Georgios Sermpinis

University of Glasgow

Lecturer

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

  • University of Glasgow

SCHOLARLY PAPERS

7

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1,567

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (7)

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1.

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

Number of pages: 51 Posted: 08 Mar 2018 Last Revised: 02 Apr 2020
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 706 (37,329)
Citation 2

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Spread Trading; Technical Analysis; Data Snooping; Manipulation-proof; Commodities

2.

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 272 (118,330)
Citation 2

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

3.

Neural Network Copula Portfolio Optimization for Exchange Traded Funds

Quantitative Finance, forthcoming
Number of pages: 26 Posted: 01 Dec 2016 Last Revised: 05 Jan 2018
Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis and Yukun Shi
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, University of Glasgow, Department of Economics, University of Glasgow and University of Glasgow
Downloads 270 (118,780)
Citation 1

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Copulas, Neural Networks, Portfolio Optimization, ETF

4.

Trading the Foreign Exchange Market with Technical Analysis and Bayesian Statistics

Number of pages: 33 Posted: 24 Aug 2017 Last Revised: 14 Nov 2018
Arman Hassanniakalager, Georgios Sermpinis and Charalampos Stasinakis
University of Bath - School of Management, University of Glasgow and University of Glasgow
Downloads 171 (183,785)

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Trading, Technical Analysis, Foreign Exchange, Bayesian Averaging, Relevance Vector Machines

5.

One Size Fits All? High Frequency Trading, Tick Size Changes and the Implications for Exchanges: Market Quality and Market Structure Considerations

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 44 Posted: 20 Mar 2017 Last Revised: 21 Mar 2017
Thanos Verousis, Pietro Perotti and Georgios Sermpinis
Essex Business School, University of Bath - School of Management and University of Glasgow
Downloads 112 (257,178)
Citation 1

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tick size, market quality, microstructure, high frequency trading, trading costs, minimum trading unit

6.

Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices

Number of pages: 72 Posted: 02 Dec 2018 Last Revised: 14 Jun 2019
Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis and Ioannis Psaradellis
University of Glasgow, University of Bath - School of Management, University of Glasgow and University of St Andrews School of Economics and Finance
Downloads 36 (461,858)

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financial economics, false discovery rate, multiple hypothesis testing, stock index, portfolio management

7.

A Conditional Fuzzy Inference Approach in Forecasting

European Journal of Operational Research, Forthcoming
Posted: 25 Mar 2017 Last Revised: 05 Nov 2019
Arman Hassanniakalager, Georgios Sermpinis, Charalampos Stasinakis and Thanos Verousis
University of Bath - School of Management, University of Glasgow, University of Glasgow and Essex Business School

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Forecasting; Conditional Fuzzy Inference; Fuzzy Rules; Classification

Other Papers (1)

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1.

Forecasting and Trading the EUR/USD Exchange Rate with Stochastic Neural Network Combination and Time-Varying Leverage

Decision Support Systems, Volume 54, Issue 1, December 2012, pp. 316-329
Posted: 17 Apr 2013 Last Revised: 21 Apr 2013
Georgios Sermpinis, Christian Dunis, Jason Laws and Charalampos Stasinakis
University of Glasgow, John Moores University - Business School, University of Liverpool - Accounting and Finance Division and University of Glasgow, Department of Economics

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Psi Sigma network, Recurrent Network, Forecast combinations, Kalman Filter, LASSO, Leverage