Stathis Tompaidis

University of Texas at Austin - McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

15

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3,134

CITATIONS
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SSRN RANKINGS

Top 15,791

in Total Papers Citations

45

Scholarly Papers (15)

1.

Portfolio Tax Trading with Carry-Over Losses

EFA 2008 Athens Meetings Paper, McCombs Research Paper Series No. IROM-02-08
Number of pages: 78 Posted: 04 Mar 2008 Last Revised: 25 Jun 2015
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Georgia State University-Robinson College of Business, University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 527 (51,446)
Citation 18

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portfolio choice, capital gain taxation, limited use of capital losses, carry-over losses

2.

Optimal VWAP Tracking

Number of pages: 66 Posted: 01 Oct 2013
Daniel Mitchell, Jedrzej Pawel Bialkowski and Stathis Tompaidis
University of Texas at Austin - Red McCombs School of Business, University of Canterbury - Department of Economics and Finance and University of Texas at Austin - McCombs School of Business
Downloads 456 (61,717)
Citation 2

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Volume Weighted Average Price, Algorithmic Trading, Trading Volume, Trading Costs, Dynamic Programming

3.

A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices

Number of pages: 28 Posted: 03 Oct 2007
Claudio Albanese, Harry Lo and Stathis Tompaidis
Global Valuation, Imperial College London and University of Texas at Austin - McCombs School of Business
Downloads 380 (76,677)

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energy derivatives, pricing theory

4.
Downloads 334 ( 87,795)
Citation 5

Tax Management Strategies with Multiple Risky Assets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 59 Posted: 22 Mar 2002
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 334 (88,358)
Citation 5

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Portfolio Choice, Capital Gain Taxation, Short Sales

Tax Management Strategies with Multiple Risky Assets

Journal of Financial Economics, Forthcoming
Posted: 29 Nov 2004
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business

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Portfolio Choice, Capital Gain Taxation, Short Sales

5.

Market Imperfections, Investment Optionality and Default Spreads

Number of pages: 50 Posted: 04 Dec 2001
Stathis Tompaidis, Sergey Tsyplakov and Sheridan Titman
University of Texas at Austin - McCombs School of Business, University of South Carolina - Darla Moore School of Business and University of Texas at Austin - Department of Finance
Downloads 298 (100,822)
Citation 4

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debt pricing, default spreads, agency cost, market imperfections, contracting environment

The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

EFMA 2000 Athens
Number of pages: 40 Posted: 20 Dec 2000
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business
Downloads 294 (101,816)
Citation 5

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The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

Financial Review, Vol. 44, Issue 3, pp. 405-436, August 2009
Number of pages: 32 Posted: 09 Jul 2009
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business
Downloads 1 (680,350)
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The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

The Financial Review, Vol. 44, No. 3, August 2009
Posted: 18 May 2009
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business

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Conditional correlation, Roll's R2, Value-at-Risk

7.

Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales

McCombs School of Business Finance Working Paper
Number of pages: 47 Posted: 25 Jun 2001
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 282 (107,043)

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Taxes, Multiple Assets, Short Sales, Capital Gains, Portfolio Selection, CRRA, Shorting the box

Asset Selection and Under-Diversification with Financial Constraints and Income: Implications for Household Portfolio Studies

AFA 2010 Atlanta Meetings Paper
Number of pages: 72 Posted: 19 Mar 2009
Hervé Roche, Stathis Tompaidis and Chunyu Yang
California Polytechnic State University - Orfalea College of Business, University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 145 (200,208)

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Asset selection, under-diversification, labor income, financial constraints, household portfolios

Asset Selection and Under-Diversification with Financial Constraints and Income: Implications for Household Portfolio Studies

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 76 Posted: 22 Oct 2010
Hervé Roche, Stathis Tompaidis and Chunyu Yang
California Polytechnic State University - Orfalea College of Business, University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 65 (344,779)

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Asset Selection, Under-Diversification, Labor Income, Financial Constraints, Household Portfolios

Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows

Simon Business School Working Paper No. FR 15-09
Number of pages: 47 Posted: 29 Nov 2014 Last Revised: 13 Nov 2017
Ron Kaniel, Stathis Tompaidis and Ti Zhou
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and Independent
Downloads 113 (243,162)

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managerial commitment, incomplete information, risk taking, mutual funds

Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows

CEPR Discussion Paper No. DP12285
Number of pages: 50 Posted: 11 Sep 2017
Ron Kaniel, Stathis Tompaidis and Ti Zhou
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and Independent
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commitment, flows, mutual fund, portfolio

10.

An Iterative Simulation Approach for Solving Stochastic Control Problems in Finance

Number of pages: 37 Posted: 19 Jul 2013
Chunyu Yang and Stathis Tompaidis
BI Norwegian Business School and University of Texas at Austin - McCombs School of Business
Downloads 70 (327,316)
Citation 2

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11.

Efficient Computation of Hedging Parameters for Discretely Exercisable Options

Number of pages: 45 Posted: 18 Mar 2005
Ron Kaniel, Stathis Tompaidis and Alexander Zemlianov
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and University of Texas at Austin - Electrical and Computer Engineering Department
Downloads 67 (335,161)
Citation 2

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Option pricing, greeks, monte carlo simulation, american options

12.

Modeling Dependent Outages of Electricity Power Plants

Number of pages: 47 Posted: 02 Nov 2017
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - McCombs School of Business
Downloads 47 (396,214)

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Markov Chain, Dependent transitions, Subordination, Reliability

13.

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019
Mark E. Paddrik and Stathis Tompaidis
Government of the United States of America - Office of Financial Research and University of Texas at Austin - McCombs School of Business
Downloads 39 (425,830)

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credit default swaps, liquidity, market making, transaction costs

14.

Tax Collection from Realized Capital Gains on Equity

Number of pages: 54 Posted: 01 Apr 2019 Last Revised: 02 Jul 2019
Paul Ehling, Stathis Tompaidis and Chunyu Yang
BI - Norwegian Business School, University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 16 (541,988)

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time-varying capital gains taxation, tax-optimal rebalancing, tax collection from realized capital gains

15.

Pricing American-Style Options by Monte Carlo Simulation: Alternatives to Ordinary Least Squares

Journal of Computational Finance, Vol. 18, No. 1, 2014
Number of pages: 24 Posted: 04 Jun 2016
Stathis Tompaidis and Chunyu Yang
University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 0 (666,167)
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Monte Carlo, American options, OLS regression