Athanasios A. Pantelous

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

  • Monash University - Department of Econometrics & Business Statistics

SCHOLARLY PAPERS

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Scholarly Papers (29)

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1.

Pairs Trading, Technical Analysis, and Data Snooping: A Two-layer Manipulation-proof Performance Approach

Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 10 May 2019
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
University of St Andrews School of Economics and Finance, University of Liverpool - Accounting and Finance Division, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 579 (44,821)

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Pairs Trading, Technical Analysis, Data Snooping, Transaction Costs

2.

Causality Networks of Financial Assets

Journal of Network Theory in Finance, Volume 3, Issue 2, pp 17-67, June 2017, DOI: 10.21314/JNTF.2017.029
Number of pages: 73 Posted: 22 Dec 2016 Last Revised: 20 Jul 2017
Stavros K. Stavroglou, Athanasios A. Pantelous, Kimmo Soramaki and Konstantin Zuev
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Financial Network Analytics Ltd and California Institute of Technology
Downloads 455 (60,777)

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Causality, Efficient Market Hypothesis, Network Theory, Bonds, Oil

3.

Pairs Trading with Commodity Futures: Evidence from the Chinese Market

China Finance Review International, Volume 7, Issue 3, pp. 274-294, July 2017, DOI: 10.1108/CFRI-09-2016-0109
Number of pages: 35 Posted: 22 Aug 2016 Last Revised: 27 Aug 2017
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool Univeristy, Xi'an Jiaotong University (XJTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 434 (64,327)

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Commodity Futures, Pairs Trading, Statistical Arbitrage, Market Efficiency

4.

Forecasting and Trading High Frequency Volatility on Large Indices

Quantitative Finance, Volume 18, Issue 5, pp. 737-748, 2018, DOI: 10.1080/14697688.2017.1414489
Number of pages: 21 Posted: 30 Sep 2016 Last Revised: 23 May 2018
Fei Liu, Athanasios A. Pantelous and Hans-Jorg von Mettenheim
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and Institut für Wirtschaftsinformatik
Downloads 271 (109,795)

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Forecasting, Realized Volatility, High-Frequency Data, HAR-RV-J, RNN, Hybrid Model, Trading efficiency

5.

Performance of Technical Trading Rules: Evidence from the Crude Oil Market

The European Journal of Finance, Volume , pp 1-23, October 2018, DOI: 10.1080/1351847X.2018.1552172 (Previously, it was entitled "Technical Trading, False Discoveries and Familywise Errors: The Case of Crude Oil")
Number of pages: 54 Posted: 31 Aug 2016 Last Revised: 06 Dec 2018
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
University of St Andrews School of Economics and Finance, University of Liverpool - Accounting and Finance Division, Monash University - Department of Econometrics & Business Statistics and University of Glasgow
Downloads 257 (116,026)

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Crude Oil; Technical Trading; Data Snooping; Transaction Costs; Persistence; Market Efficiency

6.

Optimal Premium Pricing Policy in a Competitive Insurance Market Environment

Annals of Actuarial Science, Volume 7, Issue 2, pp. 175-191, September 2013, DOI: 10.1017/S1748499512000152
Number of pages: 27 Posted: 16 Sep 2011 Last Revised: 18 Jul 2016
Athanasios A. Pantelous and Eudokia Passalidou
Monash University - Department of Econometrics & Business Statistics and University of Liverpool - Institute of Financial and Actuarial Mathematics
Downloads 188 (157,052)

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Optimal Premium Strategies, Competitive Markets, Volume of Business, Break-Even Premium Rate, Greek Automobile Insurance Industry

7.

A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates

PLoS ONE, Volume 13, Issue 3, pp. 1-40 e0194067, March 2018 DOI: 10.1371/journal.pone.0194067
Number of pages: 41 Posted: 14 Jul 2017 Last Revised: 20 Mar 2018
Yanhua Chen, Rosario N. Mantegna, Athanasios A. Pantelous and Konstantin Zuev
Institute for Risk and Uncertainty, University of Liverpool, UK, University of Palermo, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 177 (165,770)

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Correlation; Cointegration; ECM-based long-run Granger causality; Crises; Exchange Rates; Uncertainty

8.

Cryptocurrencies: Dust in the Wind?

