Nikolaos S. Thomaidis

University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory

Associate Professor

8 Michalon Str

Chios, GR 82 100

Greece

http://decision.fme.aegean.gr

SCHOLARLY PAPERS

18

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Top 34,885

in Total Papers Downloads

3,009

TOTAL CITATIONS

3

Scholarly Papers (18)

1.

Detecting Statistical Arbitrage Opportunities Using a Combined Neural Network - GARCH Model

Number of pages: 14 Posted: 15 Jan 2012 Last Revised: 24 Jan 2012
Nikolaos S. Thomaidis and Nick Kondakis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and NGSQ International, Ltd
Downloads 1,027 (45,860)
Citation 1

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2.

Optimal Portfolio Allocation Strategies with Dynamic Factor Models

Number of pages: 20 Posted: 17 Jan 2012 Last Revised: 31 Oct 2012
Nikolaos S. Thomaidis, Efthymios Roumpis and Nick Kondakis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, National & Kapodistrian University of Athens and NGSQ International, Ltd
Downloads 865 (58,149)
Citation 1

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Fama and French Factors, Multivariate Models of Volatility, Constant Conditional Correlation, Dynamic Conditional Correlation, Mean-Variance Portfolio Optimisation

3.

Mitigating Digital Asset Risks

Number of pages: 54 Posted: 10 Nov 2023 Last Revised: 09 Jan 2024
National Chiao Tung University, Blockchain Research Center Humboldt-Universität zu Berlin, University of Twente, University of Twente, University College Dublin (UCD) - Michael Smurfit Graduate School of Business, Warsaw School of Economics (SGH) - Department of Economics I, Kaunas University of Technology, Geostrategic Institute Global, University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, Independent, Royal Melbourne Institute of Technolog (RMIT University), University of Galway, A.I. Weinberg Ltd., Council of Economic Advisors, Ministry of Finance, Hellenic Republic, University Politehnica of Bucharest, Yildiz Technical University, Selçuk University - Department of Economics, University POLITEHNICA of Bucharest, CSEF - University of Naples Federico II, Poznań University of Economics and Business, University of Iceland, Zurich University of Applied Sciences, Independent, Independent, York St John University, Universitatea din Oradea, Independent, Independent, Eötvös Loránd University, University of Tirana - Department of Informatics, Bucharest University of Economic Studies and American University in Bulgaria
Downloads 527 (110,233)
Citation 1

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Digital assets, Blockchain technology, Regulatory frameworks, Decentralized finance, Non-fungible tokens

4.

Optimisation of Complex Financial Models Using Nature-Inspired Techniques

Number of pages: 10 Posted: 23 Jun 2011 Last Revised: 31 Jan 2012
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, University of the Aegean - Department of Financial Engineering and Management, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 504 (116,362)

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Portfolio selection, ant colony optimisation, particle swarm intelligence, GARCH and EGARCH models

5.

Designing Strategies for Optimal Spatial Distribution of Wind Power

Proceedings of the 5th International Scientific Conference on 'Energy and Climate Change', October 11-12, 2012, Athens (Greece)
Number of pages: 10 Posted: 22 Jun 2012 Last Revised: 01 Apr 2013
Nikolaos S. Thomaidis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory
Downloads 86 (601,295)

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spatial resource allocation, wind power, copulas, capacity distribution plan

6.

Handling the Risk Dimensions of Wind Energy Generation

Thomaidis, N.S., Christodoulou,Th., Santos-Alamillos, F.J. (2023) "Handling the risk dimensions of wind energy generation", Applied Energy 339
Posted: 06 Apr 2022 Last Revised: 19 Sep 2023
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, School of Economics-Aristotle University of Thessaloniki and Department of Applied Physics, Polytechnic School of Engineering of Algeciras, University of Cádiz

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Wind energy, volumetric risk, aggregation, hedging, wind power futures, risk decomposition

7.

Fundamental Pricing Laws and Long Memory Effects in the Day-Ahead Power Market

Energy Economics Volume 100, August 2021, 105211
Posted: 24 Sep 2019 Last Revised: 15 Jun 2021
Nikolaos S. Thomaidis and Pandelis Biskas
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and Aristotle University of Thessaloniki - Department of Electrical and Computer Engineering

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Day-ahead power market, Interactive fixed-effects panel model, Long memory, Fractional cointegration, Panel smooth-transition regression, Fundamental power pricing

8.

