Georgios Sermpinis

University of Glasgow

Lecturer

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 28,863

SSRN RANKINGS

Top 28,863

in Total Papers Downloads

2,445

SSRN CITATIONS

6

CROSSREF CITATIONS

5

Scholarly Papers (11)

1.

Technical Analysis, Spread Trading and Data Snooping Control

International Journal of Forecasting, Volume x, pp x-x, November 2021, DOI: 10.1016/j.ijforecast.2021.10.002
Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 27 Dec 2021
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 895 (37,164)
Citation 3

Abstract:

Loading...

Technical Trading Rules; Spread Trading Predictability; False Discovery Rate; Bootstrap Test; Portfolio Performance

2.

Big Data, Artificial Intelligence and Machine Learning: A Transformative Symbiosis in Favour of Financial Technology

Number of pages: 50 Posted: 09 Sep 2020 Last Revised: 18 Apr 2022
Duc Khuong Nguyen, Georgios Sermpinis and Charalampos Stasinakis
IPAG Business School, University of Glasgow and University of Glasgow
Downloads 437 (93,022)
Citation 1

Abstract:

Loading...

FinTech, Artificial Intelligence, Machine Learning, Big Data, Digital Finance, RegTech, Smart Data

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 343 (122,482)
Citation 1

Abstract:

Loading...

Copulas, Neural Networks, Portfolio Optimization, ETF

4.

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
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 317 (133,076)
Citation 4

Abstract:

Loading...

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

5.

Deep Reinforcement Learning and Genetic Algorithm for a Pairs Trading Task on Commodities

Number of pages: 42 Posted: 18 Feb 2021
Georgios Sermpinis, Charalampos Stasinakis and Xiangyu Zong
University of Glasgow, University of Glasgow and University of Glasgow
Downloads 148 (270,390)
Citation 2

Abstract:

Loading...

Deep Reinforcement Learning, Pairs Trading, Commodities

6.

Informative Covariates, False Discoveries and Mutual Fund Performance

Number of pages: 74 Posted: 11 Jan 2021 Last Revised: 27 Jun 2022
Po-Hsuan Hsu, Ioannis Kyriakou, Tren Ma and Georgios Sermpinis
National Tsing Hua University - Department of Quantitative Finance, Bayes Business School (formerly Cass), City, University of London, University of Glasgow and University of Glasgow
Downloads 134 (292,114)

Abstract:

Loading...

Multiple testing, Functional false discovery rate, Informative covariates, Mutual funds, Alphas

7.

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
University of Essex, University of Bath - School of Management and University of Glasgow
Downloads 123 (311,446)
Citation 2

Abstract:

Loading...

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

8.

A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection

Number of pages: 26 Posted: 31 Aug 2021
Wei Li, Florentina Paraschiv and Georgios Sermpinis
Norwegian University of Science and Technology, Zeppelin University, Chair of Finance and University of Glasgow
Downloads 48 (528,593)

Abstract:

Loading...

Financial risk management, Decision theory, Case-based reasoning, Credit risk, Particle swarm optimization

9.

Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices

Journal of International Financial Markets, Institutions and Money, Vol. 73, 2021
Posted: 02 Dec 2018 Last Revised: 29 Jul 2021
University of Glasgow, University of Bath - School of Management, University of Glasgow and University of St Andrews School of Economics and Finance

Abstract:

Loading...

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

10.

Trading the Foreign Exchange Market with Technical Analysis and Bayesian Statistics

Journal of Empirical Finance, Forthcoming
Posted: 24 Aug 2017 Last Revised: 29 Jul 2021
University of Bath - School of Management, University of Glasgow and University of Glasgow

Abstract:

Loading...

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

11.

A Conditional Fuzzy Inference Approach in Forecasting

European Journal of Operational Research, Forthcoming
Posted: 25 Mar 2017 Last Revised: 22 Sep 2020
University of Bath - School of Management, University of Glasgow, University of Glasgow and University of Essex

Abstract:

Loading...

Forecasting; Conditional Fuzzy Inference; Fuzzy Rules; Classification

Other Papers (1)

Total Downloads: 0
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
University of Glasgow, John Moores University - Business School, University of Liverpool - Accounting and Finance Division and University of Glasgow, Department of Economics

Abstract:

Loading...

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