Physica A: Statistical Mechanics and its Applications, Volume 525, pp. 1063-1079, July 2019, DOI: 10.1016/j.physa.2019.03.123
Number of pages: 43 Posted: 22 Oct 2018 Last Revised: 12 Apr 2019
Min Luo, Vasileios Kontosakos, Athanasios A. Pantelous and Jian Zhou
Shanghai University, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Shanghai University, School of Management
Downloads 172 (170,118)

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Generalized Hyperbolic Distributions; Distribution Fitting; Cryptocurrency; Bitcoin; Foreign Exchange Market

9.

Momentum and Reversal Strategies in Chinese Commodity Futures Markets

International Review of Financial Analysis, Volume 60, pp 177-196, October 2018, DOI: 10.1016/j.irfa.2018.09.012
Number of pages: 40 Posted: 29 Nov 2017 Last Revised: 23 Oct 2018
Yurun Yang, Ahmet Goncu and Athanasios A. Pantelous
Xi'an Jiaotong-Liverpool Univeristy, Xi'an Jiaotong University (XJTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 171 (170,961)

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Chinese commodity futures market, Momentum, Reversal, Single- and Double-sort strategies, Inter- and Intra-day frequencies

10.

Loss Aversion around the World: Empirical Evidence from Pension Funds

Journal of Banking and Finance, Volume 88, pp. 52-62, 2018, DOI 10.1016/j.jbankfin.2017.11.007
Number of pages: 48 Posted: 02 Apr 2016 Last Revised: 04 Dec 2017
Yuxin Xie, Soosung Hwang and Athanasios A. Pantelous
Southwestern University of Finance and Economics, The School of Securities and Futures, Sungkyunkwan University - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 168 (173,623)

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Loss Aversion; Cultural factors; Reference-Dependent Utility; Pension Funds

11.

Investors' Behavior on S&P 500 Index during Periods of Market Crashes: A Visibility Graph Approach

Handbook of Investors' Behavior during Financial Crises, Chapter 22, pp. 401-417, 2017, DOI: 10.1016/B978-0-12-811252-6.00022-0
Number of pages: 29 Posted: 16 Nov 2016 Last Revised: 30 Aug 2017
Michail Vamvakaris, Athanasios A. Pantelous and Konstantin Zuev
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 162 (179,083)

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High Frequency Data, S&P 500, Hurst Exponent, Irreversibility, Visibility Graph Method

12.

Dynamic Asset Allocation under Disappointment Aversion Preferences

Number of pages: 71 Posted: 22 Oct 2018 Last Revised: 19 Mar 2019
Vasileios Kontosakos, Soosung Hwang, Vasileios Kallinterakis and Athanasios A. Pantelous
Monash University - Department of Econometrics & Business Statistics, Sungkyunkwan University - Department of Economics, University of Liverpool - Management School (ULMS) and Monash University - Department of Econometrics & Business Statistics
Downloads 134 (209,322)

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Disappointment Aversion, Loss Aversion, Dynamic Asset Allocation, Parameter Uncertainty

13.

Efficient Pricing of Barrier Options with Small Survival Probabilities Using Subset Simulation

Number of pages: 33 Posted: 01 Mar 2018 Last Revised: 02 Feb 2019
Keegan Mendonca, Vasileios Kontosakos, Athanasios A. Pantelous and Konstantin Zuev
California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 120 (227,848)

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Simulation; Barrier Options Pricing; Path--Dependent Derivatives; Monte Carlo; Discretely Monitoring

14.

The Impact of Parameter Uncertainty in Insurance Pricing and Reserve with the Temperature-Related Mortality Model

Journal of Forecasting, Volume x, Issue x, pp 1-18, October 2018, DOI: 10.1002/for.2558
Number of pages: 38 Posted: 18 Mar 2017 Last Revised: 23 Oct 2018
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 75 (309,757)

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Uncertainty; Model Risk; Forecasting Methodologies; Temperature-Related Mortality Model; Actuarial Pricing; Reserve

15.

