Georgios Sermpinis

University of Glasgow

Lecturer

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

  • University of Glasgow

SCHOLARLY PAPERS

11

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6

CROSSREF CITATIONS

5

Scholarly Papers (11)

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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
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 895 (37,164)
Citation 3

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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

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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

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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
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 317 (133,076)
Citation 4

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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

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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)

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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

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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)

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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
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

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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
Arman Hassanniakalager, Georgios Sermpinis and Charalampos Stasinakis
University of Bath - School of Management, University of Glasgow and University of Glasgow

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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
Arman Hassanniakalager, Georgios Sermpinis, Charalampos Stasinakis and Thanos Verousis
University of Bath - School of Management, University of Glasgow, University of Glasgow and University of Essex

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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