Ilias Filippou

Florida State University

Tallahasse, FL 32306

United States

  • Florida State University

SCHOLARLY PAPERS

28

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SSRN CITATIONS
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Top 20,549

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57

CROSSREF CITATIONS

9

Scholarly Papers (28)

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1.

Unusual Financial Communication: ChatGPT, Earnings Calls, and Financial Markets

Olin Business School Center for Finance & Accounting Research Paper No. 2024/02
Number of pages: 64 Posted: 08 Feb 2024 Last Revised: 10 Sep 2024
Lars Beckmann, Heiner Beckmeyer, Ilias Filippou, Stefan Menze and Guofu Zhou
University of Münster - Finance Center Münster, University of Münster, Florida State University, University of Münster - Finance Center Münster and Washington University in St. Louis - John M. Olin Business School
Downloads 2,042 (15,292)
Citation 1

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ChatGPT, Earnings Calls, Communication, AI, Financial Analysts, Uncertainty

2.

Economic Fundamentals and Short-Run Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 50 Posted: 27 Sep 2019 Last Revised: 19 Dec 2023
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Florida State University, 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 1,690 (20,630)
Citation 1

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Economic fundamentals, Exchange rate forecasting, Panel predictive regression, Elastic net, Deep neural network, Asset allocation, Conditional price of risk

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: 62 Posted: 27 Jun 2022 Last Revised: 09 Nov 2023
Ilias Filippou, Pedro Angel Garcia-Ares and Fernando Zapatero
Florida State University, Instituto Tecnológico Autónomo de México (ITAM) and Boston University - Questrom School of Business
Downloads 1,589 (22,701)

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Max Pain, stock price pressure, manipulation, option expiration

4.

ETFs, Anomalies and Market Efficiency

Number of pages: 65 Posted: 04 Apr 2022 Last Revised: 26 Apr 2024
Ilias Filippou, Songrun He, Sophia Zhengzi Li and Guofu Zhou
Florida State University, 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 1,504 (24,674)
Citation 1

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ETFs, ETF ownership, Anomalies, Market Efficiency

5.

A New Option Momentum: Compensation for Risk

Number of pages: 53 Posted: 28 Sep 2023 Last Revised: 28 Jun 2024
Heiner Beckmeyer, Ilias Filippou and Guofu Zhou
University of Münster, Florida State University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,127 (37,486)

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Option, Momentum, Factor Risk, Limits to Arbitrage JEL classification: G11, G12, G14, G40

6.

Betting on the Likelihood of a Short Squeeze

Number of pages: 62 Posted: 31 Oct 2023
Ilias Filippou, Pedro Angel Garcia-Ares and Fernando Zapatero
Florida State University, Instituto Tecnológico Autónomo de México (ITAM) and Boston University - Questrom School of Business
Downloads 1,001 (44,478)

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Short Squeeze, Anomalies, Limits to Arbitrage, Options

7.

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
Florida State University, University of Warwick - Finance Group and Ryedale Inc.
Downloads 915 (50,372)

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

8.

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
Florida State University, University of Warwick - Finance Group and Washington University in St. Louis - John M. Olin Business School
Downloads 689 (73,564)
Citation 24

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

9.

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, Florida State University and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 655 (78,407)
Citation 1

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

10.

Cryptocurrency Return Predictability: A Machine-Learning Analysis

Number of pages: 61 Posted: 01 Sep 2021 Last Revised: 26 Feb 2024
Ilias Filippou, David Rapach and Christoffer Thimsen
Florida State University, Research Department, Federal Reserve Bank of Atlanta and Aarhus University - Department of Economics and Business Economics
Downloads 641 (80,555)
Citation 1

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

11.

Technical Analysis and Currency Trading: False Discoveries and Informative Covariates

Number of pages: 89 Posted: 06 Mar 2024 Last Revised: 03 Apr 2024
Ilias Filippou, Po-Hsuan Hsu, Tren Ma, Georgios Sermpinis and Mark P. Taylor
Florida State University, National Tsing Hua University - Department of Quantitative Finance, Nottingham University Business School, University of Glasgow and Washington University in St. Louis - John M. Olin Business School
Downloads 612 (85,344)

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Multiple testing, Multivariate functional false discovery rate, Informative covariates, Technical analysis, Foreign exchange markets.