Time Series Analysis of S&P 500 Index: A Horizontal Visibility Graph Approach

Physica A: Statistical Mechanics and its Applications, Volume 497, pp. 41-51, May 2018, DOI: 10.1016/j.physa.2018.01.010
Number of pages: 29 Posted: 06 Sep 2017 Last Revised: 23 Oct 2018
Michail Vamvakaris, Athanasios A. Pantelous and Konstantin Zuev
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 73 (314,671)

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S&P500 index, high frequency data, horizontal visibility graph, chaos theory, irreversibility, financial crises

16.

On the Robust Stability of Pricing Models for Non-Life Insurance Products

European Actuarial Journal, Volume 3, Issue 2, 2013 pp 535-550, DOI: 10.1007/s13385-013-0074-8
Number of pages: 21 Posted: 04 Sep 2011 Last Revised: 29 Jul 2016
Athanasios A. Pantelous and Athanasios Papageorgiou
Monash University - Department of Econometrics & Business Statistics and City University London
Downloads 73 (314,671)

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Non-Life Insurance, Pricing Process, Robust Stability, LMI Techniques

17.

Mortality Effects of Temperature Changes in the United Kingdom

Journal of Forecasting, Volume 36, Issue 7, pp. 824-841, November 2017, DOI: 10.1002/for.2473
Number of pages: 38 Posted: 18 Jul 2016 Last Revised: 12 Nov 2017
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 63 (340,385)

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Longevity; United Kingdom Population; Climate Change (Temperature); Lee-Carter Model; Forecasting

18.

Potential Games with Aggregation in Non-Cooperative General Insurance Markets

ASTIN Bulletin, Volume 47, Issue 1, pp. 269-302, January 2017, DOI:10.1017/asb.2016.31
Number of pages: 29 Posted: 18 Sep 2016 Last Revised: 19 Mar 2017
Renchao Wu and Athanasios A. Pantelous
University of Liverpool, Department of Mathematical Sciences and Monash University - Department of Econometrics & Business Statistics
Downloads 59 (351,548)

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Insurance Market Competition, Non-life Insurance, Potential Game with Aggregation, Pure Nash Equilibrium

19.

Claims Reserving with a Stochastic Vector Projection

North American Actuarial Journal, Volume 22, Issue 1, pp. 22-39, March 2018, DOI 10.1080/10920277.2017.1353429
Number of pages: 30 Posted: 21 Aug 2016 Last Revised: 20 Mar 2018
Luis Portugal, Athanasios A. Pantelous and Hirbod Assa
Department of Mathematical Sciences, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Liverpool
Downloads 56 (360,630)

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Stochastic Reserving, Chain-Ladder Distribution-Free, Vector Projection, Best Estimate, Risk Margin, Link Ratios, Loss Development Factors, Homoscedastic and Heteroscedastic Errors, Prediction Errors

20.

Mortality Effects of Economic Fluctuations in the Selected Eurozone Countries

Journal of Forecasting, Volume 38, Issue 1, pp. 39-62, January 2019, DOI: 10.1002/for.2550
Number of pages: 52 Posted: 06 Jun 2017 Last Revised: 12 Feb 2019
Malgorzata Seklecka, Norazliani Lazam, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Universiti Teknologi MARA - Actuarial Science Department, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 54 (366,893)

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Longevity; Eurozone Countries; Economic Growth (GDP); Lee-Carter (LC) Model; O'Hare-Li (OL) Model; Forecasting

21.

On the Impact of Country ETFs' Premiums and Discounts over Feedback Trading

Number of pages: 37 Posted: 08 Nov 2016 Last Revised: 04 Oct 2018
Vasileios Kallinterakis, Fei Liu and Athanasios A. Pantelous
University of Liverpool - Management School (ULMS), Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool and Monash University - Department of Econometrics & Business Statistics
Downloads 54 (366,893)

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Feedback Trading, Exchange Traded Fund, Premium, Discount

22.

Credibilistic Risk Aversion

Quantitative Finance, Volume 17, Issue 7, pp. 1135-1145, 2017, DOI: 10.1080/14697688.2016.1264617
Number of pages: 20 Posted: 18 Nov 2016 Last Revised: 11 Jun 2017
Yuanyuan Liu, Jian Zhou and Athanasios A. Pantelous
Shanghai University, School of Management, Shanghai University, School of Management and Monash University - Department of Econometrics & Business Statistics
Downloads 51 (376,251)

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Risk Aversion, LR Fuzzy Interval, Credibility Theory, Credibilistic Risk Premium

23.

