A. (Tassos) G. Malliaris

Loyola University of Chicago - Department of Economics

Professor of Economics and Finance

16 E. Pearson Ave

Quinlan School of Business

Chicago, IL 60611

United States

SCHOLARLY PAPERS

44

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CITATIONS
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48

Scholarly Papers (44)

1.

The Black-Scholes Option Pricing Model

COMPANION TO FINANCIAL DERIVATIVES, Robert Kolb, James Overdahl, eds., Palgrave, Forthcoming
Posted: 27 Aug 2008
A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics
Downloads 930 (17,140)

Abstract:

Black-Scholes Option Pricing, Options

2.

Ito's Calculus and the Derivation of the Black-Scholes Option-Pricing Model

HANDBOOK OF QUANTITATIVE FINANCE, C. F. Lee, Alice C. Lee, eds., Springer, 2009
Number of pages: 63 Posted: 18 Oct 2007 Last Revised: 12 Feb 2009
George Chalamandaris and A. (Tassos) G. Malliaris
Athens University of Economics and Business - Department of Accounting and Finance and Loyola University of Chicago - Department of Economics
Downloads 816 (21,079)
Citation 1

Abstract:

Ito, Calculus, Derivation, Black, Scholes, Option, Pricing

3.

Financial Instabilities and Risk Management by Central Banks

Posted: 27 Aug 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 395 (56,223)

Abstract:

4.

NAFTA: Past, Present and Future

Journal of Economic Asymmetries, Vol. 5, pp. 13 - 23, 2008.
Number of pages: 8 Posted: 17 Jan 2008 Last Revised: 25 Feb 2009
Alexander Kondonassis, A. (Tassos) G. Malliaris and Chris Paraskevopoulos
Temple University - Department of Economics, Loyola University of Chicago - Department of Economics and York University
Downloads 338 (65,509)

Abstract:

North American Free Trade Agreement, NAFTA, Canada,Mexico, United States, trade, investment, agricultural integration, monetary integration

5.

Are There Rational Bubbles in the US Stock Market? Overview and a New Test

ASSET PRICE BUBBLES: IMPLICATIONS FOR MONETARY AND REGULATORY POLICY, ELSEVIER SCIENCE, George Kaufman, ed., pp. 125-144, Elsevier Science, 2001
Number of pages: 27 Posted: 17 Jan 2008
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 301 (75,908)
Citation 1

Abstract:

Stock Market, Asset Bubbles, Testing for Market Overvaluation, Fundamental Valuation

6.

Multifractality in Foreign Currency Markets

Multinational Finance Journal, Vol. 6, pp. 387-401, 2002
Number of pages: 28 Posted: 17 Jan 2008
Marco Corazza and A. (Tassos) G. Malliaris
Ca Foscari University of Venice - Dipartimento di Economia and Loyola University of Chicago - Department of Economics
Downloads 290 (77,276)
Citation 9

Abstract:

Exponent of Hurst, multifractal market hypothesis, fractional Brownian motion,Pareto-Lévy stable process, statistical self-similarity, modified rescaled range (or R/S) analysis,periodogram-based approach, foreign currency markets

7.

U.S. Inflation and Commodity Prices: Analytical and Empirical Issues

Journal of Macroeconomics, Vol. 28, pp. 267-271, 2006
Number of pages: 11 Posted: 17 Jan 2008
A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics
Downloads 281 (83,659)
Citation 2

Abstract:

Inflation, Commodity Prices, Chaos, Non-linear

8.

Monetary Policy and the U.S. Stock Market

Economic Inquiry, Vol. 42, pp. 387-401, 2004
Number of pages: 34 Posted: 17 Jan 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 236 (97,536)
Citation 10

Abstract:

monetary policy, stock market, Federal funds rate,Taylor's rule, bubbles

9.

Investment Principles for Individual Retirement Accounts

Journal of Banking and Finance, Vol. 32, pp. 393-404, 2008
Number of pages: 32 Posted: 27 Dec 2007 Last Revised: 26 Aug 2008
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 232 (100,878)

Abstract:

Individual Retirement Accounts, Risk and Return, Investment Management, Risk Management of Individual Retirement Accounts

10.

Stochastic Processes and Models

COMPANION TO FINANCIAL DERIVATIVES, Robert Kolb, James Overdahl, eds., Palgrave, Forthcoming
Number of pages: 30 Posted: 19 Mar 2008
A. (Tassos) G. Malliaris and George Chalamandaris
Loyola University of Chicago - Department of Economics and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 218 (111,621)

Abstract:

Stochastic, Processes, Models

11.

