Publications

2009

- Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models.

CeNDEF working paper 09-15, University of Amsterdam

Heterogeneous Trading Strategies with Adaptive Fuzzy Actor-Critic Reinforcement Learning: a Behavioral Approach.

Journal of Economic Dynamics and Control, Vol 34, 6, pp. 1153-1170, 2010

- A Robust algorithm for parameter estimation in Smooth Transition Autoregressive models.

Economics Letters, Vol 103, 1, pp.36-38, 2009

- Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets.

European Journal of Operational Research, Vol 202, 1, pp. 285–293, 2010

- Nonlinear dynamics in financial asset returns: The predictive power of CBOE Volatility Index.

European Journal of Finance, Vol 14, 5, pp. 397-408, 2008, with D. Georgoutsos

- Estimation of Value-at-Risk by Extreme Value and Conventional Methods: a comparative evaluation of their predictive performance.

Journal of International Financial Markets, Institutions and Money, Vol 15, No 3, pp. 209-228, 2005, with D. Georgoutsos

- The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality.

Energy Economics, Vol 30, 5, pp. 2673-2685, 2008, with C.G.H. Diks

- Direction-of-change forecasting using a Volatility based Recurrent Neural Network.

Journal of Forecasting, Vol 27, 5, pp. 407-417, 2008, with D. Georgoutsos

- The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing.

Journal of Macroeconomics, Vol 30, 4, pp. 1641-1650, 2008, with C.G.H. Diks

- A Neurofuzzy Model for Stock Market Trading.

Applied Economics Letters, Vol 14, No 1, pp. 53 - 57, 2007

--------------- [In most Journals multiple times]----------------.
- Extreme Returns and the Contagion Effect between the Foreign Exchange and the Stock Market: Evidence from Cyprus.

Applied Financial Economics, Vol 18, 3, pp. 239-254, 2008, with D. Georgoutsos

- Correlation breakdown and extreme dependence in emerging equity markets.

with D. Georgoutsos, EUI MWP Working paper, 2009/18

- Evaluating direction-of-change forecasting: Neurofuzzy Models vs. Neural Networks.

Mathematical and Computer Modelling, Vol 46, pp.38-46, 2007, with D. Georgoutsos

- The Extreme-Value Dependence of Asia-Pacific Equity Markets.

Journal of Multinational Financial Management, Vol 18, pp. 197-208, 2008, with D. Georgoutsos

- Comparative Evaluation of Technical Trading Rules: Neurofuzzy Models vs. Recurrent Neural Networks.

Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE), Vsp/Brill, Vol 1, pp. 961-963, 2004, with D. Georgoutsos

Journal of Empirical Finance.
IEEE Transactions on Neural Networks.
Quantitative Finance.
European Journal of Finance.
- Is the Correlation in International Equity Markets Constant?.

Proceedings of the 6th Hellenic European Conference on Computer Mathematics and its Applications (HERCMA), Vol 1, 2003, with D. Georgoutsos