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

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

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 8,284

SSRN RANKINGS

Top 8,284

in Total Papers Downloads

10,059

SSRN CITATIONS
Rank 22,281

SSRN RANKINGS

Top 22,281

in Total Papers Citations

45

CROSSREF CITATIONS

5

Scholarly Papers (24)

Actions:
Email selected abstracts
1.

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

Number of pages: 48 Posted: 27 Sep 2019 Last Revised: 27 Aug 2023
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 1,373 (24,237)
Citation 1

Abstract:

Loading...

Panel predictive regression, Elastic net, Deep neural network, Asset allocation, Conditional price of risk

2.

ETFs, Anomalies and Market Efficiency

Number of pages: 58 Posted: 04 Apr 2022 Last Revised: 21 Jun 2023
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 1,018 (37,317)

Abstract:

Loading...

ETF arbitrage, Anomalies, Market Efficiency

3.

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

Boston University Questrom School of Business Research Paper No. 4140487
Number of pages: 60 Posted: 27 Jun 2022 Last Revised: 10 Aug 2023
Ilias Filippou, Pedro Angel Garcia-Ares and Fernando Zapatero
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Boston University - Questrom School of Business
Downloads 981 (39,333)

Abstract:

Loading...

Max Pain, stock price pressure, manipulation, option expiration

4.

A New Option Momentum: Compensation for Risk

Number of pages: 59 Posted: 13 Apr 2023 Last Revised: 19 Apr 2023
Heiner Beckmeyer, Ilias Filippou and Guofu Zhou
University of Münster, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 868 (46,555)

Abstract:

Loading...

Option, Momentum, Factor Risk, Limits to Arbitrage.

5.

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
Ilias Filippou, Arie Eskenazi Gozluklu and Hari Rozental
Washington University in St. Louis - John M. Olin Business School, University of Warwick and Ryedale Inc.
Downloads 785 (53,403)

Abstract:

Loading...

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

6.

Global Political Risk and Currency Momentum

Number of pages: 95 Posted: 01 Nov 2014 Last Revised: 11 Mar 2016
Ilias Filippou, Arie Eskenazi Gozluklu and Mark P. Taylor
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 658 (67,377)
Citation 22

Abstract:

Loading...

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

7.

Betting on the Likelihood of a Short Squeeze

Number of pages: 62 Posted: 16 Aug 2019 Last Revised: 13 Jul 2023
Ilias Filippou, Pedro Angel Garcia-Ares and Fernando Zapatero
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Boston University - Questrom School of Business
Downloads 649 (114,063)

Abstract:

Loading...

Short Squeeze, Anomalies, Limits to Arbitrage, Options

8.

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
Abhay Abhyankar, Ilias Filippou and Pedro Angel Garcia-Ares
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 586 (78,214)
Citation 1

Abstract:

Loading...

Momentum Returns, Stock Option Trading, Short-Sale Constraints

9.

Cryptocurrency Return Predictability: A Machine-Learning Analysis

Number of pages: 67 Posted: 01 Sep 2021 Last Revised: 10 Sep 2023
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 582 (78,688)
Citation 1

Abstract:

Loading...

Out-of-sample return prediction, Random forest, XGBoost, Deep neural network, Network value, Network activity, Time-series momentum, Investor attention, Shapley values

10.

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 551 (84,432)

Abstract:

Loading...

Value, Momentum, Market-timing, Asset Pricing.

11.

Demand for Lotteries: The Choice between Stocks and Options

Number of pages: 79 Posted: 11 Aug 2017 Last Revised: 28 Sep 2022
Ilias Filippou, Pedro Angel Garcia-Ares and Fernando Zapatero
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Boston University - Questrom School of Business
Downloads 408 (120,664)
Citation 3

Abstract:

Loading...

Lottery-payoffs, Option Trading, Lottery Stocks

12.

