Details about Georgios Sermpinis

Access statistics for papers by Georgios Sermpinis.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pse684

Working Papers

2023

1. Decentralization illusion in Decentralized Finance: Evidence from tokenized voting in MakerDAO polls
   Papers, arXiv.org
   See also Journal Article Decentralization illusion in Decentralized Finance: Evidence from tokenized voting in MakerDAO polls, Journal of Financial Stability, Elsevier (2024) (2024)
2. Liquidity Risks in Lending Protocols: Evidence from Aave Protocol
   Papers, arXiv.org
3. Voter Coalitions and democracy in Decentralized Finance: Evidence from MakerDAO
   Papers, arXiv.org

2022

4. Forecasting: theory and practice
   Papers, arXiv.org View citations (70)
   See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (30) (2022)

2021

5. A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection
   Papers, arXiv.org View citations (1)
   Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2021) View citations (1)
   See also Journal Article A data-driven explainable case-based reasoning approach for financial risk detection, Quantitative Finance, Taylor & Francis Journals (2022) View citations (2) (2022)

2019

6. Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices
   Papers, arXiv.org

Journal Articles

2025

1. Industry return prediction via interpretable deep learning
   European Journal of Operational Research, 2025, 321, (1), 257-268

2024

2. Decentralization illusion in Decentralized Finance: Evidence from tokenized voting in MakerDAO polls
   Journal of Financial Stability, 2024, 73, (C)
   See also Working Paper Decentralization illusion in Decentralized Finance: Evidence from tokenized voting in MakerDAO polls, Papers (2023) (2023)
3. Money demand stability: New evidence from transfer entropy
   International Economics, 2024, 179, (C)

2023

4. Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage
   Journal of Forecasting, 2023, 42, (4), 852-871
5. Technical analysis, spread trading, and data snooping control
   International Journal of Forecasting, 2023, 39, (1), 178-191

2022

6. A data-driven explainable case-based reasoning approach for financial risk detection
   Quantitative Finance, 2022, 22, (12), 2257-2274 View citations (2)
   See also Working Paper A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection, Papers (2021) View citations (1) (2021)
7. Forecasting: theory and practice
   International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (30)
   See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (70) (2022)
8. Modelling Financial Markets during Times of Extreme Volatility: Evidence from the GameStop Short Squeeze
   Forecasting, 2022, 4, (3), 1-20 View citations (1)

2021

9. Neural networks in financial trading
   Annals of Operations Research, 2021, 297, (1), 293-308 View citations (3)
10. Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices
    Journal of International Financial Markets, Institutions and Money, 2021, 73, (C) View citations (1)
11. Trading the foreign exchange market with technical analysis and Bayesian Statistics
    Journal of Empirical Finance, 2021, 63, (C), 230-251 View citations (5)

2020

12. A conditional fuzzy inference approach in forecasting
    European Journal of Operational Research, 2020, 283, (1), 196-216 View citations (1)

2019

13. Performance of technical trading rules: evidence from the crude oil market
    The European Journal of Finance, 2019, 25, (17), 1793-1815 View citations (9)
14. Preface: application of operations research to financial markets
    Annals of Operations Research, 2019, 282, (1), 1-2
15. Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization
    International Journal of Finance & Economics, 2019, 24, (4), 1443-1463 View citations (2)
16. Special issue of the International Journal of Finance and Economics innovations in finance, economics, risk management, and policy
    International Journal of Finance & Economics, 2019, 24, (4), 1407-1408
17. What influences a bank's decision to go public?
    International Journal of Finance & Economics, 2019, 24, (4), 1464-1485 View citations (3)

2018

18. Modelling market implied ratings using LASSO variable selection techniques
    Journal of Empirical Finance, 2018, 48, (C), 19-35 View citations (17)
19. Neural network copula portfolio optimization for exchange traded funds
    Quantitative Finance, 2018, 18, (5), 761-775 View citations (6)
20. One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations
    Review of Quantitative Finance and Accounting, 2018, 50, (2), 353-392 View citations (9)
21. Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’
    Quantitative Finance, 2018, 18, (5), 723-724

2017

22. European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression
    European Journal of Operational Research, 2017, 258, (1), 372-384 View citations (11)
23. Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds
    European Journal of Operational Research, 2017, 263, (2), 540-558 View citations (7)

2016

24. Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias
    Journal of Forecasting, 2016, 35, (1), 1-12 View citations (6)
25. Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions
    Computational Economics, 2016, 47, (4), 569-587 View citations (10)
26. Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
    Quantitative Finance, 2016, 16, (12), 1901-1915 View citations (3)
27. Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices
    International Journal of Forecasting, 2016, 32, (4), 1268-1283 View citations (26)
28. Special Issue of on ‘Commodity Markets’
    Quantitative Finance, 2016, 16, (12), 1807-1808
29. Stock market prediction using evolutionary support vector machines: an application to the ASE20 index
    The European Journal of Finance, 2016, 22, (12), 1145-1163 View citations (9)

2015

30. Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms—Support vector regression forecast combinations
    European Journal of Operational Research, 2015, 247, (3), 831-846 View citations (29)
31. Modelling commodity value at risk with Psi Sigma neural networks using open-high-low-close data
    The European Journal of Finance, 2015, 21, (4), 316-336 View citations (4)
32. Operational risk: Emerging markets, sectors and measurement
    European Journal of Operational Research, 2015, 241, (1), 122-132 View citations (19)

2014

33. Inflation and Unemployment Forecasting with Genetic Support Vector Regression
    Journal of Forecasting, 2014, 33, (6), 471-487 View citations (13)
34. Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms
    Journal of Forecasting, 2014, 33, (8), 596-610 View citations (6)
35. Pascal's Wager and Information
    Journal of Forecasting, 2014, 33, (6), 455-470 View citations (3)
36. Real‐Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks
    Journal of Forecasting, 2014, 33, (6), 419-432 View citations (9)
37. Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects
    Journal of International Financial Markets, Institutions and Money, 2014, 30, (C), 21-54 View citations (9)
38. Stock Market Simulation Using Support Vector Machines
    Journal of Forecasting, 2014, 33, (6), 488-500 View citations (9)
39. The Information Content of Equity Block Trades on the Warsaw Stock Exchange: An Estimation of Shares' Returns with the Usage of Simple Linear Regression and Multivariate Adaptive Regression Splines
    Journal of Forecasting, 2014, 33, (6), 433-454 View citations (1)
40. Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures
    Journal of Forecasting, 2014, 33, (6), 391-408 View citations (8)

2013

41. A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading
    Journal of Asset Management, 2013, 14, (1), 52-71 View citations (2)
42. Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization
    European Journal of Operational Research, 2013, 225, (3), 528-540 View citations (42)
43. Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks
    The European Journal of Finance, 2013, 19, (3), 165-179 View citations (5)
44. Stock market linkages among new EMU members and the euro area
    Studies in Economics and Finance, 2013, 30, (4), 370-388 View citations (2)

2010

45. Higher order and recurrent neural architectures for trading the EUR/USD exchange rate
    Quantitative Finance, 2010, 11, (4), 615-629 View citations (4)
46. Modelling and trading the EUR/USD exchange rate at the ECB fixing
    The European Journal of Finance, 2010, 16, (6), 541-560 View citations (14)
47. Modelling commodity value at risk with higher order neural networks
    Applied Financial Economics, 2010, 20, (7), 585-600 View citations (5)