George Michailidis

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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1,548

CITATIONS

1

Scholarly Papers (7)

1.

Discovering the Ecosystem of an Electronic Financial Market with a Dynamic Machine-Learning Method

AFA 2012 Chicago Meetings Paper, Algorithmic Finance 2013, 2:2, 151-165
Number of pages: 16 Posted: 21 Mar 2011 Last Revised: 08 Oct 2013
Shawn Mankad, George Michailidis and Andrei A. Kirilenko
Cornell University, University of Michigan at Ann Arbor and Imperial College London - Centre for Global Finance and Technology
Downloads 605 (36,311)

Abstract:

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Trading Strategies, High Frequency Trading, Machine Learning, Clustering

2.

Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank Algorithm

Robert H. Smith School Research Paper
Number of pages: 20 Posted: 12 Jan 2014 Last Revised: 30 Jun 2014
Andrei A. Kirilenko, Shawn Mankad and George Michailidis
Imperial College London - Centre for Global Finance and Technology, Cornell University and University of Michigan at Ann Arbor
Downloads 433 (47,302)

Abstract:

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3.

Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk

Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 28 Posted: 25 Mar 2008 Last Revised: 06 Apr 2015
Kam Hamidieh, Stilian Stoev and George Michailidis
Statistics and Data Sciences, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 113 (206,773)

Abstract:

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Point Processes, Clustering, Autoregressive Conditional Duration, Extreme Risk, Generalized Pareto Distribution

4.

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-090
Number of pages: 49 Posted: 17 Oct 2015
Celso Brunetti, Jeffrey H. Harris, Shawn Mankad and George Michailidis
Board of Governors of the Federal Reserve System, American University, Cornell University and University of Michigan at Ann Arbor
Downloads 106 (219,353)

Abstract:

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Interconnectedness, correlation network, financial crisis, interbank market, physical network

5.

On the Estimation of the Extremal Index Based on Scaling and Resampling

Journal of Computational and Graphical Statistics, Vol. 18, No. 3, pp. 731-755, 2009
Number of pages: 38 Posted: 14 Apr 2010
Kam Hamidieh, Stilian Stoev and George Michailidis
Statistics and Data Sciences, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 30 (386,463)
Citation 1

Abstract:

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Extremal Index, Clustering, Asymptotic normality, Bootstrap, Heavy tails, Permutation

6.

A System-Wide Approach to Measure Connectivity in the Financial Sector

Number of pages: 62 Posted: 11 Aug 2016 Last Revised: 20 Apr 2017
Cornell University, University of Michigan at Ann Arbor - Department of Economics, University of Michigan at Ann Arbor and University of Michigan, Stephen M. Ross School of Business
Downloads 0 (134,007)

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Systemic Risk, Financial Networks, Lasso, Vector Autoregression

7.

Analysis of Multiview Legislative Networks with Structured Matrix Factorization: Does Twitter Influence Translate to the Real World?

Robert H. Smith School Research Paper No. RHS 2529074
Posted: 23 Nov 2014 Last Revised: 28 Aug 2015
Shawn Mankad and George Michailidis
Cornell University and University of Michigan at Ann Arbor

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matrix factorization, networks, influence, Twitter