Fotis Papailias

Quantf Research

Manager

London

United Kingdom

http://www.quantf.com

University of London, King's College London, Department of Management

150 Stamford Street

London, SE1 9NN

United Kingdom

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 5,931

SSRN RANKINGS

Top 5,931

in Total Papers Downloads

10,514

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (22)

1.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
Quantf Research and University of Athens, Department of Business Administration
Downloads 4,543 (3,002)

Abstract:

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Dow Jones, ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies

2.

An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?

Quantf Research Working Paper Series No. WP02/2014
Number of pages: 45 Posted: 14 Nov 2011 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
Quantf Research and University of Athens, Department of Business Administration
Downloads 1,563 (17,032)
Citation 1

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ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Short Sales, Stop and Reverse, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies

3.

Return Signal Momentum

Journal of Banking and Finance, Forthcoming, QMS Research Paper 2019/04
Number of pages: 62 Posted: 22 May 2017 Last Revised: 16 Feb 2021
Fotis Papailias, Jiadong Liu and Dimitrios D. Thomakos
Quantf Research, Queen's University Belfast - Queen's Management School and University of Athens, Department of Business Administration
Downloads 1,417 (19,696)

Abstract:

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Return Sign, Trading Strategies, Market Timing, Time Series Momentum

4.

Time series reversal in trend-following strategies

Liu, J., Papailias, F. (2021). Time series reversal in trend-following strategies. European Financial Management, 1– 33.
Number of pages: 42 Posted: 22 May 2017 Last Revised: 03 Jan 2022
Jiadong Liu and Fotis Papailias
Queen's University Belfast - Queen's Management School and Quantf Research
Downloads 686 (54,805)

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Market Timing, Returns Signal Momentum, Reversal, Time Series Momentum, Trend-Following Strategies

5.

Improved Moving Average (IMA) Strategies

Market Technician, Journal of the Society of Technical Analysts, Issue 72, May 2012
Number of pages: 6 Posted: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
Quantf Research and University of Athens, Department of Business Administration
Downloads 435 (96,282)

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Moving average, Trading Rules, Stop loss, Trailing stop

6.

Big Data Econometrics: Now Casting and Early Estimates

BAFFI CAREFIN Centre Research Paper No. 2018-82
Number of pages: 53 Posted: 02 Jul 2018
Bocconi University - Department of Economics, Quantf Research, Eurostat, King's College, London and Eurostat, European CommissionEurostat, European Commission
Downloads 431 (97,548)
Citation 2

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Big Data, Nowcasting, Early Estimates, Econometric Methods

7.

The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Quantf Research Working Paper Series No. WP10/2014
Number of pages: 38 Posted: 21 Jul 2013 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
Quantf Research and University of Athens, Department of Business Administration
Downloads 396 (107,372)
Citation 1

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Baltic Dry Index, Commodities, Concordance, Cyclical Analysis, Forecasting, Turning Points

8.

Covariance Averaging for Improved Estimation and Portfolio Allocation

Quantf Research Working Paper Series No. WP11/2014
Number of pages: 30 Posted: 15 Jul 2013 Last Revised: 02 Jun 2014
Dimitrios D. Thomakos and Fotis Papailias
University of Athens, Department of Business Administration and Quantf Research
Downloads 276 (158,075)

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Averaging, Covariance Estimation, Financial Returns, Multivariate Time Series, Portfolio Allocation, Risk Management, Rolling Window

9.

Volatility Discovery

Number of pages: 58 Posted: 29 Aug 2016 Last Revised: 21 Dec 2017
University of East Anglia (UEA) - School of Economics, University of East Anglia (UEA), Norwich Business School and Quantf Research
Downloads 187 (228,357)

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information processing, volatility persistency, high-frequency data, price discovery, realized volatility, fractionally cointegrated vector autoregressive (FCVAR)

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

quantf research Working Paper Series: WP09/2014
Number of pages: 23 Posted: 02 Jun 2014
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 54 (524,975)

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Bayesian Shrinkage Regression, Dynamic Factor Model, Euro Area, Forecasting, Kalman Filter, Partial Least Squares

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

ECB Working Paper No. 1773
Number of pages: 33 Posted: 02 Apr 2015
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 43 (579,072)
Citation 1

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Bayesian shrinkage regression, dynamic factor model, euro area, forecasting, Kalman filter, partial least squares

11.

