ΒΙΟΓΡΑΦΙΚΟ ΣΗΜΕΙΩΜΑ
Απόστολος Ν. ΡΕΦΕΝΕΣ
ΣΥΝΟΨH
Ο Απόστολος Ρεφενές (Bsc Mathematics & Computing 1984, PhD Computing 1987) είναι Καθηγητής Χρηματοοικονομικής στο Οικονομικό Πανεπιστήμιο
Αθηνών. Έχει διατελέσει Αναπληρωτής Καθηγητής της Επιστήμης των Αποφάσεων και
Διευθυντής του Προγράμματος Computational Finance στο London Business School, senior research fellow στο University College London, επισκέπτης καθηγητής στο Πανεπιστήμιο Αθηνών,
επιστημονικός σύμβουλος στο Βρετανικό Υπουργείο Εμπορίου και Βιομηχανίας και
μέλος της υποεπιτροπής “Technology Foresight on Financial Services” του Βρετανικού Υπουργικού Συμβουλίου, Μέλος της Επιτροπής
Ανταγωνισμού, Γενικός Διευθυντής της ΟΠΑΠ International, μέλος του Δ.Σ. της
ΟΠΑΠ Α.Ε.. Έχει διατελέσει επιστημονικός σύμβουλος
σε πολλά χρηματοοικονομικά και πιστωτικά ιδρύματα, όπως Morgan-Stanley, CitiBank, Barclays, Dresdner, BNP, Societe General, Smith New Court, Golden Cross, και άλλους οργανισμούς μεταξύ των
οποίων και η Ευρωπαϊκή Επιτροπή.
Έχει δημοσιεύσει περισσότερες από 100 εργασίες, είναι συγγραφέας τριών
βιβλίων, και έχει επιμεληθεί της έκδοσης τεσσάρων τόμων σε θέματα
χρηματοοικονομικής μηχανικής. Αποδέκτης χρηματοτοδότησης για βασική έρευνα από
δημόσιους και ιδιωτικούς οργανισμούς της τάξεως των $10 εκ. Associate
editor των περιοδικών Intelligent
Systems in Accounting and Finance, International Journal of
Computational Intelligence & Organisations, guest editor του περιοδικού Journal of Forecasting, editor της σειράς βιβλίων Studies in
Computational Finance (Kluwer), και μέλος της επιτροπής σύνταξης του περιοδικού Neural
Computing & Applications. Ιδρυτής του διεθνούς συνεδρίου Computational
Finance
το 1993 και στη συνέχεια διετέλεσε γενικός πρόεδρος (General Chair) στα συνέδρια NnCM-95, Computational
Finance 1997 και Computational
Finance 2000, International Chair για το κοινό συνέδριο IEEE/IAFE Computational Intelligence in Financial
Engineering. Μέλος οργανωτικής επιτροπής σε πολυάριθμα άλλα διεθνή συνέδρια μεταξύ των οποίων συμπεριλαμβάνονται τα: World Congress on Neural Networks, International
Conference on Artificial Neural Networks, International Conference on
Neural Information Processing Systems, Euromicro, the IEE annual
conference on ANNS, ICANN, κ.λ.π.
Η διδακτική του εμπειρία συμπεριλαμβάνει: χρηματοοικονομική διοίκηση,
οικονομετρία της χρηματοοικονομικής, μαθηματικά χρηματοοικονομικής, και
υπολογιστική χρηματοοικονομική. Η τρέχουσα διδακτική του δραστηριότητα συμπεριλαμβάνει
τμήματα MBA, Masters in Finance και διδακτορικών φοιτητών στο London Business School και Masters in Financial Engineering στο Οικονομικό Πανεπιστήμιο Αθηνών. Στο παρελθόν έχει
διδάξει σε τμήματα MSc και BSc πληροφορικής στο University College London. Έχει αναπτύξει και διδάξει αυτοδύναμα εντατικά
προγράμματα σπουδών (short executive courses) σε financial econometrics, advanced quantitative methods, advanced data analysis και forecasting. Η διδακτική του
δράση περιλαμβάνει πανεπιστημιακές διαλέξεις και εντατικά προγράμματα σπουδών
σε περισσότερες από 20 χώρες στην Ευρώπη, Ασία, Βόρεια και Νότια Αμερική.
Η τρέχουσα έρευνά του σε Χρηματοοικονομική Διοίκηση, Financial Engineering και Computational Finance χρηματοδοτείται εν μέρει από δημόσιους φορείς όπως ESRC, το DTI, IST και εν μέρει από μεγάλα χρηματοοικονομικά και πιστωτικά
ιδρύματα όπως μεταξύ άλλων Dresdner, Citibank, Schroders, Τράπεζα Ελλάδος,
κλπ. Εργασίες του σε θέματα μεθοδολογίας όπως ταυτοποίηση οικονομετρικών
υποδειγμάτων, εκτίμηση παραμέτρων, οικονομετρικού έλεγχου πληρότητας και
ευρύτερα θέματα μεθοδολογίας σχεδιασμού νευρωνικών δικτύων, έχουν γίνει
αντικείμενο εκτεταμένων αναφορών και παραπομπών. Εφηρμοσμένη έρευνα
συμπεριλαμβάνει: τακτική διαχείριση κεφαλαίων, factor models for equity investment, dynamic risk management, nonlinear cointegration, διαχείριση συναλλαγματικού κινδύνου, κλπ. Τα δημοσιεύματά του εμφανίζονται σε περιοδικά όπως Journal of
Forecasting, Journal of
Futures Markets, Journal of Risk
Finance,
IEEE
Trans on Neural Networks, Neural
Networks, Risk, κλπ. Επίκαιρες πτυχές του έργου του έχουν απασχολήσει τον περιοδικό επιστημονικό τύπο όπως Scientific American,
The New Scientist, Nature, Risk, IEEE spectrum, και τον ημερήσιο τύπο όπως The Financial Times, The Times,
The Independent, The Guardian, The Daily Telegraph, κλπ. Προσκεκλημένος ομιλητής σε πολυάριθμα
διεθνή συνέδρια & συμπόσια. Επωνύμως καταχωρημένος στο «who is who
in the World».
ΠΡΟΣΩΠΙΚΑ ΣΤΟΙΧΕΙΑ
|
|
|
|
|
|
ΟΝΟΜΑ |
Απόστολος Νικολάου Ρεφενές |
|
|
ΔΙΕΥΘΥΝΣΗ |
Μενελάου 40, Βούλα, Αθήνα |
|
|
TΗΛΕΦΩΝΑ |
(++30 210) 82 03 670 |
|
|
13
Δεκεμβρίου 1958 |
ΠΑΡΟΥΣΑ ΘΕΣΗ
Καθηγητής,
Οικονομικό Πανεπιστήμιο Αθηνών
Διευθυντής,
Μονάδα Χρηματοοικονομικών Ερευνών, Οικονομικό Πανεπιστήμιο Αθηνών
ΣΠΟΥΔΕΣ
PhD in
Computer Science, University of Reading, (1987).
BSc (Hons)
in Mathematics and Computing, University of North London, (1984).
