Artem Prokhorov

University of Sydney Business School

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

Saint Petersburg State University - Center for Econometrics and Business Analytics (CEBA)

7-9, Universitetskaya nab.

Saint Petersburg, 199034

Russia

University of Montreal - Centre interuniversitaire de recherche en économie quantitative (CIREQ)

3150, rue Jean-Brillant

Montreal, QC H3T 1N8

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

972

TOTAL CITATIONS

0

Scholarly Papers (6)

1.

A Machine Learning Attack on Illegal Trading

Journal of Banking and Finance, Forthcoming
Number of pages: 50 Posted: 21 Jan 2021 Last Revised: 06 Dec 2022
Robert James, Henry Leung and Artem Prokhorov
The University of Sydney, University of Sydney Business School and University of Sydney Business School
Downloads 454 (131,743)

Abstract:

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Market Manipulation, Dynamic Time Warping, Market Microstructure, Machine Learning, Limit Order Books

2.

Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates

Journal of Empirical Finance, Forthcoming
Number of pages: 42 Posted: 09 Aug 2021 Last Revised: 27 Mar 2024
The University of Sydney, University of Sydney Business School, Monash University - Department of Econometrics and Business Statistics and University of Sydney Business School
Downloads 208 (300,498)

Abstract:

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Value-at-Risk, Expected Shortfall, GARCH models, extreme value theory, variable selection, regularization

Bank Cost Efficiency and Credit Market Structure Under a Volatile Exchange Rate

Number of pages: 57 Posted: 27 Apr 2022 Last Revised: 12 Sep 2022
Mikhail Mamonov, Christopher Parmeter and Artem Prokhorov
TBS Business School, University of Miami and University of Sydney Business School
Downloads 92 (587,078)

Abstract:

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Banks, Foreign currency operations, Currency revaluation, Bank production, Bank ownership, Market structure, Copulas

4.

Improving Predictions of Technical Inefficiency

Advances in Econometrics, Forthcoming
Number of pages: 34 Posted: 08 Apr 2022 Last Revised: 25 Mar 2024
The University of Sydney, University of Sydney Business School, Michigan State University and Michigan State University - Department of Economics
Downloads 85 (604,985)

Abstract:

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Technical inefficiency, Production Functions, Non-parametric Estimation

5.

Supplementary Material for "A Machine Learning Attack on Illegal Trading"

Number of pages: 9 Posted: 21 Jan 2021 Last Revised: 06 Dec 2022
Robert James, Henry Leung and Artem Prokhorov
The University of Sydney, University of Sydney Business School and University of Sydney Business School
Downloads 85 (604,985)

Abstract:

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6.

Technical and Allocative Inefficiency in Production Systems: A Vine Copula Approach

Dependence Modeling, Forthcoming
Number of pages: 23 Posted: 09 Aug 2021 Last Revised: 22 Apr 2022
Jian Zhai, Artem Prokhorov and Robert James
University of Sydney, University of Sydney Business School and The University of Sydney
Downloads 48 (803,901)

Abstract:

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Vine copulas, Allocative inefficiency, Technical inefficiency, Production Functions