Oil Prices and the Impact of the Financial Crisis of 2007-2009

Energy Economics, 2011
Number of pages: 21 Posted: 28 Mar 2011 Last Revised: 02 Apr 2011
A. (Tassos) G. Malliaris and Ramaprasad Bhar
Loyola University of Chicago - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 209 (100,878)

Abstract:

Oil prices, Euro, Gold, Time series analysis, Markov switching regimes

12.

The Dollar, the Euro and the Role of Emerging Currencies

International Journal of Indian Culture and Business Management, Vol. 2, pp. 11-29, 2009
Number of pages: 17 Posted: 14 Oct 2007 Last Revised: 12 Feb 2009
A. (Tassos) G. Malliaris and Bala Batavia
Loyola University of Chicago - Department of Economics and DePaul University
Downloads 208 (114,776)

Abstract:

International Monetary System, Global Currencies, Euro

13.

Recent Monetary Policy in the U.S.: Risk Management of Asset Bubbles

Journal of Economic Asymmetries, Vol. 2, pp. 25-39, 2005
Number of pages: 16 Posted: 17 Jan 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 176 (135,255)

Abstract:

Monetary policy, stock market, risk management

14.

Modeling Federal Funds Rates: A Comparison of Four Methodologies

Neural Computing & Applications, Vol. 18, pp. 37-44, 2009
Number of pages: 14 Posted: 14 Oct 2007 Last Revised: 12 Feb 2009
Mary Malliaris and A. (Tassos) G. Malliaris
Loyola University of Chicago and Loyola University of Chicago - Department of Economics
Downloads 176 (131,189)

Abstract:

Federal Funds, Modeling Interest Rates, Taylor Rule, Neural Networks

15.

The Global Monetary System: Its Weaknesses and the Role of the IMF, the EU and NAFTA

North American Journal of Economics and Finance, Vol. 13, pp. 72-92, 2002
Number of pages: 45 Posted: 19 Oct 2007 Last Revised: 18 Jan 2008
A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics
Downloads 168 (131,863)

Abstract:

Currency fluctuations, Global Monetary Instability, IFM, EU, NAFTA, Policy coordination

16.

Rethinking Monetary Stabilization in the Presence of an Asset Bubble

GLOBAL DIVERGENCE IN TRADE, MONEY AND POLICY, Volbert Alexander and Hans-Helmut Kotz, eds., pp. 172-191, Edward Elgar Publishing, Cheltenham, United Kingdom, 2006
Number of pages: 40 Posted: 19 Oct 2007 Last Revised: 18 Jan 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 154 (150,243)

Abstract:

Rethinking, monetary, stabilization, asset, bubble

17.

Are Oil, Gold and the Euro Inter-Related? Time Series and Neural Network Analysis

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 27 Posted: 29 Nov 2011
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 132 (155,351)

Abstract:

Oil, Gold, the Euro, Relationships, Time-series Analysis, Neural Network Methodology

18.

Asset Price Bubbles and Central Bank Policies: The Crash of the 'Jackson Hole Consensus'

NEW PERSPECTIVES ON ASSET PRICE BUBBLES: THEORY, EVIDENCE, AND POLICY, Doug Evanoff, George Kaufman and A.G. Malliaris, eds., Oxford University Press, 2012
Number of pages: 34 Posted: 14 Oct 2011
A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics
Downloads 125 (156,242)
Citation 1

Abstract:

Asset Bubbles, Financial Crisis, Jackson Hole Consensus, Lean against Bubbles

19.

Asset Prices and the Financial Crisis of 2007-09: An Overview of Theories and Policies

Forum for Social Economics, Vol. 39, No. 3, pp. 279-286, 2010
Number of pages: 10 Posted: 25 Jan 2011 Last Revised: 28 Jan 2011
A. (Tassos) G. Malliaris and Marc D. Hayford
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 122 (176,455)
Citation 1

Abstract:

Asset Bubbles, Financial Crisis, Regulation

20.

Is the Federal Reserve Bank Stock Market Bubble-Neutral?

ASSET PRICE BUBBLES: IMPLICATIONS FOR MONETARY AND REGULATORY POLICY, pp. 229-243, Elsevier Science, 2001
Number of pages: 21 Posted: 17 Jan 2008 Last Revised: 27 Aug 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 114 (188,897)
Citation 7

Abstract:

Monetary Policy, Federal Reserve Bank, FOMC Transcripts, Stock Market, Bubbles, Taylor's Rule

21.

