Athanasios A. Pantelous

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

32

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12

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10

Scholarly Papers (32)

1.

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

Number of pages: 68 Posted: 08 Mar 2018 Last Revised: 02 Dec 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 684 (38,469)
Citation 2

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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 476 (61,821)

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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 462 (63,690)

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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 294 (107,116)

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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 25, Issue 17, pp. 1793-1815, September 2019, 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: 24 Sep 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 268 (118,167)
Citation 2

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

6.

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 236 (134,615)
Citation 1

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

7.

Disappointment Aversion and Long-Term Dynamic Asset Allocation

Number of pages: 72 Posted: 22 Oct 2018 Last Revised: 24 Sep 2019
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 220 (144,086)
Citation 2

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Disappointment aversion, Loss aversion, Dynamic asset allocation, Return predictability, Parameter 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 193 (162,846)

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

9.

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 192 (163,625)

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

10.

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 189 (165,988)

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

11.

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 174 (178,736)

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

12.

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 173 (179,641)

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

13.

Pricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution

Number of pages: 50 Posted: 01 Mar 2018 Last Revised: 30 Sep 2019
Vasileios Kontosakos, Keegan Mendonca, Athanasios A. Pantelous and Konstantin Zuev
Monash University - Department of Econometrics & Business Statistics, California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 146 (207,395)

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Simulation; Barrier options pricing; Rare event; Path–dependent derivatives; Discrete monitoring

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 80 (316,280)

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

15.

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

Journal of Forecasting, Volume 38, Issue 4, pp 327-345, July 2019, DOI: 10.1002/for.2558
Number of pages: 38 Posted: 18 Mar 2017 Last Revised: 04 Jul 2019
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 78 (320,992)
Citation 2

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

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 75 (328,426)
Citation 1

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

17.

Was a Deterioration in ‘Connectedness’ a Leading Indicator of the European Sovereign Debt Crisis?

Number of pages: 27 Posted: 11 May 2016 Last Revised: 20 Oct 2019
Ulster University at Jordanstown, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Queen's University Belfast and Queen's University Belfast, Students
Downloads 69 (343,892)
Citation 2

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Financial Crisis, Networks, Sovereign Bonds, Connectedness

18.

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 68 (346,688)
Citation 2

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

19.

Market Segmentation Using High-dimensional Sparse Consumers Data

Expert Systems with Applications, Volume 145, 113136, 1 May 2020, DOI 10.1016/j.eswa.2019.113136
Number of pages: 48 Posted: 05 Mar 2019 Last Revised: 07 Jan 2020
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 63 (360,744)

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

20.

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

Journal of Computational and Applied Mathematics, Volume 368, 112592, April 2020, DOI 10.1016/j.cam.2019.112592
Number of pages: 42 Posted: 16 Aug 2018 Last Revised: 23 Dec 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 61 (366,723)

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

21.

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 61 (366,723)

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

22.

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 59 (372,740)

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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

23.

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 58 (375,814)
Citation 1

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Feedback Trading, Exchange Traded Fund, Premium, Discount

24.

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 57 (379,089)

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

25.

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 (388,838)
Citation 3

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

26.

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 54 (388,838)
Citation 1

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

27.

Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing

Number of pages: 101 Posted: 27 Nov 2019
Melvern Leung, Youwei Li, Athanasios A. Pantelous and Samuel Vigne
Monash University - Department of Econometrics & Business Statistics, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Queen's University Belfast
Downloads 40 (444,140)

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Bayesian decision theory; Value-at-Risk; Backtesting; Annuity pricing; Longevity risk

28.

Univariate and Multivariate Claims Reserving with Generalised Link Ratios

Number of pages: 35 Posted: 08 May 2019 Last Revised: 08 Dec 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 38 (448,276)

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

29.

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 37 (452,394)

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Frost Insurance, Risk Premiums, Stop-Loss Policy

30.

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 27 (500,017)

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

31.

The Impact of Economic Growth in Mortality Modelling for Selected OECD Countries

Journal of Forecasting, November 2019, DOI: 10.1002/for.2640
Number of pages: 40 Posted: 15 Dec 2019
Lydia Dutton, Athanasios A. Pantelous and Malgorzata Seklecka
University of Liverpool, Monash University - Department of Econometrics & Business Statistics and University of Liverpool - Institute of Financial and Actuarial Mathematics
Downloads 8 (617,402)

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Economic Change (GDP); Longevity; Climate Change (Temperature); Mortality Modelling; Forecasting

32.

Hidden Interactions in Financial Markets

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume 116, Issue 22, p. 10646-10651, May 2019, DOI: 10.1073/pnas.1819449116
Number of pages: 41 Posted: 28 Jan 2018 Last Revised: 05 Jul 2019
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
Downloads 8 (617,402)
Citation 1

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