"Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream", forthcoming, (with Conrad Landi). Journal of Banking and Finance. Link. An online appendix is available here. Related data is available here.
“Crisis and extremism. How does an extreme far right emerge in a modern democracy? Evidence from Greece’s Golden Dawn”, (with Nicos Christodoulakis and Costas Roumanias), Journal of Elections, Public Opinion and Parties, 2020. An online appendix is available here.
“A Tug of War: Overnight versus Intraday Expected Returns”, (with Dong Lou and Christopher Polk), Journal of Financial Economics, 2019, 134(1), 192-213. An online appendix is available here.
“Exact computation of Censored Least Absolute Deviations estimator”, (with Yannis Bilias and Kostas Florios), 2019, Journal of Econometrics, 212(2), 584-606. An online appendix is available here and code for CLAD computation is available here.
“Asset pricing with flexible beliefs” (with Christos Axioglou), Studies in Nonlinear Dynamics & Econometrics, 2015, 19 (4)
“Electoral misgovernance cycles: Wildfires and tax evasion in Greece”, (with Nicos Christodoulakis), Public Choice, 2014, 159, 533-59
“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), Journal of Empirical Finance, 2011, 18(3):423-46
“Exact computation of max weighted score estimators”, (with Costas Florios), Journal of Econometrics, 2008, 146 (1), 86-91. An online appendix is available here and code for MWS computation is available here.
“Decisionmetrics: A decision-based approach to econometric modelling”, Journal of Econometrics, 2007, 137, 414-40 (Crowell Memorial second prize)
“A review of: ‘Comparison of some statistical methods of probabilistic forecasts of ENSO’, by Simon J. Mason and Gillian M. Mimmack”, International Journal of Forecasting, 2004, 20(4),736-7
“An algorithm for computing estimators that optimize step functions”, Computational Statistics and Data Analysis, 2003, 42 (3), 349-361. Code is available here.
“Financial Returns and Efficiency as seen by an Artificial Technical Analyst”, Journal Of Economic Dynamics And Control, 2001, (25)1-2, 213-244 (Society of Computational Economics grad student paper prize)
“Learning to profit with discrete investment rules”, Quantitative Finance, 2001, 1(2), 284-8
“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 Doyne 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 Doyne Farmer)
“Introduction to ‘Introductory Econometrics (Greek translation)’, by Jeffrey M. Wooldridge”, 2006, Papazisis
“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 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