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

15

DOWNLOADS
Rank 17,306

SSRN RANKINGS

Top 17,306

in Total Papers Downloads

3,550

SSRN CITATIONS
Rank 46,007

SSRN RANKINGS

Top 46,007

in Total Papers Citations

10

CROSSREF CITATIONS

5

Scholarly Papers (15)

1.

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Number of pages: 61 Posted: 27 Sep 2019 Last Revised: 06 Jul 2021
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Saint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 643 (50,686)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Deep neural network, Carry trade

2.

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 586 (57,136)
Citation 9

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

3.

ETF Arbitrage and International Diversification

WBS Finance Group Research Paper No. 260
Number of pages: 63 Posted: 10 Dec 2018 Last Revised: 05 Jan 2021
Washington University in St. Louis - John M. Olin Business School, University of Warwick and University of Warwick, Warwick Business School, Students
Downloads 505 (68,748)

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

4.

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 496 (70,335)

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Value, Momentum, Market-timing, Asset Pricing.

5.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 88 Posted: 24 Jul 2018 Last Revised: 28 Jan 2021
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 387 (94,325)
Citation 1

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

6.

Betting on the Likelihood of a Short Squeeze

Number of pages: 53 Posted: 16 Aug 2019 Last Revised: 26 Jul 2021
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 324 (115,224)

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Short Squeeze, Anomalies, limits to arbitrage

7.

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 238 (158,155)
Citation 3

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Lottery-payoffs, Option Trading, Lottery Stocks

8.

The Information Content of Trump Tweets and the Currency Market

Number of pages: 89 Posted: 04 Jan 2021 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 University of Warwick - Warwick Business School
Downloads 114 (294,341)

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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 102 (319,895)

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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 (813,335)
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Foreign exchange market, populism, textual analysis

10.

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 78 (375,123)

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FX News, Currency Risk Premium, Currency Reversals

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 54 (460,438)

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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

12.

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 14 (670,903)

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

13.

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 7 (724,907)
Citation 1
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carry trade, deep neural network, Elastic Net, exchange rate predictability

14.

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 (777,337)
Citation 3
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

15.

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 0 (794,362)
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