Nikolaos S. Thomaidis

School of Economics, Aristotle University of Thessaloniki

Assistant Professor in Econometrics

OPE building, University Campus

Thessaloniki, 54124

Greece

SCHOLARLY PAPERS

17

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Scholarly Papers (17)

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
School of Economics, Aristotle University of Thessaloniki and NGSQ International, Ltd
Downloads 835 (27,343)

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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
School of Economics, Aristotle University of Thessaloniki, Deloitte Consulting and NGSQ International, Ltd
Downloads 755 (31,424)
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.

Optimisation of Complex Financial Models Using Nature-Inspired Techniques

Number of pages: 10 Posted: 23 Jun 2011 Last Revised: 31 Jan 2012
School of Economics, Aristotle University of Thessaloniki, University of the Aegean - Department of Financial Engineering and Management, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 414 (68,098)

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

4.

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
School of Economics, Aristotle University of Thessaloniki
Downloads 38 (422,640)

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

5.

On Detecting the Optimal Structure of a Neural Network Under Strong Statistical Features in Errors

Journal of Time Series Analysis, Vol. 32, Issue 3, pp. 204-222, 2011
Number of pages: 19 Posted: 12 Apr 2011
Nikolaos S. Thomaidis and George D. Dounias
School of Economics, Aristotle University of Thessaloniki and University of the Aegean - Department of Financial Engineering and Management
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Artificial neural networks, Lagrange multiplier tests, neglected nonlinearity tests, heteroskedasticity, wild bootstrap, GARCH models, simulation

6.

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
School of Economics, Aristotle University of Thessaloniki, University of Rhode Island - College of Business Administration and University of Rhode Island

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

7.

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
City University London - Sir John Cass Business School, School of Economics, Aristotle University of Thessaloniki 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

8.

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
School of Economics, Aristotle University of Thessaloniki and University of the Aegean - Department of Financial Engineering and Management

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

9.

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
School of Economics, Aristotle University of Thessaloniki and Deloitte Consulting

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

10.

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
School of Economics, Aristotle University of Thessaloniki, Deloitte Consulting and Crédit Agricole Corporate and Investment Bank - Alternative Investments

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

11.

Active Portfolio Management with Cardinality Constraints: An Application of Particle Swarm Optimization

Journal of New Mathematical and Natural Computation, Vol. 5, No. 3, 2009
Posted: 04 Feb 2008 Last Revised: 24 Sep 2009
Nikolaos S. Thomaidis and Timotheos Angelidis
School of Economics, Aristotle University of Thessaloniki and University of Peloponnese - Department of Economics

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active portfolio management, tracking error, particle swarm optimization

12.

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
School of Economics, Aristotle University of Thessaloniki, 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

13.

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

Posted: 20 Jan 2007
Nikolaos S. Thomaidis
School of Economics, Aristotle University of Thessaloniki

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neural networks, volatility forecasting, GARCH models, LM tests

14.

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
School of Economics, Aristotle University of Thessaloniki

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Neural Networks, GARCH models, Maximum Likelihood, Conditional Densities

15.

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
School of Economics, Aristotle University of Thessaloniki 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

16.

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
School of Economics, Aristotle University of Thessaloniki and NGSQ International, Ltd

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Statistical arbitrage, Neural Networks, GARCH models

17.

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
School of Economics, Aristotle University of Thessaloniki, University of the Aegean - Department of Financial Engineering and Management and NGSQ International, Ltd

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Neural Networks, Volatility Forecasting, GARCH Models