Athanasios A. Pantelous

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

27

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Scholarly Papers (27)

1.

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 435 (61,283)

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

2.

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 393 (69,260)

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Commodity Futures, Pairs Trading, Statistical Arbitrage, Market Efficiency

3.

Pairs Trading, Technical Analysis and Data Snooping: Mean Reversion vs Momentum

Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 12 Nov 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 361 (76,745)

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Pairs Trading, Technical Analysis, Data Snooping, Transaction Costs

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 253 (112,939)

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

5.

Technical Trading, False Discoveries and Familywise Errors: The Case of Crude Oil

Number of pages: 43 Posted: 31 Aug 2016 Last Revised: 06 Mar 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 250 (114,352)

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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 186 (152,119)

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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 166 (168,244)

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

8.

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 157 (176,526)

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

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 137 (197,347)

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

10.

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 137 (197,347)

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

11.

Efficient Pricing of Barrier Options on High Volatility Assets Using Subset Simulation

Number of pages: 41 Posted: 01 Mar 2018 Last Revised: 28 Mar 2018
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 83 (280,437)

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

12.

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 71 (307,229)

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

13.

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 66 (319,473)

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

14.

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 60 (335,375)

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

15.

Cryptocurrencies: Dust in the Wind?

Number of pages: 42 Posted: 22 Oct 2018
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 59 (340,876)

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

16.

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 57 (343,812)

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

17.

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 55 (349,798)

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

18.

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 50 (365,274)

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Feedback Trading, Exchange Traded Fund, Premium, Discount

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 50 (365,274)

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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.

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 48 (371,682)

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

21.

Mortality Effects of Economic Fluctuations in the Selected Eurozone Countries

Journal of Forecasting, Volume x, Issue x, pp. 1-24, September 2018, DOI: 10.1002/for.2550
Number of pages: 52 Posted: 06 Jun 2017 Last Revised: 04 Oct 2018
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 47 (374,957)

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

22.

Dynamic Asset Allocation under Disappointment Aversion Preferences

Number of pages: 71 Posted: 22 Oct 2018 Last Revised: 14 Nov 2018
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 41 (399,249)

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

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 41 (395,598)

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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 31 (435,277)

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Frost Insurance, Risk Premiums, Stop-Loss Policy

25.

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 21 (485,943)

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

26.

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

Number of pages: 50 Posted: 16 Aug 2018 Last Revised: 04 Oct 2018
Rong Li, Athanasios A. Pantelous and Lin Yang
Xi'an Jiaotong-Liverpool University, Monash University - Department of Econometrics & Business Statistics and Xi'an Jiaotong-Liverpool University
Downloads 15 (518,803)

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

27.

The Nature of Causality and its Dark Aspect

Posted: 28 Jan 2018 Last Revised: 30 Aug 2018
Stavros K. Stavroglou, Athanasios A. Pantelous and Konstantin Zuev
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology

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Causality, Complex Systems, Interconnected Dynamical Systems