Ilias Filippou

Washington University in St. Louis - John M. Olin Business School

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

SCHOLARLY PAPERS

20

DOWNLOADS
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in Total Papers Downloads

6,176

SSRN CITATIONS
Rank 43,540

SSRN RANKINGS

Top 43,540

in Total Papers Citations

11

CROSSREF CITATIONS

5

Scholarly Papers (20)

1.

Out-of-Sample Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 66 Posted: 27 Sep 2019 Last Revised: 06 Apr 2022
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 955 (34,360)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Deep neural network, Variable importance, Partial dependence plot, Individual conditional expectation curves, Carry trade

2.

ETF Arbitrage and International Diversification

AFA 2022 Annual Meeting, WBS Finance Group Research Paper No. 260
Number of pages: 70 Posted: 10 Dec 2018 Last Revised: 16 Feb 2022
Washington University in St. Louis - John M. Olin Business School, University of Warwick and Ryedale Inc.
Downloads 637 (59,161)

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ETFs, equity market correlation, limits to arbitrage, VIX.

3.

Global Political Risk and Currency Momentum

Number of pages: 95 Posted: 01 Nov 2014 Last Revised: 11 Mar 2016
Washington University in St. Louis - John M. Olin Business School, University of Warwick and Washington University in St. Louis - John M. Olin Business School
Downloads 629 (60,153)
Citation 9

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Currency Momentum, FX Risk premium, Limits to Arbitrage, Political Risk

4.

Boosting Cryptocurrency Return Prediction

Number of pages: 40 Posted: 01 Sep 2021
Ilias Filippou, David Rapach and Christoffer Thimsen
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta and Aarhus University - Department of Economics and Business Economics
Downloads 521 (76,263)

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Bitcoin, Ethereum, Out-of-sample return prediction, Machine learning, XGBoost, SHAP values

5.

Value, Momentum and Market Timing

Number of pages: 60 Posted: 19 Feb 2015 Last Revised: 07 Jan 2021
Ilias Filippou and Pedro Angel Garcia-Ares
Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 521 (76,263)

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Value, Momentum, Market-timing, Asset Pricing.

6.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 49 Posted: 24 Jul 2018 Last Revised: 31 May 2022
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 499 (80,433)
Citation 1

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

7.

Betting on the Likelihood of a Short Squeeze

Number of pages: 62 Posted: 16 Aug 2019 Last Revised: 21 Feb 2022
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 497 (114,063)

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Short Squeeze, Anomalies, Limits to Arbitrage, Options

8.

ETFs, Anomalies and Market Efficiency

Number of pages: 27 Posted: 04 Apr 2022 Last Revised: 08 Apr 2022
Ilias Filippou, Songrun He, Sophia Zhengzi Li and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 433 (95,121)

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ETF arbitrage, Anomalies, Market Efficiency

9.

Demand for Lotteries: The Choice between Stocks and Options

Number of pages: 54 Posted: 11 Aug 2017 Last Revised: 10 Dec 2020
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 312 (136,854)
Citation 3

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Lottery-payoffs, Option Trading, Lottery Stocks

10.

No Max Pain, No Max Gain: Stock Return Predictability at Options Expiration

Number of pages: 44 Posted: 27 Jun 2022 Last Revised: 18 Jul 2022
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 274 (156,454)

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Max Pain, Stock price clustering, Options Expiration, Stock Price Manipulation, Return Predictability

11.

The Information Content of Trump Tweets and the Currency Market

Number of pages: 91 Posted: 04 Jan 2021 Last Revised: 08 Oct 2021
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Warwick Business School
Downloads 224 (190,368)
Citation 1

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Foreign Exchange market, Textual Analysis, Trump Tweets

U.S. Populist Rhetoric and Currency Returns

WBS Finance Group Research Paper
Number of pages: 81 Posted: 19 Jun 2020 Last Revised: 08 Jan 2021
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 146 (276,942)

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Populism, Foreign Exchange market, Textual Analysis

U.S. Populist Rhetoric and Currency Returns

CEPR Discussion Paper No. DP15054
Number of pages: 87 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (931,728)
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Foreign exchange market, populism, textual analysis

13.

Media Sentiment and the Cross-Section of Option Returns

Number of pages: 60 Posted: 14 Apr 2022
Ilias Filippou and Pedro Angel Garcia-Ares
Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 135 (293,460)

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Media Sentiment, equity option returns, news releases, option trading

14.

Foreign Exchange News and Currency Reversals

Number of pages: 64 Posted: 19 Jun 2020
Ilias Filippou, Mark P. Taylor and Zigan Wang
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 133 (296,724)

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FX News, Currency Risk Premium, Currency Reversals

Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia

Number of pages: 33 Posted: 19 Jul 2021 Last Revised: 24 Jul 2021
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 102 (360,581)

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environmental, social, governance, Refinitiv, ESG, foreign exchange market, risk premium.

Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia

CEPR Discussion Paper No. DP16392
Number of pages: 36 Posted: 22 Sep 2021
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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Environmental, ESG, Foreign exchange market, governance, Refinitiv, Risk premium, Social

Forward-Looking Policy Rules and Currency Premia

Number of pages: 59 Posted: 01 Jul 2019 Last Revised: 23 Apr 2021
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 92 (385,486)

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Foreign exchange; currency risk premium; Taylor rules; data snooping bias

Forward-Looking Policy Rules and Currency Premia

CEPR Discussion Paper No. DP13835
Number of pages: 66 Posted: 30 Jul 2019
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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currency risk premium, data snooping bias, foreign exchange, Taylor rules

17.

Technology Diffusion and Currency Risk Premia

Number of pages: 83 Posted: 13 Jul 2022
Min Cui, Ilias Filippou and Siming Liu
T. Rowe Price, Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics - School of Finance
Downloads 54 (507,397)

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Exchange Rate; Currency Risk Premium, Carry Trade Portfolio, Cross-Country Technology Transmission, Technology Adoption.

18.

Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

CEPR Discussion Paper No. DP15305
Number of pages: 117 Posted: 22 Sep 2020
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 9 (800,160)
Citation 1
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carry trade, deep neural network, Elastic Net, exchange rate predictability

19.

Media Sentiment and Currency Reversals

CEPR Discussion Paper No. DP16049
Number of pages: 55 Posted: 14 May 2021
Ilias Filippou, Mark P. Taylor and Zigan Wang
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 1 (891,892)
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20.

Common Macro Factors and Currency Premia

CEPR Discussion Paper No. DP10016
Number of pages: 78 Posted: 25 Sep 2014
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (891,892)
Citation 3
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum