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Publications

Machine Learning in Financial Forecasting and Trading

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  • Wei, M., Kyriakou, I., Sermpinis, G. and Stasinakis, C. (2023) Cryptocurrencies and Lucky Factors: the value of technical and fundamental analysis. International Journal of Finance and Economics, (doi: 10.1002/ijfe.2863) (Early Online Publication)

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  • Wei, M., Sermpinis, G. and Stasinakis, C. (2023) Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage. Journal of Forecasting, 42(4), pp. 852-871. (doi: 10.1002/for.2922)

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  • Psaradellis, I., Laws, J., Pantelous, A. A. and Sermpinis, G. (2023) Technical analysis, spread trading, and data snooping control. International Journal of Forecasting, 39(1), pp. 178-191. (doi: 10.1016/j.ijforecast.2021.10.002)

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  • Andreev, B., Sermpinis, G. and Stasinakis, C. (2022) Modelling financial markets during times of extreme volatility: evidence from the GameStop short squeeze. Forecasting, 4(3), pp. 654-673. (doi: 10.3390/forecast4030035)

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  • Hassanniakalager, A., Sermpinis, G. and Stasinakis, C. (2021) Trading the foreign exchange market with technical analysis and Bayesian statistics. Journal of Empirical Finance, 63, pp. 230-251. (doi: 10.1016/j.jempfin.2021.07.006)

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  • Sermpinis, G. , Hassanniakalager, A., Stasinakis, C. and Psaradellis, I. (2021) Technical analysis profitability and persistence: a discrete false discovery approach on MSCI indices. Journal of International Financial Markets, Institutions and Money, 73, 101353. (doi: 10.1016/j.intfin.2021.101353)

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  • Sermpinis, G. , Karathanasopoulos, A., Rosillo, R. and de la Fuente, D. (2021) Neural networks in financial trading. Annals of Operations Research, 297(1-2), pp. 293-308. (doi: 10.1007/s10479-019-03144-y)

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  • Hassanniakalager, A., Sermpinis, G. , Stasinakis, C. and Verousis, T. (2020) A conditional fuzzy inference approach in forecasting. European Journal of Operational Research, 283(1), pp. 196-216. (doi: 10.1016/j.ejor.2019.11.006)​​

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  • Psaradellis, I., Laws, J., Pantelous, A. A. and Sermpinis, G. (2019) Performance of technical trading rules: evidence from the crude oil market. European Journal of Finance, 25(17), pp. 1793-1815. (doi: 10.1080/1351847X.2018.1552172)

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  • Psaradellis, I. and Sermpinis, G. (2016) Modelling and trading the U.S. implied volatility indices: evidence from the VIX, VXN and VXD indices. International Journal of Forecasting, 32(4), pp. 1268-1283. (doi:10.1016/j.ijforecast.2016.05.004)

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  • Stasinakis, C., Sermpinis, G., Psaradellis, I. and Verousis, T. (2016) Krill herd support vector regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities. Quantitative Finance, 16(102), pp. 1901-1915. (doi:10.1080/14697688.2016.1211800)

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  • Karathanasopoulos, A., Theofilatos, K. A., Sermpinis, G., Dunis, C., Mitra, S. and Stasinakis, C. (2016) Stock market prediction using evolutionary support vector machines: an application to the ASE20 index. European Journal of Finance, 22(12), pp. 1145-1163. (doi:10.1080/1351847X.2015.1040167)

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  • Sermpinis, G., Stasinakis, C., Theofilatos, K. and Karathanasopoulos, A. (2015) Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations. European Journal of Operational Research, 247(3), pp. 831-846. (doi:10.1016/j.ejor.2015.06.052)

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  • Sermpinis, G., Theofilatos, K., Karathanasopoulos, A. and Dunis, C. (2013) Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization. European Journal of Operational Research, 225(3), pp. 528-540. (doi:10.1016/j.ejor.2012.10.020)

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  • Sermpinis, G., Laws, J. and Dunis, C.L. (2013) Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks. European Journal of Finance, 19(3), pp. 165-179. (doi:10.1080/1351847X.2011.606990)

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  • Dunis, C.L., Likothanassis, S.D., Karathanasopoulos, A.S., Sermpinis, G.S. and Theofilatos, K.A. (2013) A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading. Journal of Asset Management, 14(1), pp. 52-71. (doi:10.1057/jam.2013.2)

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  • Sermpinis, G., Laws, J., Karathanasopoulos, A. and Dunis, C.L. (2012) Forecasting and trading the EUR/USD exchange rate with Gene Expression and Psi Sigma Neural Networks. Expert Systems with Applications, 39(10), pp. 8865-8877. (doi:10.1016/j.eswa.2012.02.022)

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  • Sermpinis, G., Dunis, C., Laws, J. and Stasinakis, C. (2012) Forecasting and trading the EUR/USD exchange rate with stochastic Neural Network combination and time-varying leverage. Decision Support Systems, 54(1), pp. 316-329. (doi:10.1016/j.dss.2012.05.039)

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  • Dunis, C.L., Laws, J. and Sermpinis, G. (2011) Higher order and recurrent neural architectures for trading the EUR/USD exchange rate. Quantitative Finance, 11(4), pp. 615-629. (doi:10.1080/14697680903386348)

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  • Dunis, C.L., Laws, J. and Sermpinis, G. (2010) Modelling and trading the EUR/USD exchange rate at the ECB fixing. European Journal of Finance, 16(6), pp. 541-560. (doi:10.1080/13518470903037771)