Common Unobserved Determinants of Intraday Electricity Prices

Forthcoming in The Energy Journal, Vol. 40, SI1 (DOI 10.5547/01956574.40.SI1.ntho). Copyright © 2019 by the IAEE
Posted: 22 Feb 2018 Last Revised: 08 Feb 2019
Nikolaos S. Thomaidis, Gordon H. Dash and Nina Kajiji
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, University of Rhode Island and University of Rhode Island

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Multi-level factor models, power price dynamics, day-ahead electricity markets, PJM interconnection

9.

Risk Evaluation of Wind Turbine Investments

The Journal of Energy Markets, Volume 8, Number 3 (September 2015)
Posted: 10 Jun 2014 Last Revised: 27 Sep 2015
Petros Katsoulis, Nikolaos S. Thomaidis and Jan Jantzen
Bank of England, University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and University of the Aegean - Department of Financial Engineering & Management

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Wind Turbine Investment, Risk analysis, Electricity Price Forecasting, Cash Flow Estimation, Scenario Analysis

10.

A Comparison of Statistical Tests for the Adequacy of a Neural Network Regression Model

Quantitative Finance, Routledge Taylor & Francis, Forthcoming
Posted: 12 Nov 2011 Last Revised: 13 Jan 2012
Nikolaos S. Thomaidis and George D. Dounias
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and University of the Aegean - Department of Financial Engineering and Management

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Neural Networks, Lagrange Multiplier Tests, GARCH models, Monte Carlo

11.

Using Copula Techniques to Capture Nonlinear Dependences in the Returns of Typical Equity Investment Classes

Proceedings of the 7th International Conference on Applied Financial Economics, 2010
Posted: 12 Sep 2010
Nikolaos S. Thomaidis and Efthymios Roumpis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and National & Kapodistrian University of Athens

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Equity Investment Styles, Asymmetric Tail Dependence, Copulas, Portfolio Optimisation

12.

Quantification of Risk and Return for Portfolio Optimization: A Comparison of Forecasting Models

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, G. Gregoriou and R. Pascalau, eds., Palgrave-Macmillan, 2010
Posted: 19 Sep 2009 Last Revised: 15 Sep 2010
Nikolaos S. Thomaidis, Efthymios Roumpis and Vassilios Karavas
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, National & Kapodistrian University of Athens and Crédit Agricole Corporate and Investment Bank - Alternative Investments

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Computational Methods in Financial Econometrics, Multivariate GARCH models, Portfolio Optimization

13.

Intra-Day Returns Transmissions between US and European Equity Markets

Journal of Financial Decision Making, Vol. 5, No. 2, 2009
Posted: 04 Feb 2008 Last Revised: 08 Nov 2011
Nikolaos S. Thomaidis, Nick Kondakis and Vassileios Vassiliadis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, NGSQ International, Ltd and affiliation not provided to SSRN

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intermaket linkages, returns transmission, VAR models, robustified causality and serial correlation tests, impulse response graphs

14.

Forecasting Conditional Densities with a Semi-Parametric Nn-Garch Model

Posted: 20 Jan 2007
Nikolaos S. Thomaidis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory

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neural networks, volatility forecasting, GARCH models, LM tests

15.

Efficient Statistical Analysis of Financial Time-Series Using Neural Networks and GARCH Models

Posted: 20 Jan 2007 Last Revised: 22 Jun 2011
Nikolaos S. Thomaidis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory

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Neural Networks, GARCH models, Maximum Likelihood, Conditional Densities

16.

A General Class of Neural Network-GARCH Models for Financial Time Series Analysis

Posted: 03 May 2006 Last Revised: 22 Jun 2011
Nikolaos S. Thomaidis and George D. Dounias
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and University of the Aegean - Department of Financial Engineering and Management

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neural networks, volatility forecasting, GARCH models, quasi maximum likelihood theory

17.

An Intelligent Statistical Arbitrage Trading System

'ADVANCES IN ARTIFICIAL INTELLIGENCE', LECTURE NOTES IN ARTIFICIAL INTELLIGENCE, p. 3955, Grigoris Antoniou et al., ed., 2006
Posted: 24 Mar 2006 Last Revised: 08 Nov 2011
Nikolaos S. Thomaidis and Nick Kondakis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory and NGSQ International, Ltd

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Statistical arbitrage, Neural Networks, GARCH models

18.

Financial Statistical Modelling With a New Nature-Inspired Technique

Presented in the 1st European Symposium on Nature-Inspired Smart-Information Systems (NISIS), Albufeira, Portugal, 2005
Posted: 24 Mar 2006 Last Revised: 22 Jun 2011
Nikolaos S. Thomaidis, George D. Dounias and Nick Kondakis
University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, University of the Aegean - Department of Financial Engineering and Management and NGSQ International, Ltd

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Neural Networks, Volatility Forecasting, GARCH Models