ΑΚΑΔΗΜΑΙΚΗ
ΠΕΙΡΑ
RESEARCH
|
(1995 - 2000) |
Associate Professor in Decision
Science, London Business School |
|
(1996 - 2000) |
Director, Computational Finance
Programme, London Business School |
|
(1994 - 1996) |
Director, NeuroForecasting Club,
London Business School |
|
(1989 - 1993) |
Senior Research Fellow, University
College London |
|
(1987 - 1989) |
Research Associate, University
College London |
|
|
|
|
(1994 - 1996) |
Visiting Professor, University of
Athens |
|
(1994 - 1995) |
Visiting Senior Research Fellow,
London Business School |
|
(1990 - 1992) |
Visiting Science Advisor, Department
of Trade & Industry |
ADMINISTRATIVE
|
(2003 - 2005) |
Chair, Student Club, AUEB |
|
(2001 - 2003) |
Deputy Chair, Department of
Management Science, AUEB |
|
(1990 - 1991) |
Chair, CEC Advanced Informatics in Medicine Working Group |
|
(1990 - 1991) |
Chair, DTI Mission to Assess Japanese FGCS Programme |
|
(1989 - 1990) |
Member, ESPRIT experts group for the
Parallel Computing Action |
ΕΠΑΓΓΕΛΜΑΤΙΚΗ ΠΕΙΡΑ
|
(2004 -2005) |
Chief Executive, OPAP International
Ltd. |
|
(2005
- ) |
Μέλος,
Επιτροπή Ανταγωνισμού |
|
(2004 - 2004) |
Board Member, OPAP S.A.,
Non-Executive Director, |
|
(1994 - 2000) |
Panel Member, UK Cabinet Office, OST;
Financial Services ForeSight |
|
(1993 - 1999) |
Chairman, Hughes Financial Analytics
Ltd |
EDITORIAL
|
Assoc. Editor |
|
Intelligent Systems in Accounting & Finance, Wileys,
(1998 - ) |
|
Assoc. Editor |
|
Int. Journal of Computational Intelligence &
Organisations, IJCIO (1995-) |
|
Guest Editor |
|
Journal of Forecasting, Special Issue,
co-edited H.White, Vol. 17(1998) |
|
Editorial Board |
|
Neural Computing & Applications Journal,
Springer Verlag, (1991 - ) |
|
Editor |
|
Neural Networks in the Capital Markets, Wiley & Sons, Book
(1995) |
|
Editor |
|
Proc. First Int. Wrksp. "Neural
Networks in the Capital Markets", (1993) |
|
Series Editor |
|
Computational Finance, Kluwer Academic, Book Series
(1998 -) |
|
Co-editor |
|
Decision Technologies for Financial Engineering, WSP, Book (1997) |
|
Co-editor |
|
Neural Networks in Financial Markets, Proc. NnCM96 WSP, Book (1996) |
|
Co-editor |
|
Decision Technologies in Computational Finance, Kluwer,
Academic Proc. Computational Finance 1997, Book (1998). |
ΟΡΓΑΝΩΣΗ ΣΥΝΕΔΡΙΩΝ
|
General Chair |
COMPUTATIONAL
FINANCE 2000, London (May 2000). |
|
General Chair |
COMPUTATIONAL
FINANCE 1997, London (October 1997). |
|
General Chair |
3rd International Conference on
"Neural Networks in the Capital Markets", NnCM, London (Oct. 1995). |
|
General Chair |
International Workshop on
"Neural Networks in the Capital Markets" London Nov. 18-19 (1993). |
|
International Chair |
Joint IEEE/IAFE Int. Conf. on "Computational
Intelligence in Financial Engineering", New York, Spring 1995. |
|
Session Chair |
"Dynamical Systems in Financial
Engineering", WCNN (1995):- World Congress on
Neural Networks Washington DC (1995). |
|
Session Chair |
Sixth European Congress on
Intelligent Techniques & Soft Computing, Non-Parametric Methods in
Financial Econometrics, Aachen, Sept. 98. |
|
Programme Committee |
Computational Finance 1998, New York,
NYU, Stern (1994 - ) |
|
Programme Committee |
International ICSC Symposium on Soft
Computing in the Financial Markets), June 1999, Rochester, NY, USA, (1999). |
|
Programme
Committee |
Engineering
Applications of Neural Networks (EANN'99),
13-15 September 1999, Warsaw, Poland. |
|
Programme
Committee |
World Congress on Neural Networks, WCNN (1995 -) |
|
Programme
Committee |
International Conference on Artificial Neural Networks,
ICANN (1995-) |
|
Programme
Committee |
International
Conference on Neural Information Processing Systems, ICONIPS (1995 -) |
|
Programme
Committee |
IEE International Conference on ANNS, IEE (1992 - 1996) |
INVITED/PLENARY
TALKS - Conferences (1993 - )
|
Keynote
address |
ICANN'
93,
International Conference on Neural Networks, "Neural Networks in the
Capital Markets", Amsterdam, (Sept. 1993). |
|
Keynote address |
NIPS'
93,
"Non-linear methods in Financial Engineering", Denver, Colorado, (Dec. 1993). |
|
Keynote
address |
IEEE,
Int. Conf. Computational Intelligence, Perth, Australia (Nov. 95) |
|
Invited
Speaker |
IIR
Quantitative Portfolio Investment Techniques, London, (Oct.
1999). |
|
Invited
speaker |
EQMC,
Non-parametric Methods in Quantitative Marketing, Madrid, (July 1998). |
|
Invited speaker |
NnCM 96, (Neural Networks in the
Capital Markets). Pasadena, CA, (Nov. 1996). |
|
Invited speaker |
ICONIPS96, (Int.
Conf. on Neural Information Processing). Hong-Kong, (Sept. 1996). |
|
Invited speaker |
CIFEr’95 (Computational Intelligence in
Financial Engineering). The first joint IEEE/IAFE int. conference on the
topic. NY, NY, (April 1995). |
|
Invited speaker |
RISK, Risk Conference on Model
Risk, "Evaluating and Managing Model Risk in the Non linear
Context", NY, NY (Oct. 1995). |
|
Invited speaker |
WCNN’94,
World Congress on Neural Networks, "Neural Networks in Investment
Management", San Diego June 1994. |
|
Invited speaker |
IBC, Fifth Annual Forum,
Advanced Technologies for Trading & Asset Management, "Nonlinear
Data Analysis and Forecasting in Investment Management:, New York July 20, 21
(1994). |
|
Invited speaker |
IBC, 5th
Annual Symp., Intelligent Systems in Business & Finance, "Neural
Networks in Financial Engineering", London Feb. (1994). |
|
Invited speaker |
IIR'
93,
Institute for International Research, conference on "Software tools fur
portfolio management und trading", Frankfurt, (April. 1993). |
|
Invited speaker |
IIR'
93,
Institute for International Research, conference on "Modernes Portfolio Management", Frankfurt, (Sept.
1993). |
|
Invited discussant |
Economic Notes (Risks Involving Derivatives), Sienna, (Dec. 1996). |
Προσκεκλημένος ομιλητής σε πολλά άλλα συνέδρια και workshops στη
Βρεττανία και άλλες χώρες μεταξύ των οποίων Global Derivatives 95 (Paris), RISK (NY), BNCNN-95
(Curitiba, Brasil), NIPT-91 (Tokyo), IWIC (USSR), BCS, International Neural
Networks Society, NCAF, IBC, Cambridge University "Advances in Options
Research", κλπ).