Currency Markets and International Interest Rate Parity

SURVEY OF INTERNATIONAL FINANCE, Kent Baker and Leigh Riddick, eds., Oxford University Press, 2011
Number of pages: 34 Posted: 25 Jan 2011 Last Revised: 28 Jan 2011
A. (Tassos) G. Malliaris and Suk Hun Lee
Loyola University of Chicago - Department of Economics and affiliation not provided to SSRN
Downloads 113 (177,503)
Citation 1

Abstract:

Foreign Exchange Markets, Currency Forward Market, Currency Futures, Foreign Currency Options, Interest Rate Parity, Federal Policies and Currency Markets, Taylor Rule

22.

Dividends, Momentum and Macroeconomic Variables as Determinants of the U.S. Equity Premium Across Economic Regimes

Review of Behavioral Finance, Forthcoming
Number of pages: 40 Posted: 28 Mar 2011 Last Revised: 02 Apr 2011
A. (Tassos) G. Malliaris and Ramaprasad Bhar
Loyola University of Chicago - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 101 (205,597)
Citation 1

Abstract:

Excess stock returns, equity premium, dividends, macroeconomic variables, momentum, Markov regimes

23.

Are Foreign Currency Markets Interdependent? Evidence from Data Mining Technologies

Number of pages: 15 Posted: 29 Nov 2011
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 99 (208,438)

Abstract:

24.

Energy Sector Pricing: On the Role of Neglected Nonlinearity

Number of pages: 34 Posted: 12 Feb 2009
Catherine Kyrtsou, A. (Tassos) G. Malliaris and Apostolos Serletis
University of Macedonia - Department of Economics, Loyola University of Chicago - Department of Economics and University of Calgary - Department of Economics
Downloads 96 (204,208)

Abstract:

Energy, Nonlinearity, Chaotic Dynamics

25.

Speculative Components in Mature Stock Markets: Do They Exist and are They Related?

Advances in Quantitative Analysis of Finance and Accounting, Vol. 3, pp. 217-246, 2006
Number of pages: 39 Posted: 19 Oct 2007 Last Revised: 09 Apr 2008
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 95 (217,113)

Abstract:

Speculative, components, mature, stock, markets

26.

Revisiting U.S. Stock Market Returns: Individual Retirement Accounts

Advances in Investment Analysis and Portfolio Management, Vol. 3 , pp. 17-38, 2007
Number of pages: 46 Posted: 17 Oct 2007 Last Revised: 26 Aug 2008
A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics
Downloads 83 (238,018)
Citation 1

Abstract:

Revisiting U.S. Stock Market Returns, Individual Retirement Accounts

27.

Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests

Number of pages: 26 Posted: 19 Oct 2007
A. (Tassos) G. Malliaris, Marco Corazza and Elisa Scalco
Loyola University of Chicago - Department of Economics, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 74 (256,677)

Abstract:

Comovement, asset prices, bivariate dependence, non-linearity, t-test, polynomial approximation, energy asset, (vanilla) European call and put options, cross-Greeks

Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules

Number of pages: 19 Posted: 02 Nov 2013
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 37 (363,920)

Abstract:

Monetary policy rule, Nonlinear model, Stock market, Housing market, Time-varying coefficient

Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules

Applied Economics, Forthcoming
Number of pages: 25 Posted: 11 Apr 2016
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 32 (383,416)

Abstract:

Monetary policy rule, Nonlinear model, Stock market, Housing market, Time-varying coefficient

29.

Uncertainty, Transparency and Future Monetary Policy

Current Issues in Financial Markets, 2008
Number of pages: 39 Posted: 17 Jan 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 62 (280,323)

Abstract:

uncertainty, transparency, monetary policy

30.

What Drives Gold Returns? A Decision Tree Analysis

Number of pages: 14 Posted: 02 Apr 2015
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 61 (217,113)

Abstract:

Key words: Gold Prices, Uncertainty, Decision Tree Analysis, Financial Stress Index

31.

Central Bank Transparency and Short Term Interest Rate Forecasting Uncertainty

Posted: 27 Aug 2008
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 60 (285,052)

Abstract:

32.

The Impact of Information Signals on Market Prices When Agents Have Non-Linear Trading Rules

Economic Modelling, Vol. 26, pp. 167-176, 2009
Number of pages: 21 Posted: 23 Feb 2006 Last Revised: 12 Feb 2009
Catherine Kyrtsou and A. (Tassos) G. Malliaris
University of Macedonia - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 59 (282,638)
Citation 1

Abstract:

non-linearity, Logistic equation, Heteroskedastic Mackey-Glass model, attractors, information signals, spurious seasonality

33.

