George Michailidis

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 36,901

SSRN RANKINGS

Top 36,901

in Total Papers Downloads

1,887

SSRN CITATIONS

6

CROSSREF CITATIONS

5

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
North Carolina State University - Department of Business Management, University of Michigan at Ann Arbor and University of Cambridge - Finance
Downloads 718 (50,617)
Citation 1

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
University of Cambridge - Finance, North Carolina State University - Department of Business Management and University of Michigan at Ann Arbor
Downloads 569 (68,888)
Citation 1

Abstract:

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3.
Downloads 213 (199,629)
Citation 8

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 - Department of Finance and Real Estate, North Carolina State University - Department of Business Management and University of Michigan at Ann Arbor
Downloads 213 (199,399)
Citation 10

Abstract:

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

4.

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

Number of pages: 72 Posted: 11 Aug 2016 Last Revised: 17 Jul 2020
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 212 (205,079)
Citation 6

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Systemic Risk, Financial Networks, Lasso, Vector Autoregression

5.

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, Kam Hamidieh, Stilian Stoev and George Michailidis
Statistics and Data SciencesUniversity of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 121 (318,367)

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

6.

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, Kam Hamidieh, Stilian Stoev and George Michailidis
Statistics and Data SciencesUniversity of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 40 (572,739)

Abstract:

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

7.

Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models

Lin, J., & Michailidis, G. (2020). Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models. The Journal of Machine Learning Research, Volume 21
Number of pages: 44 Posted: 24 Jun 2020
Jiahe Lin and George Michailidis
University of Michigan at Ann Arbor and University of Michigan at Ann Arbor
Downloads 14 (752,629)
Citation 1

Abstract:

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Model Identifiability, Compactness, Low-Rank Plus Sparse Decomposition, Finite-Sample Bounds