ΔΡΑΣΤΗΡΙΟΤΗΤΑ ΚΡΙΤΗ (REFEREEING ACTIVITIES)
¨ UK
Research Councils ESRC/EPSRC
¨ Commission
of the European Communities ESPRIT
¨ Hong Kong
University Grants Committee
¨ Cyprus
University Grants Committee
¨ IEEE
Trans. on Neural Networks
¨ IEEE
Trans. on Knowledge and Data Engineering
¨ Neural
Networks
¨ Neural
Computation
¨ Neural
Computing and Applications
¨ Neurocomputing
¨ Neural
Information Processing Systems
¨ Pattern
Analysis and Applications
¨ Computational
Statistics & Data Analysis
¨ Management
Science
¨ International
Journal of Forecasting
¨ European
Journal of Operational Research
¨ Computers
and Operations Research
¨ Journal of
Business Finance and Accounting
¨ Journal of
Defence Economics
¨ Journal of
Mathematics Applied to Business and Industry
RECENT MEDIA
Επίκαιρες
πτυχές του έργου του έχουν απασχολήσει τον περιοδικό επιστημονικό τύπο όπως
|
|
|
|
¨ Scientific
American |
¨ The
Financial Times |
|
¨ The New
Scientist |
¨ The
Independent |
|
¨ Nature |
¨ The
Guardian |
|
¨ Risk |
¨ The
Daily Telegraph |
|
¨ IEEE
spectrum |
¨ Machine
Intelligence News |
|
¨ Canadian
Business Magazine |
¨ Expert
System Applications and others. |
|
¨ Journal
of Global Investment |
¨ Listed
in who-is-who in the World |
|
¨ Managed
Derivatives |
|
|
|
|
|
|
|
ΣΥΜΒΟΥΛΕΥΤΙΚΕΣ ΥΠΗΡΕΣΙΕΣ (CONSULTING)
¨
CITIBANK
¨ Morgan
Stanley
¨ Barclays
BZW
¨ Credit
Lyonaisse
¨ Societe
Generale
¨ Dresdner
Bank
¨ Deutsche
Morgan Grenfell
¨ Reuters
Plc
¨ County
NatWest Investment Management
¨ Smith New
Court
¨ Golden
Cross
¨ Bradford
& Bigley Building Soc.
¨ Abbey
National
¨ Barclays
UKBS
¨
ECONOSTAT
¨ Shell
¨
IBM
¨ UK Department of Trade & Industry
¨ EU ESPRIT advisory board
ΔΙΔΑΚΤΙΚΗ
ΠΕΙΡΑ
Executive
Courses
¨ Mastering
Advanced Quantitative Methods, Athens University of Economics and Business
¨ Financial
Engineering and Risk Management, GC, Brazil
¨ Pricing
Options, Futures and other Derivative Securities with Nonparametric Methods,
Golden Cross
¨ Factor Models
for Tactical Asset Allocation, Citibank, Singapore
¨ Advanced
Quantitative Investment Methods, Forum, Frankfurt.
¨ Advanced
Forecasting Methods for Financial Engineering, London Business School
¨ Neural
Networks in Financial Economics, Int. Center for Monetary & Banking
Studies, Geneva
¨ Tactical Asset
Allocation, International Faculty of Finance, London
Graduate
Courses
¨ Financial
Mathematics (Stochastic Processes, stochastic flows and differential equations)
¨ Financial
Econometrics (Time Series, ARCH/GARCH, State-Space
Models, Neural Networks)
¨ Stochastic
Optimisation and Genetic Algorithms
¨ Computational
Finance (Numerical methods, Re-sampling, Monte-Carlo, Bootstrap Statistics)
¨ Uncertainty
Analysis and Hypothesis Testing
Undergraduate
Courses
¨ Foundations of
Investment Management, HK
¨ International
Investment Decisions in Emerging Markets, Singapore
¨ Systems
Analysis, UCL
¨ Networks and
Architectures, UCL
¨ Neural
Networks, UCL
ΕΠΙΒΛΕΨΗ ΔΙΔΑΚΤΟΡΙΚΩΝ ΔΙΑΤΡΙΒΩΝ
¨ Dotsis G., “Jumps
and Estimation Risk in Finance and Decision Making”, Athens University of
Economics & Business, PhD, (2006).
¨ Psychoyios
D. “Αντιστάθμιση
Κινδύνου Μεταβλητότητας”, Athens University of Economics & Business, PhD,
(2006).
¨ Skintzi V., “Δυναμικά
Μοντέλα Συσχέτισης”, Athens University of Economics & Business, PhD,
(2004).
¨ Towers N.
“Evolutionary Methods for Decision and Risk Analysis in Active Investment
management”, London Business School, PhD (2000).
¨ Bolland P., “Robust
Neural Estimation and Diagnostics”, PhD, London Business School, (June 1998).
¨ Bentz Y.,
“Identifying and Modelling Conditional Factor Sensitivities: Applications in
Equity Investment”, PhD, London Business School, (Nov. 1999).
¨ Burgess A. N., A
Computational Intelligence Methodology for forecasting noisy, non-stationary
time-series, London Business School, PhD, (Nov. 1999).
¨ Holt W.,
“Statistical Diagnostics and Test Procedures for Neural Models”, London
Business School, PhD (Feb. 1999).
¨ Pandelidaki S., “Neural
and Econometric Models for Sales Forecasting”, London Business School, PhD
(Nov. 1998).
¨ Zapranis A., “A
Methodology for Neural Model Identification, Variable Selection, and Adequacy
Testing”, PhD, London Business School, (June 1997).
¨ Azema-Barac M., “Parallel
Neural Network Architectures”, PhD University College London, (1994).
¨ Balou A., “A Basic
Object Oriented Platform for the execution of high-level OO languages”, PhD University
College London, (1995).
¨ Oliveira C., “A
Distributed Object-Oriented Machine for Parallel Processing”, PhD University
College London (1994).
ΕΡΕΥΝΗΤΙΚΗ ΔΡΑΣΤΗΡΙΟΤΗΤΑ
Η ερευνητική δραστηριότητα του Α.
Ρεφενέ αποτελείται από τρεις θεματικές ενότητες. Αρχίζει το 1984 με θέματα
Τεχνολογίας Υπολογιστών και εξελίσσεται σταδιακά σε θέματα Τεχνολογίας των
Αποφάσεων και την εφαρμογή της Διοικητικής Επιστήμης στον τομέα της
Χρηματοοικονομικής. Η πρώτη θεματική
ενότητα (την περίοδο 1987-1990) ξεκινά με τη Διδακτορική Διατριβή του και
εστιάζει σε θέματα πληροφορικής και πιο συγκεκριμένα σε αρχιτεκτονικές
υπολογιστών για Συστήματα Υποστήριξης Αποφάσεων (Decision Support Systems),
όπως Knowledge based systems, Neural Networks, Object Oriented Environments. Η δεύτερη
θεματική ενότητα (την περίοδο 1989-1992) εστιάζει σε Συστήματα Υποστήριξης Αποφάσεων και εφαρμογές σε τομείς όπως image understanding, voice recognition, medical diagnosis και database marketing. Η τρίτη θεματική ενότητα εστιάζει
στην ανάπτυξη και εφαρμογή αυτών των συστημάτων και γενικότερα της Διοικητικής
Επιστήμης στον τομέα της Χρηματοοικονομικής.
