Publications

Books

  1. Alexandridis, A. K., and Zapranis, A. D. (2014). Wavelet Neural Networks: Methodology and Applications in Financial Engineering, Chaos, and Classification. John Wiley & Sons, New Jersey, USA
  2. Alexandridis, A. K., and Zapranis, A. D. (2013). Weather Derivatives: Modeling and Pricing Weather-Related Risk. New York, USA, Springer.

Papers in international scientific journals

  1. Messis, P, Alexandridis, A, Zapranis, A. (2021). “The effects of herding on betas and idiosyncratic risk”. Journal of Behavioral Finance (accepted, forthcoming) (Impact Factor: 0.93)
  2. Messis, P, Alexandridis, A, Zapranis, A. (2021). “Testing and comparing conditional risk‐return relationship with a new approach in the cross‐sectional framework”. International Journal of Finance and Economics. 26, 218– 240. https://doi.org/10.1002/ijfe.1786 (Impact Factor: 0.636)
  3. Alexandridis, A. K, Gzyl, H., ter Horst, E. and Molina G. (2020). “Extracting pricing densities for weather derivatives using the maximum entropy method”. Journal of the Operational Research Society, DOI: https://doi.org/10.1080/01605682.2020.1796532 (accepted, forthcoming) (Impact Factor: 2.175)
  4. Alexandridis, A. K. and Hasan, M. (2020). “Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets”. International Journal of Finance and Economics. 25(4), 518-546. https://doi.org/10.1002/ijfe.1764 (Impact Factor: 0.636)
  5. Sultan, J., Alexandridis, A. K., Hasan, M. & Guo, X. (2019). “Hedging Performance of Multiscale Hedge Ratios”. Journal of Futures Markets. 39(12), 1613-1632 https://doi.org/10.1002/fut.22047 (Impact Factor: 1.449).
  6. Cramer, S., Kampouridis, M., Freitas, A. A., & Alexandridis, A. (2019). “Stochastic model genetic programming: Deriving pricing equations for rainfall weather derivatives”. Swarm and Evolutionary Computation, 46, 184-200. doi:https://doi.org/10.1016/j.swevo.2019.01.008 (Impact Factor: 3.818)
  7. Alexandridis, A.K., Karlis, D., Papastamos, D., Andritsos. D. (2018). “Real Estate valuation and forecasting in non-homogeneous markets: A case study in Greece during the financial crisis”. Journal of the Operational Research Society. 1-15. doi:10.1080/01605682.2018.1468864 (Impact Factor: 1.077).
  8. Cramer, S., Kampouridis, M., Freitas, A., Alexandridis, A. K. (2017). “An extensive evaluation of seven machine learning methods for rainfall prediction in weather derivatives.” Expert Systems with Applications. 85, 169-181. (Impact Factor: 3.928)
  9. Alexandridis, A. K., Kampouridis, M., Cramer, S. (2017). “A Comparison between Wavelet Networks and Genetic Programming in the Context of Temperature Derivatives”. International Journal of Forecasting, 33(1), 21-47 (Impact Factor: 2.642)
  10. Androvitsaneas, V. P., Alexandridis, A. K., Gonos, I. F., Dounias, G. D., and Stathopulos, I. A. (2016). “Wavelet neural network methodology for ground resistance forecasting”. Electric Power Systems Research, 140, 288-295. (Impact Factor: 2.688)
  11. Alexandridis, A. K., and Zapranis, A. D. (2013). "Wavelet neural networks: A practical guide." Neural Networks, 42, 1-27. (Impact Factor: 5.287)
  12. Alexandridis, A. K., and Zapranis, A. D. (2013). “Wind Derivatives: Modeling and Pricing”. Computational Economics, 41(3), 299-326. (Impact Factor: 1.053).
  13. Zapranis, A. D., and Alexandridis, A. K. (2011). “Modeling and forecasting cumulative average temperature and heating degree day indices for weather derivative pricing”. Neural Computing & Applications, 20(6), 787-801.) (Impact Factor: 2.505).
  14. Zapranis, A. D., and Alexandridis, A. K. (2009). “Weather Derivatives Pricing: Modelling the Seasonal Residuals Variance of an Ornstein-Uhlenbeck Temperature Process with Neural Networks”. Neurocomputing, 73, 37-48. (Impact Factor: 3.317).
  15. Zapranis, A. D., and Alexandridis, A. K. (2008). “Modelling Temperature Time Dependent Speed of Mean Reversion in the Context of Weather Derivative Pricing”. Applied Mathematical Finance, 15(4), 355 - 386. (Impact Factor: 1.033).

Chapters in books

  1. Zapranis, A. D., and Alexandridis, A. K. (2009). “Model Identification in Wavelet Neural Networks Framework”. Artificial Intelligence Applications and Innovations III, L. Iliadis, I. Vlahavas, and M. Bramer, eds., Springer, New York, USA, 267-277.

Papers in international conferences (with referees and published proceedings)

  1. Alexandridis A. and Panopoulou, E. (2020) “Denoising the Equity Premium” 19th Hellenic Finance and Accounting Association, Thessaloniki, Greece, 19-20 December 2020.
  2. Alexandridis, A. and Ladas, A. (2020) "Multiscale Network Analysis for Financial Contagion". 19th Hellenic Finance and Accounting Association, Thessaloniki, Greece, 19-20 December 2020.
  3. Alexandridis, A., Karlis, D. and Papastamos, D. (2019) “Automatic Mass Valuation for Non-Homogeneous Housing Markets”. 39th International Symposium on Forecasters, Thessaloniki, Greece, 16-19 June 2019.
  4. Alexandridis A. and Panopoulou, E. (2019) “Denoising the Equity Premium” 39th International Symposium on Forecasters, Thessaloniki, Greece, 16-19 June 2019.
  5. Alexandridis, A. and Ladas, A. (2019) "Multiscale Network Analysis for Financial Contagion". Financial Engineering and Banking Society, Prague, Czech Republic, 30 May – 1 June 2019.
  6. Radi, S., Pappas, V. and Alexandridis, A. (2019) “Islamic vs. conventional bond ratings: Determinants and forecastability”. Financial Engineering and Banking Society, Prague, Czech Republic, 30 May – 1 June 2019.
  7. Messis, P., Alexandridis, A., and Zapranis, A. (2019). “The herding effects on systematic risk”. In: Proceedings from 18th Annual Conference of the Hellenic Finance and Accounting Association (HFAA), Athens, Greece, 13-14 December 2019.
  8. Messis, P., Alexandridis, A., and Zapranis, A. (2018). “Are arbitrageurs’ actions associated with beta changes?”. In: Proceedings from 17th Annual Conference of the Hellenic Finance and Accounting Association (HFAA), Piraeus, Greece, 15-18 December 2018.
  9. Alexandridis, A.K., Gzyl, H. ter Horst, E., Molina, G. (2017). “Extracting risk neutral densities for weather derivatives pricing using the maximum entropy method.” In: 11th International Conference on Computational and Financial Econometrics. London, UK, 16th – 18th December, 2017.
  10. Alexandridis, A.K., Karlis, D., Papastamos, D., (2017). "Real Estate valuation and forecasting in non-homogeneous markets: A case study in Greece during the financial crisis." In: 7th International Conference of the Financial Engineering and Banking Society. Glasgow, Scotland, 1st -3rd June, 2017.
  11. Hassan, M. S., Sultan, J., Alexandridis, A. K., (2017). “An Econometric Investigation of Hedging Performance of Multi-Scale Hedge Ratios.” In: World Finance Conference. Sardinia, Italy, 26th – 28th July 2017.
  12. Cramer, S., Kampouridis, M., Freitas, A. A., and Alexandridis, A. (2017). “Pricing Rainfall Based Futures Using Genetic Programming.” In: EvoBafin, EvoStar. Amsterdam, Holland, 19 – 21 April 2017.
  13. Alexandridis, A. K., and Hasan, M. (2016). "Global Financial Crisis and Multiscale Systematic Risk: Evidence from Selected European Markets". In: Financial Econometrics and Empirical Asset Pricing Conference, Lancaster, UK, 30 June – 1st July, 2016.
  14. Cramer, S., Kampouridis, M., Freitas, A. A., and Alexandridis, A. (2015). "Predicting Rainfall in the Context of Rainfall Derivatives Using Genetic Programming." IEEE Computational Intelligence for Financial Engineering & Economics, Symposium Series on Computational Intelligence, Cape Town, South Africa, 7 – 10 December, 2015.
  15. Alexandridis, A., and Hasan, M. S. (2015). "Analysing the Multiscale Systematic Risk During the Global Financial Crisis: Evidence from Selected European Stock Markets." 14th Hellenic Finance and Accounting Association, Athens, Greece, 18-19 December, 2015.
