I am Professor of Finance and Director of Research and Enterprise at NBS. I am also Distinguished Professor in the Lee Shau Kee School of Business and Administration, Hong Kong.
My expertise are in the area of empirical finance and quantitative methods. I have a particular interest in the role, analysis and modelling of information in investment and corporate finance. I have made contributions in the area of information finance (here is my widely cited work on the use of Google Trends to proxy financial information demand), estimation risk (recent work here) and environmental finance (here is my widely cited work on carbon asset pricing).
My professional experience includes over 20 years of consulting and training for organizations in the private and public sector in the US, UK, Germany, Greece and Luxemburg. I am currently part of the board of the Norwich Financial Industry Group (FIG), representing NBS.
You can follow my tweets @UtopianMarket.
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Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options,
in The Quarterly Review of Economics and FinanceFull Text UEA Repository
(E-pub ahead of print)
An International Comparison of Implied, Realized and GARCH Volatility Forecasts,
in Journal of Futures Markets
article no. 1164–1193Full Text UEA Repository
Sovereign debt markets in light of the shadow economy,
in European Journal of Operational Research
pp. 220-231Full Text UEA Repository
Dynamic interaction between markets for leasing and selling automobiles,
in Journal of Banking and Finance
pp. 260-270Full Text UEA Repository
Electricity futures prices in an emissions constraint economy: Evidence from European power markets,
in The Energy Journal
pp. 1-33Full Text UEA Repository
Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs,
in The Quarterly Review of Economics and Finance
pp. 417–428Full Text UEA Repository
Information Demand and Stock Market Volatility,
in Journal of Banking and Finance
pp. 1808-1821Full Text UEA Repository
Wine Price Risk Management: International Diversification and Derivative Instruments,
in International Review of Financial Analysis
pp. 30-37Full Text UEA Repository
Optimal Hedge Ratio Estimation and Effectiveness Using ARCD,
in Journal of Forecasting
pp. 41-50Full Text UEA Repository
Investment under uncertainty and volatility estimation risk,
in Applied Economics Letters
pp. 133-137Full Text UEA Repository
Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix,
in Journal of Banking and Finance
pp. 2522-2531Full Text UEA Repository
Traded American Options are Bermudan,
in Managerial Finance
pp. 978-984Full Text UEA Repository
Nonlinear Cointegration using Lyapunov Stability Theory,
in Progress in Financial Markets Research.
Nova Science PublishersUEA Repository
Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty,
in Scottish Journal of Political Economy
pp. 519-536Full Text UEA Repository
Does the Weather Affect Stock Market Volatility?,
in Finance Research Letters
pp. 214-223Full Text UEA Repository
Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece,
in Applied Economics
pp. 1133-1143Full Text UEA Repository
A Jump Diffusion Model for VIX Volatility Options and Futures,
in Review of Quantitative Finance and Accounting
pp. 245-269Full Text UEA Repository
Are electricity risk premia affected by emission allowance prices?: Evidence from the EEX, Nord Pool and Powernext,
in Energy Policy
pp. 2594-2604Full Text UEA Repository
Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme,
in Journal of Banking & Finance
pp. 1230-1241Full Text UEA Repository
Financial Economics, Non-linear Time Series in,
in Encyclopedia of Complexity and Systems Science.
ISBN 978-0-387-75888-6UEA Repository
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Key Research Interests
I have used my expertise in finance, time series econometrics and data science to explore a broad spectrum of empirical issues involving volatility and higher moments, estimation risk, abrupt changes, attention and sentiment. My latest research focuses on the analysis and modelling of novel financial information sets which include: online Google data, news and text, social media and big data. I'm also doing research which deals with big problems of our time related to environmental finance. Most of the methodologies that I employ are described in the 3rd edition of the monograph "The Econometric Modelling of Financial Time Series" (by Cambridge University Press) which I have co-authored with Terry Mills (click here to take a peek inside this book).
As you can see below, my research has been funded by a variety of public and private sources:
- Carbon Asset Markets (2005-2009), Principal Investigator, €87,255, PENED program, Hellenic Ministry of Development.
- Estimation Risk in Portfolio Selection (2010), Principal Investigator, €4,000, AUEB.
- An Econometric Modelling of the International ICT Sector (2006), Principal Investigator, €15,000, Intrasoft.
- Environmental Derivatives and Energy Risk Management (2002-2005), Leading Co-Investigator, €34,000, General Secretariat for Research & Technology, Greece.
- Climate and Environment: Risk Management and Markets (2004-2005), Leading Co-Investigator, €80,000, General Secretariat for Research & Technology, Greece.
- Fixed Income Performance attribution (2002-2005), Co-investigator, Bank of Greece.
- Cotton Market Risk Management (2003-2004), Co-investigator, Agricultural Bank of Greece.
- Econometric modelling of the economy and employment (2003-2004), Co-investigator, Hellenic Observatory of Employment.
If you are interested in doing a PhD with me at NBS, please have a look at my research first and then email me so that we can talk about your ideas and background. I am currently supervising two full-time research students at NBS: Jessica Wang (2012-, Behavioral Finance) and Effie Symitsi (2013-, Attention and Sentiment Modelling). Here is a list of PhD students I have advised in the past (along with first placements):
- George Dotsis, Lecturer in Finance, Essex Business School, University of Essex
- Dimitris Psychoyios, Lecturer in Finance, Manchester Business School
- Vasiliki Makropoulou, Assistant Professor, Utrecht School of Economics, Universiteit Utrecht
- George Daskalakis, Lecturer in Finance, NBS, UEA
- Eleftheria Kostika, (continued in) Bank of Greece
- Apostolos Kourtis, Lecturer in Finance, NBS, UEA
- Nikos Vlastakis, Lecturer in Finance, Cranfield School of Management
- Yichun Wang, Lecturer, Nottingham Business School.
- Efthymia Symitsi (2013-present), PhD candidate NBS, UEA; under faculty scholarship
- Panayiotis Stamolampros (2016-present), PhD candidate NBS, UEA; under faculty scholarship
- Trung Le (2016-present), PhD candidate NBS, UEA; under Vietnamese government scholarship
- Lucia Murgia (2016-present), PhD candidate NBS, UEA; under Graduate Teaching Assistantship
I routinely do ad hoc refereeing for journals and funding bodies, these include:
Econometrica, Journal of Banking and Finance, Review of Finance, European Economic Review, Economica, Journal of Empirical Finance, Journal of Futures Markets, European Journal of Operational Research, Financial Review, European Journal of Finance, Journal of International Financial Markets, Institutions & Money, International Review of Financial Analysis, Journal of Forecasting, International Journal of Forecasting, Journal of Economic Behavior and Organization, Physica A, Expert Systems with Applications, Quantitative Finance, Computers & Operations Research, Review of International Economics, Economic Modelling, Empirical Economics, Energy Journal, Energy Policy, Energy Economics, Resource and Energy Economics, Quarterly Review of Economics and Finance, Applied Economics, Applied Financial Economics, Scottish Journal of Political Economy, Journal of Policy Modeling, Bulletin of Economic Research, Journal of Sports Economics, Energy & Environment, Ekonomia, EFA 2008/2009/2010, Cambridge University Press, Elsevier, Research Grants Council of Hong Kong/China, Research Promotion Foundation of Cyprus.
I have been directly involved in teaching the following modules in NBS:
- NBS-3A8Y: International Financial Services
- NBS-MC8X: Advanced Financial and Investment Management
- NBS-MC60: Corporate Financial Management
- NBS-MC6X: Critical Issues in Accounting and Business Finance Research
In terms of activities outside NBS, I teach an MBA course on Global Capital Markets at the International Hellenic University (IHU).
I am/have been external examiner for Essex Business School/University of Essex (2013-2016), University of Nottingham Business School (2013-) and Imperial College Business School (2016-).
Over the past 20 years, I have taught a variety of subjects in corporate and investment finance, valuation, project finance, entrepreneurial finance, energy finance, real estate finance, financial econometrics, mathematics and statistics at undergraduate and postgraduate level.
I have also developed the following teaching material:
- Mills, T.C., Markellos, R.N. (2008) The Econometric Modelling of Financial Time Series, Cambridge University Press, 3rd edition. This is a bestselling monograph which has been widely cited (over 950 times in Google Scholar) and used as teaching material in leading schools such as Yale, Wharton, Chicago, Carnegie Mellon, Oxford, Birkbeck, UCLA, Warwick, Temple Univ., Cass, Manchester, Lancaster, Michigan State, Univ. of Georgia, Oslo, UC Davis, UCL, etc.
- Markellos, R.N,. (2002-) Lecture Notes in Statistics, AUEB.
- Markellos, R.N,. (2002-) Lecture Notes in Introductory Finance, AUEB.
- Markellos, R.N,. (2004-) Lecture Notes in Corporate Finance, AUEB.
- Markellos, R.N,. (2005-) Lecture Notes in Project Finance, AUEB.
- Markellos, R.N., Mills, T.C. (1997) Statistical Inference, Modelling and Forecasting with EXPO/Econometrics, LMT Inc, Cambridge MA (90 pp.).
- Markellos, R.N., Mills, T.C., Siriopoulos, C. (1996) Portfolio Trading with EXPO/BasketTrader LMT Inc, Cambridge MA (90 pp.).
- Markellos, R.N., Mills, T.C., Siriopoulos, C. (1996) Handbook of Neural Network Analysis with EXPO/Neural Net, LMT Inc, Cambridge MA (75 pp.).
- Markellos, R.N., Mills, T.C. (1998) Case Studies in Computational Finance.
My professional experience includes over 15 years of consulting and training for organizations in the US, UK, Germany, Luxemburg and Greece. My interests and expertise are mostly linked to my research. At present, I'm doing work on: car leasing residual value risk management and analytics, asset management applications of estimation, and, trading system design using events, social media and big data.Here is an indicative list of projects where I have been involved with a leading role:
- Digital Business Data Services, Analytics and Consulting for Investment and Corporate Exploration, UEA Associate Dean of Enterprise’s Competition for the Social Sciences Faculty, £5,000.
- Mastering Electricity Markets and Derivatives (2005), Executive Training.
- Project Finance (2009), Executive Training.
- Corporate Real Estate Financing and Management (2003-2006), Executive Training and advisory services, OTEstate SA, Greece.
- Actuarial Research (2009-2010), Advisory services, City of Athens.
- Expert Opinion for £150M Project Finance International Tender (2009-2010), Advisory services, GAIAOSE, Greece.
- Strategic and Business Planning (2006-2007), Advisory services, Athens Olympic Stadium.
- Audit of end-users funded under European Regional Development Fund (2006-2008), leading advisor for AUEB in Grant Thornton-led consortium, £3.8M, Greece.
- Treasury Financial Advisor for a portfolio of €60M placed in capital guaranteed products on FX and international equity indices (2004), Advisory services, OPAP SA, Greece.
- How to expland financing for SMEs (2007-2008), Advisory services, Ministry of Development and Economic Chamber of Greece.
- Securitization of an auto-leasing residual value portfolio of €350M (2003-2005), Advisory services, KGAL, Germany.
- Design, development and implementation of the AutoRisk© leasing risk management software (2001-2005), Advisory services, ASL, Germany.
- Documentation, planning and development of financial analytics (1996-1999), Advisory services, Leading Market Technologies, US.
I am a regular speaker at professional conferences and corporate events. My work has attracted attention by media such as Reuters, Bloomberg, Financial Times, BBC, Daily Telegraph and Daily Mail.
Selection of recent media exposure:
Information Demand and Stock Market Volatility, Invited Speaker at Thomson Reuters News Research Roundtable, November 2010, New York.
Simple but effective way to estimate efficient portfolios, FT (Financial Times) Adviser, June 2012. Read UEA Press release.
- China-UK trade relations, CRI (State-owned international radio broadcaster of China), Today show. Panel discussion with Ma Zhengang (former Ambassador of China to the UK) and Stephen Perry (Chairman of the 48 Group Club), July 2013.
- French wine investors should look overseas, Telegraph, May 2012.
- Building a wine portfolio? Don't just invest in the classiest French vintages, report warns, Daily Mail, May 2012.
- Wine and Champagne Investing, FT (Financial Times) Adviser, June 2012. Read UEA Press release.
- Google search data can predict stock market movement, say UEA and Essex University researchers, East Anglian Daily Times, April 2012.
- Competition judge on NBS-funded 6th China UK Entrepreneurship, Propeller TV, July 2013. See also coverage on People Daily.
- Launch of 7th China UK Entrepreneurship Competition, interviewed on Propeller TV, March 2014. See also press release by Chinese Embassy and article in Business Weekly.
- Research on Google Trends and financial markets, BBC Radio Norfolk interview, April 2012. Read UEA Press release.
- Link between selling, leasing market prices for cars studied, February, 2014. Read UEA Press release.
- Google search linked to stock market movements, HedgeWeek, April 2012.
- New Study Removes Uncertainty From Efficient Portfolio Theory, Global Money Management, April 2012.
- Class acts - The tricky business of trading new asset markets, Automated Trader, interview by Adam Cox, Q1, 2013.