Academic staff
Nikolaos Thomaidis
Assistant Professor

Studies

2002-2007
Doctor of Philosophy (PhD) in Computational Methods for Financial Engineering, Department of Financial & Management Engineering, University of the Aegean, Greece

2001-2002
Master of Science in Mathematics & Finance, Department of Mathematics & Business School, Imperial College London, UK

1995-2001
Diploma in Production Engineering & Management, Technical University of Crete, Greece (5-year engineering degree)

 

Experience - Academic Positions

Director of Applied Economics Lab (AELab), School of Economics, Aristotle University of Thessaloniki, Greece (Nov 2018 - today)
Assistant Professor in Econometrics, School of Economics, Aristotle University of Thessaloniki (May 2017- today)
Lecturer in Econometrics, School of Economics, Aristotle University of Thessaloniki, Greece (Apr 2014 - today)
Visiting Professor, School of Science and Technology, International Hellenic University, Greece (Mar 2019 – today)
Visiting Professor, School of Social Sciences, Hellenic Open University (Mar 2019 – Jul 2019, Oct 2019 – today)
Adjunct Lecturer in Computational Methods for Finance, Department of Financial & Management Engineering, University of the Aegean, Greece (Mar 2007 – Feb 2014)
Senior Research Fellow in Quantitative Trading Strategies, Kepler Asset Management, 100 North Country Road, Setauket, New York 11733 (Jan 2007 –Feb 2009)

 

Research interests

Nonlinear Time-Series Analysis
Econometric analysis of energy markets
Economic evaluation of renewable energy projects
Economic appraisal and risk assessment of energy investments
Pairs trading, statistical arbitrage and quantitative investment strategies
Multivariate models of the dependence structure of asset returns (Constant Conditional Correlation, Dynamic Conditional Correlation, Copulas)
Computational Finance, Portfolio Optimization, Option Pricing Models
Artificial Neural Networks
Advanced computational techniques in portfolio optimization and the estimation of complex econometric models (Genetic Algorithms, Particle Swarm Optimization, Ant Colonies, Simulated Annealing)

 