The Information Content of Trump Tweets and the Currency Market

Number of pages: 91 Posted: 04 Jan 2021 Last Revised: 08 Oct 2021
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Ganesh Viswanath-Natraj
Washington University in St. Louis - John M. Olin Business School, University of Warwick, Washington University in St Louis, John M. Olin Business School and Warwick Business School
Downloads 294 (172,482)
Citation 2

Abstract:

Loading...

Foreign Exchange market, Textual Analysis, Trump Tweets

13.

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 Tsinghua University
Downloads 237 (214,008)

Abstract:

Loading...

FX News, Currency Risk Premium, Currency Reversals

14.

U.S. Populism and Currency Risk Premia

Downloads 196 (255,599)

U.S. Populism and Currency Risk Premia

WBS Finance Group Research Paper
Number of pages: 75 Posted: 19 Jun 2020 Last Revised: 13 Jul 2023
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick, Washington University in St Louis, John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 195 (256,381)

Abstract:

Loading...

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
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick, Washington University in St Louis, John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (1,061,315)
  • Add to Cart

Abstract:

Loading...

Foreign exchange market, populism, textual analysis

15.

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 191 (261,646)

Abstract:

Loading...

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

16.

Technology Diffusion and Currency Risk Premia

Number of pages: 83 Posted: 13 Jul 2022 Last Revised: 28 Oct 2022
Min Cui, Ilias Filippou and Siming Liu
T. Rowe Price, Washington University in St. Louis - John M. Olin Business School and Binghamton University - Department of Economics
Downloads 160 (304,907)

Abstract:

Loading...

Exchange Rate; Carry Trade Portfolio; UIP Condition; Cross-Country Technology Spillover; Technology Adoption.

17.

Forward-Looking Policy Rules and Currency Premia

Downloads 154 (314,933)
Citation 3

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 154 (315,263)

Abstract:

Loading...

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
Downloads 0
Citation 3
  • Add to Cart

Abstract:

Loading...

currency risk premium, data snooping bias, foreign exchange, Taylor rules

18.

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

Downloads 122 (377,576)
Citation 2

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 122 (379,106)

Abstract:

Loading...

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
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Loading...

Environmental, ESG, Foreign exchange market, governance, Refinitiv, Risk premium, Social

19.

Fundamental Sentiment and Cryptocurrency Risk Premia

Number of pages: 85 Posted: 11 Apr 2023 Last Revised: 05 Sep 2023
Ilias Filippou, My T. Nguyen and Ganesh Viswanath-Natraj
Washington University in St. Louis - John M. Olin Business School, Washington University in St Louis, John M. Olin Business School and Warwick Business School
Downloads 108 (415,131)

Abstract:

Loading...

cryptocurrency, fundamentals, media coverage, textual analysis

20.

Investor Attention to News on Financial Integration and Currency Returns

Number of pages: 36 Posted: 24 Feb 2023 Last Revised: 08 May 2023
Ilias Filippou, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, Washington University in St Louis, John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 105 (423,503)

Abstract:

Loading...

financial integration, capital flows, news, textual analysis, foreign exchange market, currency returns, risk premium.

21.

The FOMC versus the Staff: Do Policymakers Add Value in Their Tales?

FRB of Cleveland Working Paper No. 23-20, https://doi.org/10.26509/frbc-wp-202320
Number of pages: 74 Posted: 31 Aug 2023
Ilias Filippou, James Mitchell and My T. Nguyen
Washington University in St. Louis - John M. Olin Business School, Federal Reserve Bank of Cleveland and Washington University in St Louis, John M. Olin Business School
Downloads 22 (831,305)

Abstract:

Loading...

monetary policy, sentiment, uncertainty, risk, forecast evaluation, FOMC meetings, textual analysis, machine learning, quantile regression

22.

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 (954,064)
Citation 4
  • Add to Cart

Abstract:

Loading...

carry trade, deep neural network, Elastic Net, exchange rate predictability

23.

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 Tsinghua University
Downloads 1 (1,018,436)
Citation 2
  • Add to Cart

Abstract:

Loading...

24.

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 (1,018,436)
Citation 7
  • Add to Cart

Abstract:

Loading...

Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum