Costas Vorlow Ph.D.
Economist
SELECTED PUBLICATIONS & RESEARCH PROJECTS
Most of my current work evolves around business cycle research and trading models utilizing low, medium and high frequency strategies.
Current projects include:
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Recurrence and Cross-Recurrence Quantification analysis of ultrahigh frequency US stock market data.
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Application of SVMs (Support Vector Machines) on high frequency data for intradaily and daily trading strategies.
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Trading strategies utilizing proprietary volatility indices and other market stress indicators.
For more recent work, please refer to IMAR's website at http://www.imarfinance.com
Selected Works
BOOK:
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Co-Editor: Progress in Financial Markets Research, (2012) Editors: Catherine Kyrtsou (University of Macedonia, Thessaloniki, Greece), Costas Vorlow (Director, IMAR, International Markets and Risk, Athens, Greece), New York, Nova Science, (ISBN: 978-1-61122-864-9)
Numerous empirical studies have analysed the identification and nature of the underlying process of an economic system, as well as the influence of information on financial time series. The standard financial theory of efficient markets assumes identical investors having rational expectations of future stock prices. This means that there are no opportunities for speculative profit, and both trading volume and price volatility are not serially correlated. This book approaches key topics such as the above from a novel point of view, by covering theoretical and methodological issues ranging from time series and asset pricing methods to data mining, non-linear or chaotic dynamics and wavelet-based analysis. Order from AMAZON
SELECTED PUBLICATIONS: PEER REVIEWED
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Accounting for outliers and calendar effects in surrogate simulations of stock returns sequences, Physica A, with A. Leontitsis, Vol 368(2), 2006, Pages 522-530.
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Modelling non-linear comovements between time series, Journal of Macroeconomics, with Catherine Kyrtsou, Volume 31, Issue 1, March 2009, Pages 200-211.
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Review paper: M. Benoit and R.L. Hudson, The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin and Reward, Basic Books, New York (2004) (xxiv + 328 pp., $27.50, ISBN 0-465-04355-0). Journal of Economic Behavior & Organization, Volume 61, Issue 3, November 2006, Pages 513-515
BOOK CONTRIBUTIONS:
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'Complex Dynamics in Macroeconomics: A Novel Approach,' with Catherine Kyrtsou, in New Trends in Macroeconomics, Springer Verlag, 2005 (ISBN: 3-540-21448-8). Order from AMAZON.
In this work we employ the Recurrence Quantification Analysis (RQA) framework, effective in discovering evidence of non-linear determinism and complex dynamics in short, noisy and irregular signals. We apply RQA to a set of US macroeconomic time series and simulated sequences in order to provide a classification based on topological aspects of their dynamics. Through RQA we can in general obtain useful information on the quality and complexity of the structure of the dynamics in an economy, as this is embedded in its macroeconomic time series.
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'Simple Tactical Asset Allocation Strategies on the S&P 500 and the Impact of VIX Fluctuations', in
Handbook of Investors' Behavior During Financial Crises, Elsevier, June 2017 (ISBN: 9780128112526, Academic Press), Order from AMAZON.
The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades.
MAGAZINES, PRESS AND PROFESSIONAL PUBLICATIONS (in Greek and English):
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'Variable SPY-TLT allocations, adapted to market conditions according to VIX', July 2015, Traders.GR, Greek online edition, http://www.traders-mag.gr/ebook/2015/07_08/index.html#48
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'Smooth P&L curves: Application on SPY-TLT trading strategies', December 2015, Traders.GR, Greek online edition, http://www.traders-mag.gr/ebook/2015/12/index.html#42
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'Deep Learning in Finance', December 2016, Traders.GR, Greek online edition, http://www.traders-mag.gr/ebook/2016/12_01/files/assets/basic-html/page-64.html