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  • Dunis, C.L., Laws, J. and Sermpinis, G. (2009) The robustness of neural networks for modelling and trading the EUR/USD exchange rate at the ECB fixing. Journal of Derivatives and Hedge Funds, 15(3), pp. 186-205. (doi:10.1057/jdhf.2009.10)

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Financial Risk Management and Value-at-Risk

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  • Li, W., Paraschiv, F. and Sermpinis, G. (2022) A data-driven explainable case-based reasoning approach for financial risk detection. Quantitative Finance, 22(12), pp. 2257-2274. (doi: 10.1080/14697688.2022.2118071)

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  • Mitra, S., Karathanasopoulos, A., Sermpinis, G. and Dunis, C. (2015) Operational risk: emerging markets, sectors and measurement. European Journal of Operational Research, 241(1), pp. 122-132. (doi:10.1016/j.ejor.2014.08.021)

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  • Sermpinis, G., Laws, J. and Dunis, C.L. (2014) Modelling commodity value at risk with Psi Sigma neural networks using open–high–low–close data. European Journal of Finance, 21(4), pp. 316-336. (doi:10.1080/1351847X.2012.744763)

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  • Dunis, C.L., Laws, J. and Sermpinis, G. (2010) Modelling commodity value at risk with higher order neural networks. Applied Financial Economics, 20(7), pp. 585-600. (doi:10.1080/09603100903459873)

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Econometrics​

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  • Psaradellis, I., Laws, J., Pantelous, A. A. and Sermpinis, G. (2021) Technical analysis, spread trading, and data snooping control. International Journal of Forecasting, (doi: 10.1016/j.ijforecast.2021.10.002) (In Press)

 

  • Zhao, Y., Stasinakis, C., Sermpinis, G. and Fernadez, F. (2019) Revisiting Fama-French Factors’ Predictability with Bayesian Modelling and Copula-based Portfolio Optimization. International Journal of Finance and Economics, Forthcoming

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  • Zhao, Y., Stasinakis, C., Sermpinis, G. and Shi, Y. (2018) Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), pp. 761-775. (doi:10.1080/14697688.2017.1414505)

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  • Sermpinis, G., Verousis, T. and Theofilatos, K. (2016) Adaptive evolutionary neural networks for forecasting and trading without a data-snooping bias. Journal of Forecasting, 35(1), pp. 1-12. (doi:10.1002/for.2338)

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  • Stasinakis, C., Sermpinis, G., Theofilatos, K. and Karathanasopoulos, A. (2016) Forecasting US unemployment with radial basis neural networks, kalman filters and support vector regressions. Computational Economics, 47(4), pp. 569-587. (doi:10.1007/s10614-014-9479-y)

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  • Sermpinis, G., Stasinakis, C. and Dunis, C. (2014) Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects. Journal of International Financial Markets, Institutions and Money, 30(1), pp. 21-54. (doi:10.1016/j.intfin.2014.01.0

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  • Sermpinis, G., Stasinakis, C., Theofilatos, K. and Karathanasopoulos, A. (2014) Inflation and unemployment forecasting with genetic support vector regression. Journal of Forecasting, 33(6), pp. 471-87. (doi:10.1002/for.2296)

 

Financial Economics

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  • Da Silva Fernandes, F., Sermpinis, G. , Stasinakis, C. and Zhao, Y. (2023) Corporate social responsibility and firm survival: evidence from Chinese listed firms. British Journal of Management, (doi: 10.1111/1467-8551.12750) (Early Online Publication)

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  • Sermpinis, G. , Tsoukas, S. and Zhang, Y. (2023) Modelling failure rates with machine-learning models: Evidence from a panel of UK firms. European Financial Management, 29(3), pp. 734-763. (doi: 10.1111/eufm.12369)

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  • Zhao, Y., Stasinakis, C. , Sermpinis, G. and Da Silva Fernandes, F. (2019) Revisiting Fama-French factors’ predictability with Bayesian modelling and copula-based portfolio optimization. International Journal of Finance and Economics, 24(42), pp. 1443-1463. (doi: 10.1002/ijfe.1742)

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  • Sermpinis, G. , Tsoukas, S. and Zhang, P. (2019) What influences a bank’s decision to go public? International Journal of Finance and Economics, 24(4), pp. 1464-1485. (doi: 10.1002/ijfe.1740)

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  • Sermpinis, G., Tsoukas, S. and Ping, Z. (2018) Modelling Market Implied Ratings using LASSO Variable Selection Techniques’. Empirical Finance (Forthcoming)

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  • Verousis, T., Perotti, P. and Sermpinis, G. (2018) One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. Review of Quantitative Finance and Accounting, 50(2), pp. 353-392. (doi:10.1007/s11156-017-0632-2)

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  • Dunis, C., Sermpinis, G. and Karampelia, M.F. (2013) Stock market linkages among new EMU members and the Euro area: implications for financial integration and portfolio diversification. Studies in Economics and Finance, 30(4), pp. 370-388. (doi:10.1108/SEF-04-20)

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Other Research

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  • Nguyen, D. K., Sermpinis, G. and Stasinakis, C. (2023) Big data, artificial intelligence, and machine learning: a transformative symbiosis in favour of financial technology. European Financial Management, 29(2), pp. 517-548. (doi: 10.1111/eufm.12365)

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  • Petropoulos, F. et al. (2022) Forecasting: theory and practice. International Journal of Forecasting, 38(3), pp. 705-871. (doi: 10.1016/j.ijforecast.2021.11.001)

 

Books

  • Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (Eds.) (2014) Computational Intelligence Techniques for Trading and Investment. Series: Routledge advances in experimental and computable economics. Routledge. ISBN 9780415636803

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