Η τρέχουσα ερευνητική δραστηριότητα στο
Decision Technology Centre, London Business School αφορά θέματα μεθοδολογίας και εφαρμογής. Στο επίπεδο της
μεθοδολογίας η έρευνα εστιάζει στην ανάπτυξη μη-γραμμικών μεθόδων για ανάλυση
δεδομένων, προβλεψιμότητα και πρόβλεψη.
Τα κύρια ερευνητικά θέματα καλύπτουν τα εξής:
Nonparametric models & machine learning: εκτίμηση μη-παραμετρικών υποδειγμάτων και αλγόριθμοι εκμάθησης
βασιζόμενοι στη μεθοδολογία των νευρωνικών δικτύων.
Model selection / specification:
μεθοδολογίες ταυτοποίησης νευρωνικών υποδειγμάτων και διάγνωση-ανάλυση
υπολειμμάτων και οικονομετρικοί έλεγχοι για την πιστοποίηση πληρότητας
μη-γραμμικών υποδειγμάτων [identification procedures for mispecified neural network models; and diagnostics/residual analysis for non-linear model mis-specification).
Hypothesis testing & confidence intervals: ανάπτυξη θεωρητικών και εμπειρικών κατανομών για τον
οικονομετρικό έλεγχο υποθέσεων και διαστημάτων εμπιστοσύνης για νευρωνικά
υποδείγματα. (development of distribution
theory for hypothesis testing and confidence intervals on parameter/variable
significance estimation).
Robust model
estimation:
διαδικασίες και αλγόριθμοι εκτίμησης και διάγνωσης - outlier- and
leverage-resistent estimation procedures for neural models and diagnostics for
outlier/leverage identification in the context of nonlinear models.
Parameter
sensitivity & prediction uncertainty: ευαισθησία μη-γραμμικών υποδειγμάτων και αξιοπιστία προβλέψεων - model sensitivity to sampling variance and parameter
perturbations. Bounds for prediction uncertainty.
Nonlinear
cointegration: ανάπτυξη και ταυτοποίηση υποδειγμάτων μη-γραμμικής συνολοκλήρωσης - development
and identification of nonlinear models with error correcting terms on
cross-sectional as well as time series data.
Generalised
Nonlinear Least Squares Models: ανάπτυξη και εφαρμογή ειδικών μεθόδων GLS για μη γραμμικά υποδείγματα - development and application of GLS methods for nonlinear
models to deal with problems of stationarity, level changes, etc.
Την
τελευταία πενταετία ο Ρεφενές είναι αποδέκτης χρηματοτοδότησης για βασική
έρευνα από δημόσιους και ιδιωτικούς οργανισμούς της τάξεως των $10 εκ για την
μελέτη και εφαρμογή της παραπάνω μεθοδολογίας αλλά και ευρύτερα της Διοικητικής
Επιστήμης σε θέματα Χρηματοοικονομικής, όπως:
Factor Models for Tactical Asset Allocation: τα υποδείγματα αυτά (Factor models) έχουν ευρεία χρήση στην στατική διαχείριση
χαρτοφυλακίων. Το παρόν project επεκτείνει την
χρήση των υποδειγμάτων στο χώρο της τακτικής διαχείρισης χαρτοφυλακίων (tactical asset allocation) όπου η διαφορά
αποδόσεων μεταξύ ομόλογων, μετοχών και ρευστών μπορεί να εξηγηθεί μέσω των
μεταβολών διαφόρων μακροοικονομικών μεγεθών. Η προσέγγιση διευρύνει την υπόθεση
γραμμικότητας στην εξάρτηση και χρησιμοποιεί νευρωνικά υποδείγματα αντί
γραμμικής παλινδρόμησης για να εξετάσει την εξάρτηση των σχετικών αποδόσεων (equity premium) από μεταβολές σε 17 μακροοικονομικούς παράγοντες. With: Postel (Hermes) Investment Management.
Arbitrage Models for
Tactical Asset Allocation: τα υποδείγματα αυτά (Statistical
arbitrage models) αρχίζουν να αποκτούν ευρεία χρήση στην τακτική διαχείριση χαρτοφυλακίων σαν εναλλακτική προσέγγιση των factor
models. Το παρόν project επεκτείνει την χρήση τους επιχειρώντας να αξιοποιήσει προσωρινές ανωμαλίες
στις τιμές των ομολόγων και μετοχών. With: Societe Generale.
Factor Models for Equity Investment: στη γραμμική τους
μορφή, τα υποδείγματα αυτά (Factor models) έχουν ευρεία χρήση στην διαχείριση μετοχικών χαρτοφυλακίων. Το παρόν project διευρύνει την υπόθεση γραμμικότητας στην εξάρτηση.
Χρησιμοποιούνται υποδείγματα νευρωνικών δικτύων για να μοντελοποιήσουν τη σχέση
μεταξύ μετοχικών αποδόσεων και μακροοικονομικών μεγεθών όπως financial ratios και cyclicity indicators. Τα υποδείγματα εφαρμόζονται σε μετοχές του δείκτη CAC-40 και χρησιμοποιούνται για την δημιουργία χαρτοφυλακίων
τα οποία είναι ουδέτερα (η κατ’επιλογήν ιδιαιτέρως ευαίσθητα) σε μεταβολές
επιλεγμένων παραγόντων. With: Societe Generale and Banque
Nationale de Paris.
Nonlinear Cointegration in European Equity Futures: αναπτύσσει μοντέλα μη-γραμμικής συνολοκλήρωσης στις
ευρωπαϊκές αγορές μετοχικών αξιών. Συγκεκριμένα μεταξύ του δείκτη FTSE και άλλων δεικτών που συμπεριλαμβάνουν τους DAX, EoE, CAC, και SMI. Τα υπολείμματα της συνολοκλήρωσης μοντελοποιούνται σαν
μη-γραμμική συνάρτηση διαφόρων εξωγενών μεταβλητών όπως (e.g. interest rate volatility, oil price changes, etc) οι οποίες επιλέγονται με την μέθοδο ANOVA και νευρωνική ανάλυση.
With: CitiBank.
Forecasting Intra-day Volatility for Option Pricing: μελετά μη-γραμμικά μοντέλα πρόβλεψης της τεκμαρτής
μεταβλητότητας (implied volatility). Είναι από τις πρώτες εργασίες που
εξετάζουν τη δυναμική της συνεπαγόμενης μεταβλητότητας σε υψηλή συχνότητα (i.e.
intraday) και που εντοπίζουν τη μη-γραμμική εξάρτησή της από παράγοντες όπως:
maturity effect, μεταβολές στις αποδόσεις του υποκείμενου τίτλου κλπ.. Τα
συμπεράσματα της εργασίας αυτής έχουν σημαντικές συνέπειες για τους market
makers. With: CitiBank.
