Dr Georgios Sermpinis

  • Senior Lecturer (Economics)

telephone: 01413307770
email: Georgios.Sermpinis@glasgow.ac.uk

Biography

Georgios Sermpinis joined the Adam Smith Business School in September 2011. He holds degrees from the National Kapodistrian University of Athens and the Liverpool John Moores University. He previously worked at the University of Bedfordshire and Liverpool John Moores University.

Research interests

Areas of expertise:

  • Quantitative Finance 
  • Econometrics
  • Operations Research

Supervision

Current PhD students

  • Peng Cheng Song, University of Glasgow funded (entry September 2014)
  • Ping Zhang (entry January 2015)
  • Xinxin Ma (entry September 2015)
  • Arman Hassannia Kalager (entry September 2015)
  • Ping Zhang (entry January 2015)
  • Ross Gordon (entry September 2015)

Completed

Amalia Christoforidou

Thesis title: Optimal execution strategies via optimal stopping time and Markov controls.
Co-supervisor: Professor Christian Ewald.

Charalampos Stasinakis

Thesis title: Applications of hybrid neural networks and genetic programming in financial forecasting.
Co-supervisor: Dr Dimitris Korobilis.

Teaching

  • Risk Management
  • Financial Derivatives
  • Asset Pricing

Additional information

  • Senior Editor, Decision Support Systems
  • Quest Editor, Quantitative Finance
  • Quest Editor, Journal of Forecasting

Publications

List by: Type | Date

Jump to: 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009
Number of items: 29.

2016

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)

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)

Sermpinis, G., Stasinakis, C., Rosillo, R., and de la Fuente, D. (2016) European exchange trading funds trading with locally weighted support vector regression. European Journal of Operational Research, (doi:10.1016/j.ejor.2016.09.005) (In Press)

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)

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)

2015

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)

Karathanasopoulos, A., Theofilatos, K. A., Sermpinis, G., Dunis, C., Mitra, S., and Stasinakis, C. (2015) Stock market prediction using evolutionary support vector machines: an application to the ASE20 index. European Journal of Finance, (doi:10.1080/1351847X.2015.1040167) (Early Online Publication)

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)

2014

Karathanasopoulos, A., Sermpinis, G., Laws, J., and Dunis, C. (2014) Modelling and trading the Greek stock market with gene expression and genetic programing algorithms. Journal of Forecasting, 33(8), pp. 596-610. (doi:10.1002/for.2290)

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. 471-487. (doi:10.1002/for.2296)

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.2014.01.006)

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)

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

Stasinakis, C., and Sermpinis, G. (2014) Financial forecasting and trading strategies: a survey. In: Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (eds.) Computational Intelligence Techniques for Trading and Investment. Routledge: Abindgon, pp. 22-36. ISBN 9780415636803

2013

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)

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)

Dimitrakopoulos, C., Karathanasopoulos, A., Sermpinis, G., and Likothanassis, S. (2013) Adaptive filtering on forecasting financial derivatives indices. In: Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (eds.) Computational Intelligence Techniques for Trading and Investment. Series: Routledge advances in experimental and computable economics (6). Routledge: Abingdon, pp. 66-78. ISBN 9780415636803 (doi:10.4324/9780203084984)

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-04-2012-0048)

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)

Sermpinis, G., Stasinakis, C., and Karathanasopoulos, A. (2013) Kalman filter and SVR combinations in forecasting US unemployment. Artificial Intelligence Applications and Innovations, 412, pp. 506-515. (doi:10.1007/978-3-642-41142-7_51)

Sermpinis, G., Fountouli, A., Theofilatos, K., and Karathanasopoulos, A. (2013) Gene expression programming and trading strategies. Artificial Intelligence Applications and Innovations, 412, pp. 497-505. (doi:10.1007/978-3-642-41142-7_50)

Theofilatos, K., Amorgianiotis, T., Karathanasopoulos, A., Sermpinis, G., Georgopoulos, E., and Likothanassis, S. (2013) Advanced short-term forecasting and trading deploying neural networks optimized with adaptive evolutionary algorith. In: Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (eds.) Computational Intelligence Techniques for Trading and Investment. Series: Routledge advances in experimental and computable economics (6). Routledge: Abingdon, pp. 133-145. ISBN 9780415636803 (doi:10.4324/9780203084984)