12.

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
Florida State University and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 570 (93,429)

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Value, Momentum, Market-timing, Asset Pricing.

13.

Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets

Number of pages: 126 Posted: 24 Mar 2018 Last Revised: 11 Apr 2024
Ilias Filippou, Thomas Andreas Maurer, Luca Pezzo and Mark P. Taylor
Florida State University, The University of Hong Kong, University of New Orleans and Washington University in St. Louis - John M. Olin Business School
Downloads 515 (106,233)
Citation 4

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Transaction Costs, Price Impact, realized Amihud, Mean-Variance, Optimization, Asset Allocation, Foreign Exchange, Carry Trade

14.

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
Florida State University, Instituto Tecnológico Autónomo de México (ITAM) and Boston University - Questrom School of Business
Downloads 504 (108,853)
Citation 3

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Lottery-payoffs, Option Trading, Lottery Stocks

15.

Signal in the Noise: Trump Tweets and the Currency Market

Number of pages: 67 Posted: 04 Jan 2021 Last Revised: 27 Nov 2023
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Ganesh Viswanath-Natraj
Florida State University, University of Warwick - Finance Group, Washington University in St Louis, John M. Olin Business School and Warwick Business School
Downloads 378 (152,088)
Citation 1

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Foreign exchange market, textual analysis, Trump, X (Twitter)

16.

Foreign Exchange News and Currency Reversals

Number of pages: 64 Posted: 19 Jun 2020
Ilias Filippou, Mark P. Taylor and Zigan Wang
Florida State University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University
Downloads 323 (180,458)

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FX News, Currency Risk Premium, Currency Reversals

17.

Short-Horizon Currency Expectations

Number of pages: 58 Posted: 20 May 2024
Ilias Filippou, Jiangyuan Li, Xujun Liu and Mark P. Taylor
Florida State University, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 319 (182,792)

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currency expectations, systematic risk, foreign exchange

18.

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
Florida State University, Washington University in St Louis, John M. Olin Business School and Warwick Business School
Downloads 277 (211,959)

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cryptocurrency, fundamentals, media coverage, textual analysis

19.

U.S. Populism and Currency Risk Premia

Downloads 262 (224,140)

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
Florida State University, University of Warwick - Finance Group, Washington University in St Louis, John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 261 (223,728)

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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
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Florida State University, University of Warwick - Finance Group, Washington University in St Louis, John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (1,236,172)
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Foreign exchange market, populism, textual analysis

20.

Media Sentiment and the Cross-Section of Option Returns

Number of pages: 60 Posted: 14 Apr 2022
Ilias Filippou and Pedro Angel Garcia-Ares
Florida State University and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 244 (240,361)

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

21.

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, Florida State University and Binghamton University - Department of Economics
Downloads 234 (250,402)

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

22.

Forward-Looking Policy Rules and Currency Premia

Downloads 212 (274,833)
Citation 5

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
Florida State University and Washington University in St. Louis - John M. Olin Business School
Downloads 212 (273,825)

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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
Florida State University and Washington University in St. Louis - John M. Olin Business School
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Citation 5
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currency risk premium, data snooping bias, foreign exchange, Taylor rules

23.

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
Florida State University, Washington University in St Louis, John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 168 (338,950)

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

24.

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

Downloads 162 (349,652)
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
Florida State University and Washington University in St. Louis - John M. Olin Business School
Downloads 162 (349,560)

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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
Florida State University 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

25.

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
Florida State University, Federal Reserve Bank of Cleveland and Washington University in St Louis, John M. Olin Business School
Downloads 86 (557,439)
Citation 1

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

26.

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
Florida State University, 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 (1,099,953)
Citation 4
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carry trade, deep neural network, Elastic Net, exchange rate predictability

27.

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
Florida State University and Washington University in St. Louis - John M. Olin Business School
Downloads 2 (1,174,384)
Citation 7
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

28.

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
Florida State University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University
Downloads 1 (1,186,116)
Citation 4
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