Modelling Quarterly Returns on the FTSE-ALSH and S&P 500: εξετάζει τη χρήση
των νευρωνικών δικτύων σαν εναλλακτική προσέγγιση στην πρόβλεψη
χρηματιστηριακών αξιών. Αποδεικνύεται ότι τα νευρωνικά δίκτυα προφέρουν
καλύτερες προβλέψεις σε σχέση με την γραμμική παλινδρόμηση στην περίπτωση των
τριμηνιαίων αποδόσεων του δείκτη FTSE All share. Το αποτέλεσμα αυτό σε
συνδυασμό με την ανάλυση ευαισθησίας που επακολουθεί, υποστηρίζουν την υπόθεση
ύπαρξης μη γραμμικής σχέσης μεταξύ των αποδόσεων του δείκτη και μακροοικονομικών
μεταβλητών σε αντίθεση με την γραμμική παλινδρόμηση η οποία αποτυγχάνει να
αναγνωρίσει εμφανείς σχέσεις μη-γραμμικότητας. With: Henderson
Administration.
Στην
προηγούμενη θέση του σαν Senior Research Fellow στο University College London είχε την επίβλεψη πολλών άλλων ερευνητικών προγραμμάτων.
PUBLICATIONS
books
and special issues
[1]
Refenes A-P. N., and White H. (ed), "Neural Networks
and Financial Economics", Journal of Forecasting, special issue,
Vol. 17, 5-6., (1998).
[2]
Refenes A-P. N., Burgess A. N. and Moody J., (1998)
“Decision Technologies for Computational Finance”, Proc. Computational Finance
1997, Kluwer Academic, ISBN Hardback: 0 7923 8308 7; ISBN Paperback 0 7923 8309
5
[3]
Refenes A-P. N., Abu-Mostafa Y., Moody J., and Weigend A.
(ed), "Neural Networks in Financial Engineering", World Scientific,
Singapore, (1996), ISBN 981-02-2480x.
[4]
Refenes A.-P N. (ed), "Neural Networks in the Capital
Markets", Wiley & Sons, Chichester, (1995), ISBN 0-471-94364-9.
[5]
Weigend A, Abu-Mostafa Y. and Refenes A-P. N., (ed),
"Decision Technologies for Financial Engineering", World Scientific,
Singapore, (1997), ISBN 981-02-3123-7.
[6]
Zapranis A. D. and Refenes A-P. N., “Principles of Model
Identification, Selection and Adequacy: with Applications in Financial Econometrics”,
(1999), Springer-Verlag, ISBN1-85233-139-9.
[7]
Refenes A.-P. N. (ed) “Quantitative Methods in Finance”,
Typothito-George Dardanos, ISBN 960-402-173-7, Athens (2004)
journals
[8]
Skintzi V. D. and Refenes A-P. N. “Implied Correlation
Index: A new measure of Diversification”, Journal of Futures Markets,
Submitted August 2003, Accepted March (2004).
[9]
Skintzi V. D., Skiadopoulos G, and Refenes A-P. N. “The
effect of misestimating correlation on Value-At-Risk”,
The Journal of Risk Finance, 73(1),Submitted July 2003, Accepted
February (2004).
[10]
Skintzi V. D. and Refenes A-P. N., "Volality spillovers
and dynamic correlation in European Bond Markets”,Journal of International
Financial Markets, Institutions & Money, (submitted, accepted, 2004).
[11]
Carapeto M., Holt W., and Refenes A-P. N. “On model
complexity and selection”, Journal of Statistical Computation and Simulation,
73(1), pp. 45-47, (2003).
[12]
Refenes A-P. N. and Holt W. “Forecasting Volatility with
Neural Regression: a contribution to model adequacy”, IEEE Trans. On Neural
Networks, Vol 12, No.4, 850-865, (July 2001).
[13]
Refenes A-P. N., and Zapranis A. D. "Neural Model
Identification, Variable Selection and Model Adequacy", Journal of
Forecasting, Vol. 18, 299-332, (1999).
[14]
Refenes A-P. N., Burgess A. N., and Bentz Y., "Neural
Networks in Financial Engineering: a study in Methodology", IEEE Trans
on Neural Networks, Vol. 8, No. 6, pp. 1222-1267, November 1997.
[15]
Refenes A-P. N., Bentz Y. Bunn W. D., Burgess A. N. and
Zapranis A. D, "Backpropagation with Discounted Least Squares and its
Application to Financial Time Series Modelling", Neurocomputing,
Vol. 14, no. 2, pp. 123-138 (Feb. 1997).
[16]
Refenes A-P. N., Gonzales Miranda F. and Burgess A. N.,
"Intraday Volatility Forecasting Using Neural Networks. A Comparative
Study with Regression Models", IJCIO (accepted 1996, to appear
1996) Vol. 1:2, pp. 1-56.
[17]
Kolias C. and Refenes A-P. N. “Modelling the Effects of
Defence Spending Reductions Using Neural Networks: Evidence from Greece”, Journal
of Peace Economics and Public Policy, vol. 3. no. 2, pp. 1-12,
(1996).
[18]
Refenes A-P. N., 'Neural Networks in Investement Management:
Testing Strategies & Performance Metrics', Neural Computing &
Applications (revised Sept. 1994, accepted May 1995).
[19]
Burgess A. N., and Refenes A-P. N. “Modelling Nonlinear
Moving Average Processes using Neural Networks with Error Feedback: An
application to implied volatility Forecasting”, European Journal of Signal
Processing, Vol. 74 , Issue (1998).
[20]
Refenes A-P. N., Kollias C., and Zapranis A. N.,
"External Security Determinants of Greek Military Expenditure: An
Empirical Investigation Using Neural Networks", Journal of Defence
Economics, vol. 6. pp. 27-41 (1995).
[21]
Refenes A-P. N., Francis G., and Zapranis A. D., "Stock
Performance Modeling Using Neural Networks: A Comparative Study with Regression
Models", Neural Networks Vol. 7, No. 2, pp 375-388 (1994).
[22]
Refenes A-P. N., "Neural Networks: forecasting
Breakthrough or just a passing fad", International Journal of
Forecasting", 10(1994) 43-46.
[23]
Refenes A-P. N., and Azema-Barac M., "Neural Network
Applications in Financial Asset Management", Neural Computing &
Applications, Vol. 2., no. 1, pp. 13-39. (1994).
[24]
Refenes A-P. N., et al
"Currency Exchange rate prediction and Neural Network Design Strategies",
Neural computing & Applications, Vol 1, no. 1., (1993).
[25]
Tuv E., & Refenes A-P. N., "Removal of Catastrophic
Noise in Hetero-associative Training Samples", Microprocessing and
Microprogramming vol 38., pp. 697-704. (1993).
[26]
Refenes A-P. N., "N-Expression Implementations for
Integrated Symbolic and Numeric Processing", North-Holland Future
Generation Computer Systems vol. 3, no. 3, pp.161 - 187, (Sept. 1987).
[27]
Refenes A-P. N, "Message-passing via Singly
Buffered-channels: an Efficient and Flexible Communications Control
mechanism", The Euromicro Journal, North-Holland, vol. 30, no. 1-5, (Aug. 1990), pp. 645-653.
[28]
Refenes A-P. N., "Parallelism in Knowledge Based
Machines", The Knowledge Engineering Review, Vol. 4 no.1, pp. 53-71
(1989).