Principles for Drafting an Investment Policy with Illustrations

International Journal of Portfolio Analysis and Management, Vol. 1, No. 2, pp. 144-160, Forthcoming
Number of pages: 27 Posted: 10 Sep 2012
A. (Tassos) G. Malliaris and Robert Gyorgy
Loyola University of Chicago - Department of Economics and Northern Trust Corporation
Downloads 53 (280,323)

Abstract:

Portfolio Selection, Strategic Allocation, Active vs Passive Portfolio Management, Investment Policy, Portfolio Management

34.

Transparent Monetary Policy

Number of pages: 35 Posted: 11 Oct 2007
Marc D. Hayford and A. (Tassos) G. Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 53 (294,526)
Citation 2

Abstract:

Transparent, Monetary, Policy

35.

Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium

Number of pages: 21 Posted: 19 Nov 2013
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 42 (321,551)

Abstract:

Equity premium, Stochastic discount factor, Daily frequency, Momentum, Copula

36.

Episodic Nonlinearity in Leading Global Currencies

Number of pages: 27 Posted: 08 Dec 2011
A. (Tassos) G. Malliaris, Apostolos Serletis, Melvin Hinich and Periklis Gogas
Loyola University of Chicago - Department of Economics, University of Calgary - Department of Economics, University of Texas at Austin - Applied Research Laboratories and Democritus University of Thrace - Department of Economics
Downloads 40 (336,505)

Abstract:

Global Fi…nancial markets, Currencies, Episodic nonlinearity, Conditional heteroskedasticity

37.

The Impact of Large-Scale Asset Purchases on the S&P 500 Index, Long-Term Interest Rates and Unemployment

Number of pages: 17 Posted: 09 Jun 2015
Ramaprasad Bhar, A. (Tassos) G. Malliaris and Mary Malliaris
UNSW Australia Business School, School of Banking and Finance, Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 28 (231,347)

Abstract:

Quantitative Easing, Stock Market, S&P 500 Index, 10 Year Notes, Unemployment

38.

N-Tuple S&P 500 Index Patterns Across Decades, 1950s to 2011

Number of pages: 20 Posted: 02 Nov 2013
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 26 (356,209)

Abstract:

S&P 500 Index; Patterns across decades; Random walk; Decision tree methodology

39.

What Factors Contribute to U.S. Stock Market Bubbles?

Number of pages: 44 Posted: 09 Mar 2008
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 16 (414,415)

Abstract:

Bubbles, Excessive stock returns, Macroeconomic variables, Regimes, Business cycles

40.

Excess U.S. Equity Returns: Are They Determined by Fundamental or Behavioral Variables?

Number of pages: 34 Posted: 20 Aug 2007
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Australia Business School, School of Banking and Finance and Loyola University of Chicago - Department of Economics
Downloads 6 (465,518)

Abstract:

Excessive stock returns, macroeconomic variables, Regimes, Business cycle

41.

Multi-Fractality in Foreign Currency Markets

Multinational Finance Journal, Vol. 6, No. 2, p. 65-98, 2002
Number of pages: 34 Posted: 08 Jul 2015
Marco Corazza and A. (Tassos) G. Malliaris
Ca Foscari University of Venice - Dipartimento di Economia and Loyola University of Chicago - Department of Economics
Downloads 5 (490,579)
Citation 10
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Abstract:

exponent of Hurst; fractional Brownian motion; multi-fractal market hypothesis; Pareto-Levy stable process; R/S analysis

42.

Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis

Review of Economic Analysis 7 (2015)
Number of pages: 21 Posted: 11 Apr 2016
Ramaprasad Bhar, A. (Tassos) G. Malliaris and Mary Malliaris
UNSW Australia Business School, School of Banking and Finance, Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 0 (327,362)

Abstract:

Quantitative Easing, Decision Tree, Stock Market, S&P 500 Index, 10 Year Notes

43.

Directional Returns for Gold and Silver: A Cluster Analysis Approach

Handbook of Recent Advances in Commodity and Financial Markets: Quantitative Methods, Springer, Forthcoming
Number of pages: 17 Posted: 11 Apr 2016
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Downloads 0 (245,287)

Abstract:

Gold, Silver, Directional Forecasting, Cluster Analysis, Neural Networks

44.

Contrasting Approaches for Forecasting the S&P 500 Index

Merrill Warkentin (Editor), The Best Thinking in Business Analytics, Pearson Financial Times Press Analytics, 2015, Forthcoming
Posted: 30 Apr 2015
A. (Tassos) G. Malliaris and Mary Malliaris
Loyola University of Chicago - Department of Economics and Loyola University of Chicago

Abstract:

S&P 500 Index, Forecasting Approaches, Decision Tree, Neural Networks