2012

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)

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)

Sermpinis, G., Dunis, C., Laws, J., and Stasinakis, C. (2012) Kalman filters and neural networks in forecasting and trading. In: Jayne, C., Yue, S. and Iliadis, L. (eds.) Engineering Applications of Neural Networks, 13th International Conference EANN 2012 Proceedings, EANN 2012, CCIS 311. Series: Communications in Computer and Information Science (311). Springer Berlin Heidelberg: Berlin Heidelberg, pp. 433-442. ISBN 9783642329081 (doi:10.1007/978-3-642-32909-8_44)

2011

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)

2010

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)

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)

2009

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)

This list was generated on Thu Dec 8 07:53:10 2016 GMT.
Number of items: 29.

Articles

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)

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)

Sermpinis, G., Stasinakis, C., Rosillo, R., and de la Fuente, D. (2016) European exchange trading funds trading with locally weighted support vector regression. European Journal of Operational Research, (doi:10.1016/j.ejor.2016.09.005) (In Press)

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)

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)

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)

Karathanasopoulos, A., Theofilatos, K. A., Sermpinis, G., Dunis, C., Mitra, S., and Stasinakis, C. (2015) Stock market prediction using evolutionary support vector machines: an application to the ASE20 index. European Journal of Finance, (doi:10.1080/1351847X.2015.1040167) (Early Online Publication)

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)

Karathanasopoulos, A., Sermpinis, G., Laws, J., and Dunis, C. (2014) Modelling and trading the Greek stock market with gene expression and genetic programing algorithms. Journal of Forecasting, 33(8), pp. 596-610. (doi:10.1002/for.2290)

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. 471-487. (doi:10.1002/for.2296)

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.2014.01.006)

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)

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)

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)

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-04-2012-0048)

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)

Sermpinis, G., Stasinakis, C., and Karathanasopoulos, A. (2013) Kalman filter and SVR combinations in forecasting US unemployment. Artificial Intelligence Applications and Innovations, 412, pp. 506-515. (doi:10.1007/978-3-642-41142-7_51)

Sermpinis, G., Fountouli, A., Theofilatos, K., and Karathanasopoulos, A. (2013) Gene expression programming and trading strategies. Artificial Intelligence Applications and Innovations, 412, pp. 497-505. (doi:10.1007/978-3-642-41142-7_50)

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)

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)

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)

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)

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)

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)

Book Sections

Stasinakis, C., and Sermpinis, G. (2014) Financial forecasting and trading strategies: a survey. In: Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (eds.) Computational Intelligence Techniques for Trading and Investment. Routledge: Abindgon, pp. 22-36. ISBN 9780415636803

Dimitrakopoulos, C., Karathanasopoulos, A., Sermpinis, G., and Likothanassis, S. (2013) Adaptive filtering on forecasting financial derivatives indices. In: Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (eds.) Computational Intelligence Techniques for Trading and Investment. Series: Routledge advances in experimental and computable economics (6). Routledge: Abingdon, pp. 66-78. ISBN 9780415636803 (doi:10.4324/9780203084984)

Theofilatos, K., Amorgianiotis, T., Karathanasopoulos, A., Sermpinis, G., Georgopoulos, E., and Likothanassis, S. (2013) Advanced short-term forecasting and trading deploying neural networks optimized with adaptive evolutionary algorith. In: Dunis, C., Likothanassis, S., Karathanasopoulos, A., Sermpinis, G. and Theofilatos, K. (eds.) Computational Intelligence Techniques for Trading and Investment. Series: Routledge advances in experimental and computable economics (6). Routledge: Abingdon, pp. 133-145. ISBN 9780415636803 (doi:10.4324/9780203084984)

Sermpinis, G., Dunis, C., Laws, J., and Stasinakis, C. (2012) Kalman filters and neural networks in forecasting and trading. In: Jayne, C., Yue, S. and Iliadis, L. (eds.) Engineering Applications of Neural Networks, 13th International Conference EANN 2012 Proceedings, EANN 2012, CCIS 311. Series: Communications in Computer and Information Science (311). Springer Berlin Heidelberg: Berlin Heidelberg, pp. 433-442. ISBN 9783642329081 (doi:10.1007/978-3-642-32909-8_44)

Edited 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

This list was generated on Thu Dec 8 07:53:10 2016 GMT.