[29]
Refenes A-P. N., & Alippi C., "Histological Image
Understanding by Error Backpropagation", Microprocessing and
Microprogramming, North-Holland, vol. 32, (1991) pp .437-446.
[30]
Treleaven P.C. and Refenes A-P. N., "Fifth Generation
and VLSI Architectures", North-Holland FGCS, vol. 1, no. 6, pp.
387-396, (Dec 1985).
[31]
Eberbach E., McCabe S. C., and Refenes A-P. N., "PARLE:
a language for expressing parallelism and integrating symbolic and numeric
processing", The Euromicro Journal, North-Holland, vol. 27, no.
1-5, (Sept. 1989), pp. 207-214.
[32]
Refenes A-P. N., Eberbach E., and Cotronis J.,
"Language Support for Concurrent Symbolic and Numeric Systems", The
Euromicro Journal, (June 1989).
[33]
Balou A., and Refenes A-P. N, "Designing a parallel
Object Oriented Compiler Target language",
The Euromicro Journal, North-Holland, vol. 30, no. 1-5, (Aug. 1990), pp. 457-465.
[34]
Refenes A-P. N., and Balou A., "The Design and
Implementation of VOOM: a parallel Virtual Object-Oriented machine", Microprocessing
and Microprogramming, North-Holland, vol. 32, (1991) pp. 289-296.
[35]
Refenes A-P. N., Bentz Y., and Burgess A. N., "Neural
Networks in Investment Management", Journal of Finance and
Communications, no. 8, April (1994), 95-101.
[36]
Refenes A-P. N. “Neural Model Identification, Variable
Selection & Model Adequacy”, Comment on Serrano-Cinca C., “Feedforward Neural Networks in the
Classification of Financial Information”,
European Journal of Finance, Vol. 3, No. 3, (1997), pp. 183-231.
ISSN 1351-847X.
[37]
Refenes A-P. N. and Burgess A. N. “Comment”, in Arthur W. B.
et al, “Asset Pricing Under heterogeneous Expectations”, Economic Notes
by Banca dei Paschi di Siena, Vol. 26, np. 2, pp. 331-336, (1997).
[38]
Bentz Y., Refenes A-P. N. and Connor J. “Vos donnees
ont-elles un sens? Les systemes intelligents et adapatifs en gestion des actifs
financiers”, la Revue du Financier, No. 109 (1997).pp. 17-32, ISBN
0223-0143.
Conferences
I
(full paper submission, three referees,
rejection rates 70-75%)
[39] Burgess
A-P.N. & Refenes A. N. "A Principled Approach to Neural Network
Modelling of Financial Time Series", Proc. IEEE ICNN'95 Perth
Australia, (Nov. 1995), ISBN 0-7803-1182-5.
[40] Refenes
A-P. N., and Mitrelias C., "Network Pruning by Weight Variance",
Proc. NIPS'93 Denver Colorado, in Cowan J., Tesauro G., and Alspector
J., (ed), "Advances in Neural Information Processing", vol. 6, Morgan
Kaufmann, San Francisco (1994).
[41] Refenes
A-P. N., Zapranis A., and Azema-Barac M., "Stock Ranking: Neural
networks Versus Multiple linear
Regression", Proc. IEEE ICNN'93
San Francisco (March 28 - April s 1993).
[42] Refenes
A-P. N. "Optimizing Connectionist Datasets with ConSTrainer:", Proc.
2nd IEEE Symposium on Parallel & Distributed Processing, IEEE
Computer Society Press 2087, ISBN 0-8186-2087-TH0328-5/90/0000/0806, Dallas -
Texas, (Dec. 9-13 1990).
[43] Refenes
A-P. N., "CLS: An Adaptive Learning Procedure and Its Application to Time
Series Forecasting", Proc. IJCNN-91, Singapore, (Nov. 1991).
[44] Refenes
A-P. N., & Vithlani S. "Constructive Learning by Specialisation",
Proc. ICANN-1991, Elsevier Science Publishers, (Noth Holand), ed Kohonen
T.,(June 1991) pp. 923-929.
[45] Tuv E.,
& Refenes A-P. N., "Handling Malicous Vectors in Hetero-associative
Data Samples", Proc. IJCNN '93, Nagoya Japan (1993).
[46] Balou A.,
& Refenes A-P. N., "VOOM: a parallel Virtual Object-Oriented
machine", 2nd IEEE Symposium on Parallel & Distributed
Processing, Dallas - Texas, IEEE
Computer Society Press 2087, (Dec. 9 - 13 1990).
[47] Refenes
A-P. N., et al "PARLE: A Parallel Target Language for Integrating Symbolic
and Numeric Processing", Lecture Notes in Computer Science,
Springer-Verlag, Vol 365, pp. 181-198, Proc. PARLE-89, Eidhoven, The
Netherlands, June 12-16, 1989.
[48] Burgess A.
N., Bunn D. W. and Refenes A-P. N.
“Neural Networks with Error Feedback Terms for Financial Time Series
Modelling”, Proc. SNN’97, May 21, 1997, Amsterdam.
[49] Refenes
A-P. N. and Connor J. T., "Biasing Towards Integer Solutions ", in
Amari S. et al (eds), Proc.ICONIPS-96,
Springer, Singapore, (1996), pp. 681-689. ISBN 981-3083-03-4.
[50] Diamond
C., Shadbolt J, Azema-Barac M., and Refenes A-P. N. "Neural Networks for Tactical Asset Allocation in the Global Bonds
Markets", Proc. IEE Third International Conference on ANNS, (1993)
pp. 118-122, ISBN 0 85296 573 7.
[51] Refenes
A-P. N., et al "Currency Exchange
Rate Forecasting by Error Backpropagation", Proc. Int. Conf. on System
Sciences, HICCS-25, Kauai, HawaII, Jan. 7-10, (1992), ISBN
0-8186-2435-3.
[52] Refenes
A-P. N., et al "An Integrated
Neural Network System for Image Understanding", in "Machine vision systems
Integration in Industry", SPIE-90, vol 1386, Boston, (Nov. 1990).
[53] Eberbach
E., Cotronis J., and Refenes A-P. N., "Language Transformations for
concurrency control in symbolic and numeric systems", in Proc. Parallel
Computing 89, PARCOM-89, Leiden, The Netherlands, 29 Aug. - 1 Sept
(1989), in Evans D. J. et al (ed),
ISBN: 0-44-88386X.
[54] Refenes
A-P. N., & Chan E. B., "Sound Recognition and Optimal Neural
Network Design", Proc. EUROMICRO-92,
Paris (Sept. 1992).
[55] Azema-Barac
M. M., & Refenes A-P. N., "Neural Network Implementations and Speed-up
on Massivelly Parallel Machines", Proc. EUROMICRO-92, Paris (Sept.
1992).
Book
chapters
[56]
Skintzi V., Skiadopoulos G., Refenes A-P. N. “The Effect of
Misstimating Correlation on Value-At-Risk”, in Refenes A-P. N. (ed),
Quantitative Methods in Finance, Typothito, Athens (2004), pp. 233-269, ISBN
960-402-173-7.
[57]
Holt W., &
Refenes A-P. N., “The D. W. for Neural Models”, in Bol G. et al (eds), “Risk Measurement,
Econometrics, and Neural Networks”, Physica-Verlag, Heidelberg, (1998),
pp.57-69, ISBN 88/2202-5 43210.
