Profile
| Level | Assistant Professor |
| Name | Grigorios Siourounis |
| Sector | Field of Economic Science |
| Office | New Building, Ζ5, 7 Floor |
| Phone | 2109201856 |
| Degrees |
PhD Economics, London Business School (2005) |
| About |
Gregorios Siourounis is an Assistant Professor in Economic Theory and Policy at the Department of Regional and Economic Studies, Panteion University. He studied economics at the Athens University of Economics and Business and holds an MSc in economics and statistics with full scholarship from Iowa State University (USA) and the Universitat Pompeu Fabra (Spain). He earned his PhD with full scholarship at the London Business School and he was awarded the 2005 Young Economist Award from the European Economic Association and the 2008 Austin Robinson Prize from the Royal Economic Society. He has published a large number of papers in top Economics journals. He is a member of the American Economic Association and the Royal Economic Society and a referee for Econometrica, American Economic Review, Quarterly Journal of Economics, Economic Journal, Review of Economics and Statistics etc. Awards: Young Economist Award, European Economic Association (2005), Austin Robinson Prize, Royal Economic Society (2008) Citations (Google Scholar): 1266 |
| Courses | |
| Recently published |
Very little is known on how traditional risk metrics behave under intraday trading. We fill this void by examining the finiteness of the returns’ moments and assessing the impact of their infinity in a risk management framework. We show that when intraday trading is considered, assuming finite higher order moments, potential losses are materially larger than what the theory predicts, and they increase exponentially as the trading frequency increases – a phenomenon we call superkurtosis. Hence, the use of the current risk management techniques under intraday trading impose threats to the stability of financial markets, given that capital ratios may be severely underestimated. Stavros Degiannakis, George Filis, Grigorios Siourounis, Lorenzo Trapani (2016) |
