Academic Research

 

My academic research is in the following areas.

 

I.            Empirical finance with emphasis on Investment strategies, forecasting and computation

II.          Econometric Theory with an emphasis on computation, decision theory and forecasting

III.        Zipf’s law and other econophysics themes

IV.        Miscellaneous

 

My papers can be downloaded from my author page at the Social Science Research Network.

 

Here they are listed by subject area and some supplementary materials are provided.

Empirical finance with an emphasis on investment strategies, forecasting and computation

“A Tug of War: Overnight versus Intraday Expected Returns”, (with Dong Lou and Christopher Polk), forthcoming, Journal of Financial Economics.

“Asset pricing with flexible beliefs” (with Christos Axioglou), 2015, Studies in Nonlinear Dynamics & Econometrics, 19 (4)

“An ecological perspective on the future of computer trading”, (with Doyne Farmer), Quantitative Finance, 2013(2), 325-46.

"Financial Returns and Efficiency as seen by an Artificial Technical Analyst", 2001, Journal Of Economic Dynamics And Control (25)1-2, 213-244. Winner of the 1998 Graduate student paper contest of the Society of Computational Economics. See also a somewhat outdated technical analysis bibliography

"Learning to profit with discrete investment rules", 2001, Quantitative Finance 1(2), 284-8.

"An Introduction to Risk Neutral Forecasting", in Computational Finance, Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo, and A.S. Weigend (Eds), 1999, MIT Press.

"Decisionmetrics: A decision-based approach to econometric modelling", 2007, Journal of Econometrics,137, 414-40. Crowell Memorial Prize 2001, second place. More details on the Decisionmetrics Project can be found here.

Several other papers in this area are under anonymous review at journals so are not listed here.

 

Econometric Theory with an emphasis on computation, decision theory and forecasting

“Exact computation of Censored Least Absolute Deviations estimator”, (with Yannis Bilias and Kostas Florios), forthcoming, Journal of Econometrics. An online appendix and code for CLAD computation is available here.

“Exact computation of max weighted score estimators”, (with Costas Florios), 2008, Journal of Econometrics,  146(1), 86-91.  Fortran code and a manual to implement our algorithm can be found here. A windows executable with a manual can be found here.

"Decisionmetrics: A decision-based approach to econometric modelling", 2007, Journal of Econometrics,137, 414-40. Crowell Memorial Prize 2001, second place. More details on the Decisionmetrics Project can be found here.

"The sign of a mean regression: characterisation, estimation and applications", under revision for first resubmission to Econometric Theory.

"Decision-based methods for forecast evaluation", (with M. Hashem Pesaran) in Companion to Economic Forecasting, M.P. Clements and D.F. Hendry (Eds), 2001, Basil Blackwell.

"An algorithm for computing estimators that optimize step functions", Computational Statistics and Data Analysis 2003, 42 (3), 349-361. Abstract and paper from SSRN. Matlab code.

Review of “Comparison of some statistical methods of probabilistic forecasting of ENSO, by S.J. Mason and G.M. Mimmack, Journal of Climate, 15-8-29” in International Journal of Forecasting, 20(4), 736-7.

 

Zipf’s law and other econophysics themes

“An ecological perspective on the future of computer trading”, (with Doyne Farmer), Quantitative Finance, 2013(2), 325-46.

“Markets change every day: evidence from the memory of trade direction”, (with Christos Axioglou), 2011, Journal of Empirical Finance, 18(3):423-46

“US city size distribution: robustly Pareto, but only in the tail”, (with Yannis Ioannides), Journal of Urban Economics, 2013, 73(1), 18-29

“Explaining Zipf’s Law for US cities” with an extensive Appendix

"Gibrat's law does not imply Zipf's law"

 

 

Miscellaneous

“Electoral misgovernance cycles: Wildfires and tax evasion in Greece”, (first author; with Nicos Christodoulakis), Public Choice, 2014, 159, 533-59

“Decision-based methods for forecast evaluation”, (with M. Hashem Pesaran) in Companion to Economic Forecasting, M.P. Clements and D.F. Hendry (Eds), 2001, Basil Blackwell

 

I have also done research on the benefits of certain policy proposals in the context of MiFID 2. See:

“Minimum resting times and transaction-to-order ratios”, 2012, Economic Regulatory Impact Appraisal, EC Public Consultation, Review of MiFID. Commissioned by the UK Dept for Business, Innovation & Skills (with D. Farmer)

“Review of the benefits of a continuous market vs. randomized stop auctions and of alternative Priority Rules (policy options 7 and 12)”, 2011, Economic Regulatory Impact Appraisal, EC Public Consultation, Review of MiFID. Commissioned by the UK Department for Business, Innovation & Skills (with D. Farmer)

 

 

 

 

Please download papers from my author page at the Social Science Research Network.


 

 

 

 

 

 

 

 

 

Athens University of Economics and Business • 76 Patission st • Athens , 10434 • Greece

Tel: + 30 210 8203929 • e-mail: skouras@aueb.gr