[58]
Refenes A-P. N. Gonzalez F. and Burgess A. N., “A Principled
Approach to Time Series Analysis with Neural networks: An Application to
Volatility Forecasting”,. In Fiesler E., and Beale R. (eds) Handbook of Neural
Computation, Oxford University Press, (2002), pp F3.3-42.
[59]
Bolland P., Connor J. T. and Refenes A-P. N., “Application
of Neural Network to Forecast High Frequency Data”, in Dunis C. and Zhou B.
(ed) “Non Linera Modelling of High Frequency Financial Time Series”, Wiley
& Sons, (1998), pp. 225-246, ISBN 0-471-97464-1.
[60]
Refenes A-P. N., and Bolland P. "Modelling quarterly
returns on the FTSE: A comparative study with regression and neural
networks", in Chen C. H. (ed) " Fuzzy logic and Neural Network Handbook",
Computer Engineering Series, chapter 19, McGraw-Hill, N.Y. (1996), ISBN
0-07011189-8.
[61]
Burgess A. N., and Refenes A-P. N., "The Use of Error
Feedback Terms in Neural Network Modelling of Financial Time Series", in
Dunis C. "Forecasting Financial Markets", Wiley & Sons,
Chichester (1996), pp. 261-275, ISBN 0-471-96653-3.
[62]
Refenes A-P. N. and Zapranis A. D., "Neural Networks in
Tactical Asset Allocation: a comparative study with Regression Models", in
Arbib M. A. (ed), "The Handbook of Brain Theory and Neural Networks",
Bradford Books/The MIT Press, 1995, ISBN 0-262-01148-4. Pp.491-495.
[63]
Refenes A-P. N., Zapranis A. D. Connor J. and Bunn D. W.,
"Neural Modelling in Investment Management", in Treleaven P. C. and
Goonatilake S. (ed), "Intelligent Systems For Finance and Business",
pp. 177-208, Wiley & Sons (1995),
ISBN 0-471 94404 1.
[64]
Refenes A-P. N "Neural Networks in Investment
Management: Testing Strategies and Performance Metrics," in Zenios S.,
(ed), "Quantitative Methods, Super computers and AI in Finance", pp.
287-308, Stanley Thornes (1995), ISBN 0 7487 2336 6.
[65]
Refenes A-P. N. "Methods for Optimal Network
Design", in Refenes A. N. "Neural Networks in the Capital
Markets", Wiley & Sons (1995).
[66]
Refenes A-P. N. "Data Modelling Considerations",
in Refenes A. N. "Neural Networks in the Capital Markets", Wiley
& Sons (1995).
[67]
Refenes A-P. N., "Constructive Learning and its
Application to Currency Exchange Rate Prediction", in "Neural Network Applications in
Investment and Finance Services", Turban E., and Trippi R. (eds), Chapter
27, Probus Publishing, Chicago, (1994).
[68]
Refenes A-P. N., Zapranis A. D., & Bentz Y.,
"Modeling Stock returns With Neural Networks", in Lisboa P. G., and
Taylor M, "Neural Networks - II: techniques & Applications",
Ellis Horwood (1994).
[69]
Refenes A-P. N., & Zaidi A., "Managing Exchange
Rate Prediction Strategies with Neural Networks", in Lisboa P. G., and
Taylor M, "Techniques and Applications of Neural Networks", Ellis
Horwood (1993), ISBN 0 13 0 62183 8.
[70]
Refenes A-P. N., "ConSTrainer: A Generic Toolkit For
Connectionist Dataset Selection", in Dorffner G. (ed),
"Konnektionismus in Artificial Intelligence und Kognitionsforschung",
Springer-Verlag, vol 252, (1990), pp. 163-177.
[71]
Refenes A-P. N., "Parallel Abstract Machines: Towards a
Unifying Intermediate Representation?" in Warwick K. (ed) "Applied
Artificial Intelligence", P.Peregrinus, London, (1991) pp. 94-125.
ISBN-0863412459.
[72]
Treleaven P.C., Refenes A-P.N., Lees K.J., McCabe S.C.,
"Computer Architectures for Artificial Intelligence", in "Future
Parallel Computers", Trelevean P. C. and Vaneschi M., (eds),
Springer-Verlag, Lecture Notes in Computer Science, pp. 416-194, (Aug. 1987).
[73]
Refenes A-P. N. and Odjik E. A. M., "European Parallel
Computing", in "Parallel Computers; Object Oriented, Functional,
Logic", Treleaven P. C., (ed), Wiley & sons, London, (1989) pp.1-15.
[74]
Refenes A-P. N. and Bunn D. W., "Neural Networks and
Investment Management", in Skeete H., (ed), "The Handbook of World
Stock and Commodity Exchanges", IFR London (1995), ISBN 1 873446 65 9.
Conferences
II
(programme
committee review, rejection rates 55-60%)
[75]
Skintzi V. D. and Refenes A-P. N., "Volatility
spillovers and dynamic correlation in European Bond Karkets”, in Proc.,
International Bond & Debt Markets Integration Conference, Dublin,
31/05/2004.
[76]
Refenes A-P. N., and Holt W. T. "Non-Linear Models of
Financial Market Volatility”, in Proc., KES-2001, Knowledge Based Intelligent
Information Engineering Systems & Allied Technologies, Osaka, Japan (2001),
Baba N., Jain L. C. and Howlett R. J., (eds), IOS Press, ISBN 1-58603-192-9.
[77]
Refenes A-P. N., Zapranis A. D. and Utans J. "Model Identification, Variable
Selection and Model Adequacy ", Proc. NnCM' 96, Pasadena Nov.
19-21, (1996), also in Weigend A. et al
(ed) Neural Networks in Financial Engineering, World Scientific, Singapore,
(1997), pp. 243-262. ISBN 981-02-3123-7.
[78]
Zapranis A. D. Utans J. and Refenes A-P. N.,
"Specification Tests for Neural Networks: a case study in Tactical Asset
Allocation", Proc. NnCM' 96, Pasadena Nov. 19-21, (1996), also in
Weigend A. et al (ed) Neural Networks
in Financial Engineering, World Scientific, Singapore, (1997),pp 262-276. ISBN 981-02-3123-7.
[79]
Utans J. Holt W. and Refenes A-P. N. "Principle
Component Analysis for Modeling Multi-Currency Portfolios”, Proc. NnCM' 95,
London Oct. 11-13, (1995), also in Weigend A. et al (ed) Neural Networks in Financial Engineering, World
Scientific, Singapore, (1997), ISBN 981-02-3123-7.
[80]
Bentz Y., Refenes A-P. N., and De Laulanie J-F. "Neural
Network Meta-Models of Investment Strategy Performance", Proc. NnCM' 95,
London Oct. 11-13, (1995), also in Refenes A-P. N. et all (ed) Neural Networks
in Financial Engineering, World Scientific, Singapore, (1996), pp. 241-259,
ISBN 981-02-2480x.
[81]
Burgess A. N. and Refenes A-P. N., "Modelling
non-linear Co-integration in International Equity Index Futures", Proc. NnCM'
95, London Oct. 11-13, (1995), also in Refenes A-P. N. et all (ed) Neural
Networks in Financial Engineering, World Scientific, Singapore, (1996), pp.
