Fotios Harmantzis

FX Concepts

Quantitative Portfolio Manager

New York, NY 10122

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 3,162

SSRN RANKINGS

Top 3,162

in Total Papers Downloads

9,654

CITATIONS
Rank 17,446

SSRN RANKINGS

Top 17,446

in Total Papers Citations

19

Scholarly Papers (14)

1.

Operational Risk Management in Financial Services and the New Basel Accord

Number of pages: 16 Posted: 22 Aug 2004
Fotios Harmantzis
FX Concepts
Downloads 1,747 (6,078)
Citation 2

Abstract:

Risk Management, Operational Risk, Basel

2.

Operational Risk and Reference Data: Exploring Costs, Capital Requirements and Risk Mitigation

Journal of Operational Risk, Vol. 1, No. 3, 2006
Number of pages: 57 Posted: 18 Nov 2005
Allan D. Grody, Fotios Harmantzis and Gregory J. Kaple
Financial InterGroup, FX Concepts and Integrated Management Services Inc.
Downloads 1,537 (7,948)
Citation 5

Abstract:

Financial Institutions, Operational Risk, Data Management, Reference Data, Basel, Risk Management

3.

Inside the Telecom Crash: Bankruptcies, Fallacies and Scandals - a Closer Look at the Worldcom Case

Number of pages: 23 Posted: 13 Aug 2004
Fotios Harmantzis
FX Concepts
Downloads 1,203 (10,999)
Citation 2

Abstract:

American Telecommunication Services Sector, Bankruptcy, Credit Risk, WorldCom

4.

Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails

Number of pages: 19 Posted: 29 Aug 2005
Fotios Harmantzis, Linyan Miao and YiFan Chien
FX Concepts, Stevens Institute of Technology and Advanced Portfolio Technologies
Downloads 1,182 (11,437)
Citation 8

Abstract:

Risk Management, Value-at-Risk (VaR), Expected Shortfall (ES), Fat-Tails, Stable Paretian distribution, Extreme Value Theory (EVT)

5.

ICT Infrastructure in Two Asian Giants: A Comparative Analysis of China and India

Number of pages: 23 Posted: 23 Jan 2008
Venkata Praveen Tanguturi and Fotios Harmantzis
Institute for Infocomm Research - Agency for Science, Technology, and Research and FX Concepts
Downloads 689 (28,090)

Abstract:

India, China, ICT

6.

A Dynamic Macroeconomic Based Model for the US Telecommunications Industry

Number of pages: 20 Posted: 15 Feb 2005
Elias Aravantinos and Fotios Harmantzis
Stevens Institute of Technology and FX Concepts
Downloads 559 (37,741)

Abstract:

Dynamic macroeconomic model, US Telecom industry, Teledensity

7.

Key Determinants of R&D Expenditures in the US Telecommunications Equipment Industry

Number of pages: 32 Posted: 16 Mar 2005
Fotios Harmantzis and Venkata Praveen Tanguturi
FX Concepts and Institute for Infocomm Research - Agency for Science, Technology, and Research
Downloads 448 (45,133)

Abstract:

Research & Development (R&D), telecommunications industry

8.

Flexible Investment Decisions in the Telecommunications Industry: Case Applications using Real Options

NET Institute Working Paper No. 06-06
Number of pages: 65 Posted: 23 Oct 2006
Fotios Harmantzis and Lenos Trigeorgis
FX Concepts and University of Cyprus - Department of Public and Business Administration
Downloads 446 (49,620)
Citation 1

Abstract:

9.

Modeling Exchange Rate Movements with Cross-Markets and Macroeconomics Variables

Number of pages: 28 Posted: 13 Jan 2009
Fotios Harmantzis and Linyan Miao
FX Concepts and Stevens Institute of Technology
Downloads 282 (83,121)

Abstract:

foreign exchange rates, equity markets, oil, interest rates, inflation, vector autoregression

10.

A Markov Model for Stocks with Small and Medium Market Capitalization

Number of pages: 5 Posted: 20 Jun 2005
Pavel B. Dubovski, Irina Goldman and Fotios Harmantzis
Stevens Institute of Technology, Department of Mathematics, Stevens Institute of Technology - School of Business and FX Concepts
Downloads 276 (88,815)

Abstract:

Asset pricing, firm size, market capitalization, Markov processes, birth-death processes

11.

On the Impact of Heavy-Tailed Returns to Popular Risk Measures: Evidence from Global Indices

Number of pages: 37 Posted: 17 Jun 2005
Fotios Harmantzis and Linyan Miao
FX Concepts and Stevens Institute of Technology
Downloads 259 (91,765)

Abstract:

Heavy-Tails, Stable Paretian, Drawdown, Value at Risk, Expected Shortfall, Global Markets

12.

Dynamic Asymmetric Dependencies between Equities and Exchange Rate Markets

Number of pages: 31 Posted: 08 Feb 2009 Last Revised: 17 Feb 2009
Fotios Harmantzis and Linyan Miao
FX Concepts and Stevens Institute of Technology
Downloads 194 (123,630)

Abstract:

Global equity markets, Foreign exchange, Time varying

13.

On the Impact of Practical P2P Incentive Mechanisms on User Behavior

NET Institute Working Paper No. 06-14
Number of pages: 24 Posted: 01 Nov 2006
Institute for Infocomm Research, Singapore, FX Concepts, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 150 (152,685)
Citation 1

Abstract:

14.

Evolution of Developed Equity and Foreign Exchange Markets: The Minimum Spanning Tree Approach

Number of pages: 30 Posted: 11 Aug 2009
Fotios Harmantzis and Linyan Miao
FX Concepts and Stevens Institute of Technology
Downloads 97 (212,824)

Abstract:

Global equity markets, Foreign exchange, Minimum Spanning Tree, Clusters, VIX