Stathis Tompaidis

University of Texas at Austin - McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 18,365

in Total Papers Downloads

3,840

SSRN CITATIONS
Rank 16,348

SSRN RANKINGS

Top 16,348

in Total Papers Citations

33

CROSSREF CITATIONS

34

Scholarly Papers (18)

1.

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 588 (63,854)
Citation 2

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

2.

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 567 (66,919)
Citation 24

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

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 397 (102,573)
Citation 1

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energy derivatives, pricing theory

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 349 (117,767)
Citation 12

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Portfolio Choice, Capital Gain Taxation, Short Sales

Tax Management Strategies with Multiple Risky Assets

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 326 (127,745)
Citation 8

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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

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 316 (131,031)
Citation 10

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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 290 (144,350)

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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 153 (260,726)

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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 75 (426,698)

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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 149 (266,530)

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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.

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 115 (322,875)
Citation 1

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Markov Chain, Dependent transitions, Subordination, Reliability

11.

Choosing Scenarios to Stress Test Financial Institutions

Number of pages: 35 Posted: 22 Mar 2021 Last Revised: 19 May 2022
Rohit Arora, Rui Gao and Stathis Tompaidis
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk, and Operations Management and University of Texas at Austin - McCombs School of Business
Downloads 113 (326,894)

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stress testing; optimal design of experiments; central counterparties; data-driven decision-making

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 65 (461,286)
Citation 2

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credit default swaps, liquidity, market making, transaction costs

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019 Last Revised: 23 Oct 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 28 (646,207)

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13.

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 91 (376,699)
Citation 3

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14.

Crack Spreads and Capacity Utilization in the US Refinery

Number of pages: 36 Posted: 02 Nov 2021
Hamed Ghoddusi, Sheridan Titman and Stathis Tompaidis
California State Polytechnic University, San Luis Obispo, University of Texas at Austin - Department of Finance and University of Texas at Austin - McCombs School of Business
Downloads 74 (425,005)

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Crack Spreads, Flexible Production, Capacity Utilization, Refinery Market

15.

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 72 (431,377)
Citation 4

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Option pricing, greeks, monte carlo simulation, american options

16.

Tax Collection from Realized Capital Gains on Equity

Number of pages: 55 Posted: 01 Apr 2019 Last Revised: 25 Jan 2021
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 55 (492,899)

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

17.

Empirical Analysis of Collateral at Central Counterparties

ESRB: Working Paper Series 2021/131
Number of pages: 31 Posted: 30 Dec 2021
Magdalena Grothe, N. Aaron Pancost and Stathis Tompaidis
European Central Bank (ECB), University of Texas at Austin McCombs School of Business and University of Texas at Austin - McCombs School of Business
Downloads 17 (708,707)

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CCP, initial margin, risk management, variation margin

18.

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 (877,111)
Citation 1
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Monte Carlo, American options, OLS regression