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Details about Georgios Sermpinis

Workplace:Department of Accounting and Finance, Adam Smith Business School, University of Glasgow, (more information at EDIRC)

Access statistics for papers by Georgios Sermpinis.

Last updated 2022-04-12. Update your information in the RePEc Author Service.

Short-id: pse684


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Working Papers

2022

  1. Decentralization illusion in DeFi: Evidence from MakerDAO
    Papers, arXiv.org Downloads
  2. Forecasting: theory and practice
    Papers, arXiv.org Downloads View citations (9)

2021

  1. A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection
    Papers, arXiv.org Downloads View citations (1)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2021) Downloads View citations (1)

2019

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

Journal Articles

2021

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

2020

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

2019

  1. Performance of technical trading rules: evidence from the crude oil market
    The European Journal of Finance, 2019, 25, (17), 1793-1815 Downloads View citations (7)
  2. Preface: application of operations research to financial markets
    Annals of Operations Research, 2019, 282, (1), 1-2 Downloads
  3. Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization
    International Journal of Finance & Economics, 2019, 24, (4), 1443-1463 Downloads
  4. 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 Downloads
  5. What influences a bank's decision to go public?
    International Journal of Finance & Economics, 2019, 24, (4), 1464-1485 Downloads View citations (2)

2018

  1. Modelling market implied ratings using LASSO variable selection techniques
    Journal of Empirical Finance, 2018, 48, (C), 19-35 Downloads View citations (12)
  2. Neural network copula portfolio optimization for exchange traded funds
    Quantitative Finance, 2018, 18, (5), 761-775 Downloads View citations (3)
  3. 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 Downloads View citations (9)
  4. Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’
    Quantitative Finance, 2018, 18, (5), 723-724 Downloads

2017

  1. European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression
    European Journal of Operational Research, 2017, 258, (1), 372-384 Downloads View citations (10)
  2. 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 Downloads View citations (4)

2016

  1. Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias
    Journal of Forecasting, 2016, 35, (1), 1-12 Downloads View citations (3)
  2. Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions
    Computational Economics, 2016, 47, (4), 569-587 Downloads View citations (9)
  3. Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
    Quantitative Finance, 2016, 16, (12), 1901-1915 Downloads View citations (3)
  4. 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 Downloads View citations (17)
  5. Special Issue of on ‘Commodity Markets’
    Quantitative Finance, 2016, 16, (12), 1807-1808 Downloads
  6. Stock market prediction using evolutionary support vector machines: an application to the ASE20 index
    The European Journal of Finance, 2016, 22, (12), 1145-1163 Downloads View citations (8)

2015

  1. 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 Downloads View citations (23)
  2. 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 Downloads View citations (2)
  3. Operational risk: Emerging markets, sectors and measurement
    European Journal of Operational Research, 2015, 241, (1), 122-132 Downloads View citations (12)

2014

  1. Inflation and Unemployment Forecasting with Genetic Support Vector Regression
    Journal of Forecasting, 2014, 33, (6), 471-487 Downloads View citations (11)
  2. Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms
    Journal of Forecasting, 2014, 33, (8), 596-610 Downloads View citations (4)
  3. Pascal's Wager and Information
    Journal of Forecasting, 2014, 33, (6), 455-470 Downloads View citations (2)
  4. Real‐Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks
    Journal of Forecasting, 2014, 33, (6), 419-432 Downloads View citations (9)
  5. 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 Downloads View citations (8)
  6. Stock Market Simulation Using Support Vector Machines
    Journal of Forecasting, 2014, 33, (6), 488-500 Downloads View citations (8)
  7. 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 Downloads View citations (1)
  8. Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures
    Journal of Forecasting, 2014, 33, (6), 391-408 Downloads View citations (8)

2013

  1. A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading
    Journal of Asset Management, 2013, 14, (1), 52-71 Downloads
  2. 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 Downloads View citations (35)
  3. 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 Downloads View citations (2)
  4. Stock market linkages among new EMU members and the euro area: Implications for financial integration and portfolio diversification
    Studies in Economics and Finance, 2013, 30, (4), 370-388 Downloads View citations (2)

2010

  1. Higher order and recurrent neural architectures for trading the EUR/USD exchange rate
    Quantitative Finance, 2010, 11, (4), 615-629 Downloads View citations (4)
  2. Modelling and trading the EUR/USD exchange rate at the ECB fixing
    The European Journal of Finance, 2010, 16, (6), 541-560 Downloads View citations (10)
  3. Modelling commodity value at risk with higher order neural networks
    Applied Financial Economics, 2010, 20, (7), 585-600 Downloads View citations (4)
 
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