Proceedings of Amer. Stat. Assoc., handbooks, and peer reviewed conference proceedings. He holds bachelors degrees in statistics and actuarial science, a master’s degree in mathematical statistics. His PhD (University of Cape Town, 2015) thesis in Statistical Economics is entitled “Essays On Statistical Economics With Applications To Financial Market Instability, Limit Distribution Of Loss Aversion, And Harmonic Probability Weighting Functions”, examines the role of statistical distributions in microfoundations of behavioural economics and finance.
Follow G.
Articles by G. Charles-Cadogan
Diffusing explosive portfolio performance evaluation of high frequency traders
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.