Georgios Sermpinis

University of Glasgow

Lecturer

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,796

SSRN RANKINGS

Top 29,796

in Total Papers Downloads

1,550

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (7)

1.

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

Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 10 May 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 638 (40,909)
Citation 1

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Pairs Trading, Technical Analysis, Data Snooping, Transaction Costs

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
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 264 (116,501)
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 251 (122,731)
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
University of Bath - School of Management, University of Glasgow and University of Glasgow
Downloads 148 (199,306)

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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 108 (253,540)

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

6.

Conditional Fuzzy Inference: Winning the Football Bet

Number of pages: 46 Posted: 25 Mar 2017 Last Revised: 13 Sep 2017
University of Glasgow, University of Bath - School of Management, University of Glasgow and Essex Business School
Downloads 107 (256,824)

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Fuzzy rules, Forecasting, Football betting

7.

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

Number of pages: 72 Posted: 02 Dec 2018 Last Revised: 14 Jun 2019
University of Glasgow, University of Bath - School of Management, University of Glasgow and University of St Andrews School of Economics and Finance
Downloads 34 (453,019)

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

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:

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