  16. Messis, P., Alexandridis, A., and Zapranis, A. (2015). "Cross-sectional conditional risk return analysis in the sorted beta framework: A novel Two Factor Model." 14th Hellenic Finance and Accounting Association, Athens, Greece, 18-19 December, 2015.
  17. Tsinaslanidis, P., Alexandridis, A., Zapranis, A., and Livanis, E. (2014). "Dynamic Time Warping as a Similarity Measure: Applications in Finance." 13th Hellenic Finance and Accounting Association Conference, Volos, Greece, 12-13 December, 2014.
  18. Messis, P., Alexandridis, A. K., and Zapranis, A. D. (2014). "Testing and Comparing Conditional CAPM with A New Approach in the Cross-Sectional Framework." International work-conference on Time Series-ITISE 2014, Granada, Spain, 25-27 June, 2014.
  19. Androvitsaneas, V. P., Gonos, I. F., Alexandridis, A. K., and Dounias, G. (2014). "Wavelet neural networks for ground resistance estimation." International Conference on High Voltage Engineering and Application, Poznan, Poland, 8-11 September, 2014.
  20. Alexandridis, A. K., Zapranis, A., Livanis, E., and Tsinaslanidis, P. (2013). "Business failure prediction using neural networks and wavelet neural networks." 12th Hellenic Finance and Accounting Association Conference, Thessaloniki, Greece, 13-14 December, 2013.
  21. Alexandridis, A. K., and Kampouridis, M. (2013). "Temperature Forecasting in the Concept of Weather Derivatives: A Comparison between Wavelet Networks and Genetic Programing." 13th EANN Halkidiki, Greece, 13-16 September, 2013.
  22. Alexandridis, A. K., and Hasan, M. (2013). "Global Financial Crisis and Multiscale Systematic Risk: Evidence from Selected European Markets." The impact of Global Financial Crisis: on Banks, Financial Markets and Institutions in Europe, University of Southampton, UK, 25-26 April, 2013.
  23. Alexandridis, A. K., and Zapranis, A. D. (2012). "Modeling and Pricing the European Temperature in the Context of Weather Derivative Pricing." 4th ICAF, Corfu, Greece, 30-31 August, 2012.
  24. Alexandridis, A. K., and Zapranis, A. D. (2011). "Wind Derivatives: Modeling and Pricing." Financial Engineering and Banking Society (F.E.B.S.), Chania, Greece, 10-12 June, 2011.
  25. Zapranis, A. D., and Alexandridis, A. K. (2009). "Modeling and Forecasting CAT and HDD Indices for Weather Derivative Pricing." EANN 2009, London, UK, 27-29 August, 2009.
  26. Zapranis, A. D., and Alexandridis, A. K. (2009). "Model Identification in Wavelet Neural Networks Framework. 5th IFIP AIAI, Thessaloniki, Greece, 23-25 April, 2009.
  27. Alexandridis, A. K., Zapranis, A. D., and Livanis, S. (2008). "Analyzing Crude Oil Prices and Returns Using Wavelet Analysis and Wavelet Networks." 7th HFAA, Chania, Greece, 12-14 December, 2008.
  28. Zapranis, A. D., and Alexandridis, A. K. (accepted, to appear). "Forecasting Cash Money Withdrawals Using Wavelet Analysis and Wavelet Neural Networks." 5th AFE, Samos, Greece, 3-5 July, 2008.
  29. Alexandridis, A. K., and Livanis, S. (2008). "Forecasting Crude Oil Prices Using Wavelet Neural Networks." 5th ΦΣΔΕΤ, Athens, Greece, 8 May, 2008.
  30. Zapranis, A. D., and Alexandridis, A. K. (2007). "Wavelet Neural Networks for Weather Derivatives Pricing." 6th HFAA, Patra, Greece, 14-15 December, 2007.
  31. Zapranis, A. D., and Alexandridis, A. K. (2008). "Modelling Temperature Time Dependent Speed of Mean Reversion in the Context of Weather Derivative Pricing. HERCMA, Athens, Greece, September, 2007.
  32. Zapranis, A. D., and Alexandridis, A. K. (2007). "Weather Derivatives Pricing: Modelling the Seasonal Residuals Variance of an Ornstein-Uhlenbeck Temperature Process with Neural Networks." EANN 2007, Thessaloniki, Greece, 29-31 August, 2007.
  33. Zapranis, A. D., and Alexandridis, A. K. (2006). "Wavelet analysis and weather derivatives pricing." 5th Hellenic Finance and Accounting Association (HFAA), Thessaloniki, Greece, 15-16 December, 2006.