Publications - Conferences

Α) Peer-reviewed scientific journals

N.S. Thomaidis, G.H. Dash, and N. Kajiji (2019) “Common Unobserved Determinants of Intraday Electricity Prices”, The Energy Journal (International Association for Energy Economics) 40.
F. J. Santos-Alamillos, D. J. Brayshaw, J. Methven, N. S. Thomaidis, J. A. Ruiz-Arias, D. Pozo-Vázquez (2017), “Exploring the meteorological potential for planning a high performance European Electricity Super-grid: optimal power capacity distribution among countries”, Environmental Research Letters 12, 114030.
F.J. Santos-Alamillos, N.S. Thomaidis, J. Usaola-García, J.A. Ruiz-Arias, D. Pozo-Vázquez (2017), “Exploring the mean-variance portfolio optimization approach for planning wind repowering actions in Spain”, Renewable Energy 106, pp. 335-342.
C. Salagaras, V. P. Koutras, N.S. Thomaidis, V. Vassiliadis, A.N. Platis, G. Dounias, C. Kyriazis (2016), “Resource Availability Modeling and Optimization in a Car Park Management Problem”, International Journal of Operations Research and Information Systems 8(2), pp. 55-67.
F. J. Santos-Alamillos, N.S. Thomaidis, S. Quesada-Ruiz, J.A. Ruiz-Arias, D. Pozo-Vázquez (2016), “Do current wind farms in Spain take maximum advantage of the spatiotemporal balancing of the wind resource?”, Renewable Energy 96 (A), pp. 574-582.
P. Anagnostidis, G. Papachristou, N.S. Thomaidis (2016), “Liquidity commonality in order-driven trading: evidence from the Athens Stock Exchange”, Applied Economics 48 (22), pp. 2007-2021.
N.S. Thomaidis, F. J. Santos-Alamillos, D. Pozo-Vázquez, J. Usaola-García (2016), “Optimal management of wind and solar energy resources”, Computers & Operations Research 66, pp. 284-291.
P. Katsoulis, N.S. Thomaidis, J. Jantzen (2015), “Risk evaluation of wind turbine investments”, Journal of Energy Markets 8 (3).
A. Michiorri, H.M. Nguyen, S. Alessandrini, J. B. Bremnes, S. Dierer, E. Ferrero, B.-E. Nygaard, P. Pinson, N.S. Thomaidis, S. Uski (2015), “Forecasting for dynamic line rating”, Renewable and Sustainable Energy Reviews 52, pp. 1713-1730.
N.S. Thomaidis (2013), “On the application of cointegration analysis in enhanced indexing”, Applied Economics Letters 20 (4), pp. 391-396.
N.S. Thomaidis and G. Dounias (2012), “A comparison of statistical tests for the adequacy of a neural network regression model”, Quantitative Finance 12(3), pp. 437-449.
N.S. Thomaidis, and G. Dounias (2011), “On detecting the optimal structure of a neural network model under strong statistical features in errors”, Journal of Time Series Analysis 32 (3), pp. 204-222.
N.S. Thomaidis, Ε. Roumpis and N. Kondakis (2010), “Optimal portfolio allocation strategies with dynamic factor models”, International Journal on Financial Markets and Derivatives 1 (4), pp 352-370.
N.S. Thomaidis, T. Angelidis, V. Vassiliadis and G. Dounias (2009), “Active portfolio management with cardinality constraints: an application of particle swarm optimization”, Special Issue on New Computational Methods for Financial Engineering, Journal of New Mathematics and Natural Computation 5(3), pp. 535-555.
A. Koulakiotis, K. Lyroudi, N.S. Thomaidis and N. Papasyriopoulos (2009), “The impact of cross-listings on the UK and German stock markets”, Studies in Economics and Finance 27(1), pp. 4-18.
N.S. Thomaidis, V. Vassiliadis and N. Kondakis (2009), “Intra-day returns transmissions between US and European equity markets”, Journal of Financial Decision Making 5(2).
N.S. Thomaidis and G. Dounias (2008), “A hybrid intelligent system for financial time-series forecasting”, International Journal of Engineering Intelligent Systems 16 (4), pp. 193–213.
N.S. Thomaidis, V. Tzastoudis and G. Dounias (2007), “A comparison of neural network model selection strategies for the pricing of S&P 500 stock index options”, International Journal on Artificial Intelligence Tools 16(6), pp. 1093-1113.
N.S. Thomaidis and G. Dounias (2006), “Cointegration and equilibrium - correction models: towards a reconciliation between behavioural finance and econometrics”, The ICFAI Journal of Behavioral Finance III(3), pp. 51-73.
N.S. Thomaidis, N. Nikitakos, G. Dounias (2006), “The evaluation of information technology projects: a fuzzy multicriteria decision-making approach”, International Journal of Information Technology & Decision Making 5(1), pp. 89-122.
N.S. Thomaidis (2005), “The Implications of Behavioural Finance for the Modelling of Securities Prices”, The ICFAI Journal of Behavioral Finance ΙΙ(2), pp. 19-33.
M. Michalopoulos, N.S. Thomaidis, G.D. Dounias and C. Zopounidis (2004), “Using a Fuzzy Sets Approach to Select a Portfolio of Greek Government Bonds”, Fuzzy Economic Review IX (2).