50-64, ISBN 981-02-2480x.
[82]
Kollias C. and Refenes A-P. N. "Modelling the Effects
of Defense Spending Reductions using Neural Networks: Evidence from
Greece", Proc. ASSA'96, San Francisco (January 5-7, (1996).
[83]
Refenes A-P. N., "Measuring the Performance of Neural
Networks in Modern Portfolio Management", Proc. Unicom-95, in
Taylor J. G. (ed) Neural Networks, Alfred Waller, (1995), ISBN 1 872474276.
[84]
Refenes A-P. N., et al
"Financial Modelling Using Neural Networks", Proc. Unicom 92,
also in Liddell H. (ed) "Commercial Parallel Processing", Unicom,
(Feb. 1992).
[85]
Oliveira C. E. T., & Refenes A-P. N., "BROOM:
Designing a Parallel VLSI Architecture for Object-Oriented Systems", (IV
SBMICRO), Int. Conf. Microelectronics, Brazil, pp. 79-89, 12-14 July 1989.
[86]
Oliveira C. E. T., & Refenes A-P. N., "VLSI design
issues for a Basic Regular Object Oriented machine", IFIP workshop
on "Parallel Architectures on Silicon", Grenoble, (Nov. 1989).
[87]
Refenes A-P. N., and McKay S. C. "Parallel
Multi-Microcomputer Architecture to support the Integration of Symbolic and
Numeric Processing", Proc. Int. Conf. on Parallel Processing for Computer
Vision and Display, University of Leeds, (12-15 Jan. 1988).
[88]
Refenes A-P. N., et al,
"SPAN: Parallel Computer Systems for Integrated Symbolic and Numeric
Processing", in "ESPRIT-88: Putting the Technology to use",
North-Holland, pp.877-890, (Nov. 14-17, 1988).
others
(invited
journal/conference and/or refereed but non-ISBN publications)
[89]
Refenes A-P. N. and Bunn D. W., "Finance and Investment
Technology", Global Investment Management", Vol. 4:2, pp.
20-31, (1995).
[90]
Kollias C. and Refenes A-P. N. "Modelling the Effects
of Defence Spending Reductions on Investment Using Neural Networks in the Case
of Greece", Centre of Planning and Economic Research, Athens, TR-57/96,
(June 1996).
[91]
Refenes A-P. N., Bentz Y. Bunn W. D., Burgess A. N. and
Zapranis A. D, "Backpropagation with Discounted Least Squares and its
Application to Financial Time Series Modelling", Proc. NnCM' 94, Caltech Pasadena,
Nov. 17-18 (1994).
[92]
Refenes A-P. N., "Measuring the performance of Neural
Networks in modern Portfolio Management: Testing Strategies and Metrics",
Proc. NnCM' 94 Caltech Pasadena, Nov. 17-18 (1994)
[93]
Bentz Y., and Refenes A-P. N., "Backpropagation with
Weighted Signs and its Application to Financial Time Series", Proc. NnCM'
94 Caltech Pasadena, Nov. 17-18 (1994).
[94]
Zapranis A. D. and Refenes A-P. N., "Neural Networks in
Tactical Asset Allocation: Towards a Methodology for Hypothesis Testing and Confidence
Intervals:, Proc. NnCM' 94 Caltech Pasadena, Nov. 17-18 (1994).
[95]
Bolland P. J., and Refenes A-P. N., "Analysis o the
Relationship Between Volume, Open Interest and Futures Prices:, Proc. NnCM' 94
Caltech Pasadena, Nov. 17-18 (1994).
[96]
Refenes A-P. N., Bentz Y. Burgess A. N. and Zapranis A. D,
"Backpropagation with Differential Least Squares and its Application to
Financial Time Series Modelling", Proc. Snowbird 1994.
[97]
Refenes A-P. N. (ed), "Neural Networks in the Capital
Markets", Proc. NnCM-93 London Business School, Nov. 17-18 (1993).
[98]
Refenes A-P. N., Francis G., and Zapranis A., "Asset
Management within the APT Framework using Neural Networks", Proc. IFIP,
ORAIS'93: AI in Business and Finance, London (July 27 - 30 1993).
[99]
Refenes A-P. N. and Bilge U., "Sensitivity analysis for
Tactical Asset Allocation in the Global Bond Markets", in Refenes A. N,
(ed) "Neural Networks in the Capital Markets", Proc. NnCM'93 London
Business School, Nov. (1993).
[100]
Refenes A-P. N., Zapranis A. D., & Bentz Y.,
"Modeling Stock returns With Neural Networks", Proc. NnCM '93, London
Business School, Nov. 17-18 (1993).
[101]
Refenes A-P. N. and Bilge U., "Self-Organising Feature
maps in preprocessing datasets for decision support in Histopathology",
NSC/BME-90E, Proc. Int. North Sea Conf. in Biomedical Engineering, Antwerp, (19-22 Nov. 1990).
[102]
Refenes A-P. N., Kollias, C., and Zapranis A., "Arms
Race Modeling using Neural Networks: a case study", Proc. Yapay Zeka
Sempozyum, Instabul, (June 1993).
[103]
Uchida S., and Refenes A-P. N. (eds) "Benchmarking for
Parallel Systems", Proc. 2nd Joint Workshop ICOT/DTI-SERC, Tokyo, (Oct.
15-17, 1990).
[104]
Refenes A-P. N., "Neurocomputing: Key Requirements on
Basic Theory & Enabling Technology", Proc NIPT' 91, Tokyo, (March
13-14, 1991).
[105]
Refenes A-P. N., "NeuroComputing: Themes and
variations", Proc. Int. Workshop, Samarkand, Uzbekistan, USSR, (Sept.
10-17, 1990).
[106]
Refenes A-P. N., "Parallel Computing in Europe and the
UK", Proc. 2nd Joint Workshop ICOT/DTI-SERC, Tokyo, (Oct. 15-17, 1990).
[107]
Refenes A-P. N., "Parallel Knowledge Processing
Computers", Proc. BCS Symp. on "Parallel Architectures for Artificial
Intelligence", Birkbeck College London, (Feb-23 1988), pp. 1-20.
[108]
Refenes A-P. N., "Neural Computing Technology Transfer
Programme", Workplan & Strategy Report, Department of Trade and
Industry, Information Technology Division (Aug. 1991).
[109]
Refenes A-P. N., "Neural Network Design Strategies for
Histological Image Understanding", Proc. Applications of Neural Computing
in Medicine, Institute of Physical Sciences in Medicine, Royal Marsden
Hospital, (April 1992), London.
under
review/pending
[110]
Zapranis A. D., Utans J. and Refenes A-P. N. “Sampling
Variability Estimation Schemes For Neural Models”, Neural Networks
(submitted).
[111]
Holt W. and Refenes A-P. N. “Two residual diagnostic test
statistics for neural regression models”, ISAS ’98, 4th Int. Conf.
On Information Systems Analysis and Synthesis, Orlando-Florida July 12-16 1998
(submitted March 1998, Accepted June 1998).
[112]
Holt W. and Refenes A-P. N. “A principled approach to neural
regression analysis: a case study on the airline data”, Applied Statistics,
Journal of the Royal Statistical Society (submitted, under review).