Cross-Validation Based Covariance Shrinkage in Portfolio Selection

quantf research Working Paper Series: WP03/2014
Number of pages: 33 Posted: 02 Jun 2014
Fotis Papailias and George Kapetanios
Quantf Research and King's College, London
Downloads 88 (399,542)

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Covariance Matrix, Shrinkage Methods, Portfolio Optimisation

12.

Variable Reduction and Variable Selection Methods Using Small, Medium and Large Datasets: A Forecast Comparison for the PEEIs

quantf research Working Paper Series: WP08/2014
Number of pages: 36 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 69 (458,602)
Citation 3

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Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components

13.

Variable Selection for Large Unbalanced Datasets Using Non-Standard Optimisation of Information Criteria and Variable Reduction Methods

quantf research Working Paper Series: WP04/2014
Number of pages: 21 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 66 (469,158)
Citation 2

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Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI

14.

Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes

quantf research Working Paper Series: WP13/2014
Number of pages: 41 Posted: 02 Jun 2014
Richard Baillie, George Kapetanios and Fotis Papailias
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, King's College, London and Quantf Research
Downloads 49 (538,576)

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ARFIMA Models, Impulse Response, Long Memory

15.

Investigating the Predictive Ability of ONS Big Data-Based Indicators

Number of pages: 21 Posted: 22 Apr 2021 Last Revised: 28 Apr 2021
George Kapetanios and Fotis Papailias
King's College, London and Quantf Research
Downloads 45 (557,615)

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Big Data, Nowcasting, Sparse Regressions, Factor Models

16.

Forecasting Strongly Dependent Macroeconomic and Monetary Series: A Two-Stage Approach and a Direct High-Order Autoregression

quantf research Working Paper Series: WP12/2014
Number of pages: 50 Posted: 02 Jun 2014
Fotis Papailias and Gustavo Fruet Dias
Quantf Research and University of East Anglia (UEA) - School of Economics
Downloads 40 (583,056)

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Forecasting, Infinite Autoregressions, Long Memory, MLE, Local Whittle

17.

US and EA Yield Curve Persistence during the COVID-19 Pandemic

Number of pages: 25 Posted: 11 Mar 2021 Last Revised: 31 Mar 2021
Fotis Papailias
Quantf Research
Downloads 39 (588,424)

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Term Structure, Yield Curve, Nelson-Siegel, Coronavirus, COVID-19, Time-varying coefficient models, Autoregressive processes, US, Euro-Area

18.

Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014
Number of pages: 13 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 31 (635,339)

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Financial Conditions, Forecasting

19.

Forecasting EU Economic Activity Using Summary Indicators

quantf research Working Paper Series: WP07/2014
Number of pages: 51 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 31 (635,339)

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Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators

20.

Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings

quantf research Working Paper Series: WP05/2014
Number of pages: 34 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 21 (708,036)

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Business Cycles, Recession

21.

'Out of Sync': The Breakdown of Economic Sentiment Cycles in the EU

Review of International Economics, Vol. 22, Issue 1, pp. 131-150, 2014
Number of pages: 20 Posted: 15 Jan 2014
Dimitrios D. Thomakos and Fotis Papailias
University of Peloponnese and Quantf Research
Downloads 3 (887,117)

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22.

A Generalised Fractional Differencing Bootstrap for Long Memory Processes

Journal of Time Series Analysis, Vol. 40, Issue 4, pp. 467-492, 2019
Number of pages: 26 Posted: 29 May 2020
George Kappetanios, Fotis Papailias and A. Taylor
King's College London, Quantf Research and University of Essex
Downloads 1 (915,413)

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Fractional differencing bootstrap, fractional integration, resampling