B) Peer-reviewed chapters in volumes

N.S. Thomaidis and V. Vassiliadis (2013), “Stochastic Convergence Analysis of Metaheuristic Optimisation Techniques”, in Ch. Borgelt, M.- A. Gil, J. Sousa and M. Verleysen (eds), Towards Advanced Data Analysis by Combining Soft Computing and Statistics, Springer, pp. 343-357.
N. S. Thomaidis (2011), “A soft computing approach to enhanced indexation”, in A. Brabazon, M. O'Neill, D. Maringer (eds), Natural Computing in Computational Finance (Volume IV), Springer, pp. 61-77.
*V. Vassiliadis, N.S. Thomaidis, G.D. Dounias (2011), “On the performance and convergence properties of hybrid intelligent schemes: application on the portfolio optimization domain”, in C. Di Chio et al. (eds), Applications of Evolutionary Computation, Lecture Notes in Computer Science (LNCS), Springer 6625, pp. 131-140.
N.S. Thomaidis, Ε. Roumpis, V. Karavas (2011), “Quantification of risk and return for portfolio optimization: a comparison of forecasting models”, in G. Gregoriou, R. Pascalau (eds), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, Palgrave –Macmillan, pp. 74-96.
V.N. Karavas, N.S. Thomaidis, G.D. Dounias (2010), “Emerging Markets Exposure: Equities or Hedge Funds?”, in G.N. Gregoriou (ed), Emerging Markets: Performance, Analysis and Innovation, Taylor and Francis Group LLC, pp. 58-78.
*N.S. Thomaidis, G.D. Dounias (2009), “A hybrid neural network-based trading system”, in Ε. Corchado et al. (eds), Hybrid Artificial Intelligent Systems, Lecture Notes in Computer Science (LNCS), Springer 5572, pp. 694-701.
*V. Vassiliadis, N.S. Thomaidis, G.D. Dounias (2009), “Active Portfolio Management under a downside risk framework: comparison of a hybrid nature – inspired scheme”, in Ε. Corchado et al. (eds), Hybrid Artificial Intelligent Systems, Lecture Notes in Computer Science (LNCS), Springer 5572, pp. 702-712.
N.S. Thomaidis (2007), “The Implications of Behavioural Finance for the Modelling of Securities Prices”, in Simantee Sen (ed), Investor Psychology and Financial Markets: Changing Paradigm, ICFAI Books, ISBN: 978-81-314-1952-6 (reprinted from The ICFAI Journal of Behavioral Finance ΙΙ (2), 2005).
*N.S. Thomaidis, N. Kondakis, G. Dounias (2006), “An Intelligent Statistical Arbitrage Trading System”, in G. Antoniou et al. (eds), Advances in Artificial Intelligence, Lecture Notes in Computer Science (LNCS), Springer 3955, pp. 596-599.
*V. Tzastoudis, N.S. Thomaidis, G. Dounias (2006), “Improving Neural Network-Based Option Price Forecasting”, in G. Antoniou et al. (eds), Advances in Artificial Intelligence, Lecture Notes in Computer Science (LNCS), Springer 3955, pp. 378-388.
**Papers that have been selected from previous conference submissions.

C) Edited volumes/special issues in journals

N.S. Thomaidis and G.H. Dash (eds) (2013), Recent advances in computational finance, Nova Science Publishers, NY.
N.S. Thomaidis and Ch. Floros (eds) (2011), Special Issue on Computational Methods for Financial Engineering, International Journal of Financial Markets and Derivatives 2 (1-2) Inderscience Publishers.

D) Peer-reviewed conference announcements (papers/posters/abstracts)