Non-Cooperative Dynamic Games for General Insurance Markets

Insurance: Mathematics and Economics, Vol. 78, pp. 123-135, January 2018 DOI: 10.1016/j.insmatheco.2017.12.001
Number of pages: 40 Posted: 02 Aug 2017 Last Revised: 18 Jan 2018
Tim J. Boonen, Athanasios A. Pantelous and Renchao Wu
University of Amsterdam, Monash University - Department of Econometrics & Business Statistics and University of Liverpool, Department of Mathematical Sciences
Downloads 49 (382,767)

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Insurance Market Competition; Premium Cycles; Solvency Ratio; Open-Loop Nash Equilibrium, Finite-time differential game

24.

Modeling Frost Losses: Application to Pricing Frost Insurances

North American Actuarial Journal, Volume 22, Issue 1, pp. 137-159, March 2018, DOI:10.1080/10920277.2017.1387571
Number of pages: 38 Posted: 10 May 2017 Last Revised: 20 Mar 2018
Hirbod Assa, Meng Wang and Athanasios A. Pantelous
University of Liverpool, University of Liverpool - Institute of Financial and Actuarial Mathematics and Monash University - Department of Econometrics & Business Statistics
Downloads 36 (430,682)

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Frost Insurance, Risk Premiums, Stop-Loss Policy

25.

Robust Analysis for Premium-Reserve Models in a Stochastic Nonlinear Discrete-Time Varying Framework

Number of pages: 34 Posted: 16 Aug 2018 Last Revised: 05 Feb 2019
Rong Li, Athanasios A. Pantelous and Lin Yang
Xi'an Jiaotong-Liverpool University (XJTLU), Monash University - Department of Econometrics & Business Statistics and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 30 (456,540)

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Premium-Reserve Process, Nonlinear Uncertainties, H∞-Control, Systems Stability, (One-Side) Lipschitz Conditions

26.

Market Segmentation Using High-dimensional Sparse Consumers Data

Number of pages: 39 Posted: 05 Mar 2019
Jian Zhou, Linli Zhai and Athanasios A. Pantelous
Shanghai University, School of Management, Shanghai University - School of Management and Monash University - Department of Econometrics & Business Statistics
Downloads 27 (471,229)

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Precision Marketing; RFM Theory; Sparse K-Means Algorithm; BCBimax Algorithm; Mobile Telecommunications Industry

27.

Optimal Strategies for a Nonlinear Premium-Reserve Model in a Competitive Insurance Market

Annals of Actuarial Science, Volume 11, Issue 1, March 2017, pp. 1-19. DOI: 10.1017/S1748499516000129
Number of pages: 19 Posted: 18 Sep 2016 Last Revised: 19 Mar 2017
Athanasios A. Pantelous and Eudokia Passalidou
Monash University - Department of Econometrics & Business Statistics and University of Liverpool - Institute of Financial and Actuarial Mathematics
Downloads 23 (492,696)

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Nonlinear Premium-Reserve Pricing Model, Stochastic Optimal Control, Quadratic Performance Criterion, Competitive Insurance Markets, Actuarial Risk

28.

Univariate and Multivariate Claims Reserving with Generalised Link Ratios

Number of pages: 30 Posted: 08 May 2019
Luis Portugal, Athanasios A. Pantelous and R. J. Verrall
Department of Mathematical Sciences, University of Liverpool, Monash University - Department of Econometrics & Business Statistics and City University London - Sir John Cass Business School
Downloads 5 (597,656)

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Stochastic Reserving, Multivariate Regression, Homoscedastic and Heteroscedastic Errors, Seemingly Unrelated Regression, Prediction Errors

29.

Hidden Interactions in Financial Markets

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume x, Issue x, p. 1-6, May 2019, DOI: 10.1073/pnas.1819449116
Posted: 28 Jan 2018 Last Revised: 16 May 2019
Stavros K. Stavroglou, Athanasios A. Pantelous, H. Eugene Stanley and Konstantin Zuev
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Boston University - Center for Polymer Studies and California Institute of Technology

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financial markets; pattern causality; complex systems; sovereign CDS networks; pairs trading