Th. Christodoulou, N.S. Thomaidis and F. J. Santos-Alamillos (2019), “Risk management policies for accelerating transition to a decarbonized energy system”, 1st Workshop on Innovation and R&D Networks for Policy Design and Implementation, May 27-28, 2019, Aristotle University of Thessaloniki, Thessaloniki, Greece.
Th. Christodoulou, N.S. Thomaidis and F. J. Santos-Alamillos (2019), “Mitigating wind energy risk in decentralized power systems”, The 5th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2019), April 22-23, 2019, Thessaloniki, Greece.
M. Seitaridis, N.S. Thomaidis and P.N. Biskas (2019), “Price formation in European power markets”, The 5th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2019), April 22-23, 2019, Thessaloniki, Greece.
N. S. Thomaidis and P.N. Biskas (2019), “Evaluating the rationality of the day-ahead power market: the case of Greece”, The 5th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2019), April 22-23, 2019, Thessaloniki, Greece.
E. Perdikakis, N.S. Thomaidis (2018), “Price convergence in the Nord Pool electricity market”, The 3rd HAEE International Conference: “Energy Transition: European and Global Perspectives” (HAEE 2018), May 03-05, 2018, Athens, Greece.
N.S. Thomaidis, K. Andriosopoulos, S. Persidis (2018), “The convergence of European electricity markets”, The 3rd HAEE International Conference: “Energy Transition: European and Global Perspectives” (HAEE 2018), May 03-05, 2018, Athens, Greece.
N.S. Thomaidis, G.H. Dash, N. Kajiji (2018), " Market and zonal factors in the formation of PJM power prices", The 4th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2018), Department of Economics, University of Macedonia, Thessaloniki, Greece, April 02-03, 2018, Thessaloniki, Greece.
N.S. Thomaidis, G.H. Dash, N. Kajiji (2017), "Dynamic orthogonal components in day ahead electricity prices: The case of the PJM wholesale market", 2nd HAEE ENERGY CONFERENCE "The landscape in the new era of energy transition: Challenges, investment opportunities and technological innovation (HAEE 2017), Athens, Greece.
N.S. Thomaidis, F.J. Santos-Alamillos (2017), "Assessing the potential of a mixed portfolio of renewables to replace fossil-fuel capacity", 2nd HAEE ENERGY CONFERENCE "The landscape in the new era of energy transition: Challenges, investment opportunities and technological innovation (HAEE 2017), Athens, Greece.
D. Pozo-Vázquez, F.-J. Santos-Alamillos, J.A. Ruiz-Arias, N.S. Thomaidis, F. Pérez-Hidalgo, L. Von-Bremen, S. Quesada-Ruiz, J. Tovar-Pescador, J. Usaola-García (2015), “Planning an efficient repowering of the current onshore wind farms in Spain to contribute to stable power”, 3rd International Conference Energy & Meteorology (ICEM 2015), Colorado, USA.
P. Rafailidis, K. Katrakylidis, P. Anagnostidis, N.S. Thomaidis (2014), “Do oil prices affect exhange rates? Non-linear evidence from U.S. Data”, International Conference on Applied Business and Economics (ICABE 2014), Delphi, Greece.
V. Vassiliadis, C. Salagaras, V.P. Koutras, N.S. Thomaidis, A.N. Platis, G. Dounias, C. Kyriazis (2014), “Resource Availability Modeling and Optimization in a Car Park Management Problem”, 3rd International Symposium and 25th National Conference on Operational Research, Volos, Greece.
N.S. Thomaidis, F.J. Santos-Alamillos, D. Pozo-Vázquez, J. Usaola-García (2014), “Improving the reliability of wind energy generation with supplements from solar power”, 3rd International Symposium and 25th National Conference on Operational Research, Volos, Greece.
N.S. Thomaidis, F.J. Santos-Alamillos, D. Pozo-Vázquez, J. Usaola-García (2014), “Managing energy supply risk using portfolios of wind and solar power plants”, 53rd Meeting of the EWGCFM and 2nd International Conference of the RCEM, Chania, Greece.
P. Katsoulis, N.S. Thomaidis, J. Jantzen (2014), “Risk evaluation of wind turbine investments”, 53rd Meeting of the EWGCFM and 2nd International Conference of the RCEM, Chania, Greece.
N.S. Thomaidis, C. Salagaras, V. Vassiliadis, V.P. Koutras, A.N. Platis, G. Dounias (2013), “Evolutionary algorithms for solving resource availability optimization problems related to client service of different priority classes”, 2nd International Symposium and 24th National Conference on Operational Research, Athens, Greece.
N.S. Thomaidis (2012), “Designing strategies for optimal spatial distribution of wind power”, 5th International Scientific Conference on Energy and Climate Change, Athens, Greece.
N.S. Thomaidis, Ε. Roumpis (2010), “Measuring asymmetric tail dependences between the returns on equity style portfolios”, 4th CSDA International Conference on Computational and Financial Econometrics (CFE'10), Senate House, University of London, UK.
N.S. Thomaidis, Ε. Roumpis (2010), “Using copula techniques to capture nonlinear dependences in the returns of typical equity investment classes”, 7th International Conference on Applied Financial Economics (AFE 2010), Samos, Greece.
N.S. Thomaidis, Ε. Roumpis and N. Kondakis (2009), “Managing stock portfolios using multifactor models”, 6th International Conference on Applied Financial Economics (AFE 2009), Samos, Greece.
V. Vassiliadis, N.S. Thomaidis, Y. Marinakis, M. Michalopoulos, G. Dounias (2007), “Investigating interrelations of major international stock markets with the use of econometric and intelligent approaches”, XIV Congress of International Association for Fuzzy-Set Management and Economy: Computational Intelligence Applied to New Digital Economy and Business Ecosystems, Poiona Brasov, Romania.
N.S. Thomaidis, N. Kondakis, G. Dounias (2005), “The cross-dynamics of international financial markets: a suitable domain for applying nature inspired intelligent techniques”, 1st European Symposium on Nature-Inspired Smart Information Systems (NISIS 2005), Albufeira, Portugal.
N.S. Thomaidis, G. Dounias, N. Kondakis (2005), “Financial statistical modelling with a new nature-inspired technique”, 1st European Symposium on Nature-Inspired Smart Information Systems (NISIS 2005), Albufeira, Portugal.
U. Kaymak, G. Dounias, N. S. Thomaidis (2005), “Financial & managerial benchmark problems for nature-inspired intelligence”, 1st European Symposium on Nature-Inspired Smart Information Systems (NISIS 2005), Albufeira, Portugal.
N. S. Thomaidis, G. Dounias (2004), “Behavioural finance: a new challenge to computational intelligence”, 4th European Symposium on Intelligent Technologies and their implementation on Smart Adaptive Systems (EUNITE-04), Aachen, Germany.
N. S. Thomaidis, G. Dounias and E. Vasilakis (2004), “National and international political and economic factors that determine the course of Athens stock exchange”, 1st International Conference on Applied Financial Economics (AFE 2004), Samos, Greece
N. S. Thomaidis, G. Dounias, P. Zalimidis (2003) “Measuring the penetration of intelligent technologies in medical business”, 3rd European Symposium on Intelligent Technologies and their implementation on Smart Adaptive Systems (EUNITE-03), Oulu, Finland.
N. S. Thomaidis, P. Zalimidis, G. Dounias (2003), “Intelligent tools and techniques for supporting tourism services and applications”, 2nd International Conference on Sustainable Tourism Development and Environment, Chios, Greece.
N. S. Thomaidis, G. Dounias, G. Tselentis (1999) “Stock exchange market analysis using Data Engine and WinROSA”, 3rd International Symposium on Data Analysis (IDAS’99) (co-organised in parallel with the 7th European Congress on Intelligent Techniques & Soft Computing (EUFIT'99), Aachen, Germany).
N. S. Thomaidis, G. Dounias, C. Zopounidis (1999) “A fuzzy rule-based learning method for corporate bankruptcy prediction”, International Advanced Course on Machine Learning and Applications (ACAI 99), Chania, Greece.
M. Michalopoulos, G. Dounias, N.S. Thomaidis, G. Tselentis (1999) “Decision making using fuzzy C-means and inductive machine learning for managing bank branches performance”, European Symposium on Intelligent Techniques (ESIT’99), Chania, Greece.

E) Working papers

N.S. Thomaidis, P.N. Biskas (2020) “Fundamental Pricing Laws and Long Memory Effects in the Day-Ahead Power Market”, under review from Energy Economics (IF: 5.212), SSRN: https://ssrn.com/abstract=3449206

F) Book reviews

N.S. Thomaidis (2003), Interest rate management, R. Zagst, Springer.

[email protected]
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General Information
Grade:
Assistant Professor
Office:
202
Telephone:
2310996561
E-mail:
Courses Taught

Undergraduate programme:

Econometrics I / Econometrics (12ΥΔ01)

Econometrics ΙΙ/Time series analysis (12ΥΕ01)

Financial econometrics (12ΥΗ05)

Applications of financial econometrics (12ΕΗ02)


Master in Economics:

Finance (ΠΜΟΥ5)

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