@Raphael Markellos

Welcome to my personal home page. I am Professor of Finance at Norwich Business School (NBS), University of East Anglia (UEA). UEA is a world top 100 university for impact (Times Higher Education Impact Rankings 2024). NBS is ranked 14th in the UK according to the latest Research Excellence Framework (REF21), I was responsible for the submission as Director of Research for eight years.  I am a member of the Centre for Competition Policy (CCP) at UEA and the Centre for Science and Policy (CSaP) at University of Cambridge. In the past I was an Associate Professor at Athens University of Economics and Business and a Royal Economic Society Junior Fellow at the Department of Economics, Loughborough University.  I have also held a Distinguished Professorship in the Lee Shau Kee School of Business and Administration, Hong Kong Metropolitan University. 

I am a Faculty Advisor for Harvard Business Publishing and a Senior Fellow of the Higher Education Academy (HEA). I have taught a variety of subjects at undegraduate, postgraduate and executive level over the past 25 years in corporate finance, investments, risk management and quantitative methods. I have a particular interest in edutech, online training and the use of simulations. 

Through my research I have made contributions to the academic literature on economic information (I introduced the use of Google Trends in finance in a paper with over 700 citations), environmental finance (my paper on carbon derivative asset pricing has over 650 citations), and estimation risk (an example of my work is my paper on shrinkage with over 120 citations). My earlier work in the 1990s focused on applications of AI in analysing big data in finance. Many of the methodologies that I employ are described in the 3rd edition of the best selling monograph "The Econometric Modelling of Financial Time Series" (by Cambridge University Press), that I have co-authored with Terry Mills (click here to take a peek inside this book). For bibliometrics of my work see SSRN, Google Scholar, IDEAS and ResearchGate. I have over 40 published journal papers with over 4,800 citations in Google Scholar. My Erdős number is 5: Paul Erdős – Persi Diaconis – Jun Liu – Ruey Tsay – Terence Mills – me !

I am founder and co-organiser of the International Symposium in Finance (ISF) and the British Academy of Management (BAM) Financial Management Special Interest Group (SIG). I am a regular speaker at academic and professional conferences.  My work has attracted considerable funding and attention by media such as Reuters, Bloomberg, Financial Times, BBC, Forbes, Wallstreet, and Daily Telegraph. I am currently also on the board of the East Anglia Committee of Chartered Institute for Securities & Investment (CISI) and have worked closely with the Norwich Financial Industry Group (FIG)  for several years (until recently as a board member). I am an Affiliate Member of the CISI and Fellow of the Chartered Management Institute (CMI).

My professional experience includes 25 years of consulting and training for organizations in the US, UK, Hong Kong, Germany, Greece and Luxembourg. My interests and expertise are mostly linked to corporate finance, data science and regulated markets. 

If you are interested in doing a PhD or research with me at Norwich Business School, please have a look at my papers below and send me an email through my UEA account. You can also have a look at the information of the NBS Finance Group.

Recent Funding

• “Using Artificial Intelligence to Support Regulators and Policy Makers (AI4POL)", Co-Investigator,  EU Horizon, €3 million. Coordinated by Tilburg  University, 31/12/2024-31/12/27. 

• “Does the Informal Economy cast a  Shadow on Real Estate Markets?", Principal, Investigator, British Academy/Leverhulme Small Research Grant, 2023/2024. 

Working Papers

• Hidden Drivers of Housing Markets and Stability:  The Role of the Shadow Economy  (with George Dotsis, Panagiotis Petris and Friedrich Schneider), Centre for Competition Policy (CCP) Working Paper,  No 4, 2025. 

• Regulatory and Business Innovation in Uncharted Waters: Mandatory Cold-Ironing (with Sean Ennis, Constantinos Mammassis, John Prousalidis, George Loukos and Neil Tracey), Centre for Competition Policy (CCP) Working Paper, 2025. 

• Worldwide Adoption of Regulatory Sandboxes: Drivers, Constraints and Policies (with Sean Ennis, Bryn Enstone, Anastasios Manos, Dimitrios Psychoyios and Dimitrios Pazaitis), Centre for Competition Policy (CCP) Working Paper, No 2, 2024. 

Selected Publications

• Can We Price Beauty? Aesthetics and Digital Art Markets (with Sarah Alsultan and Apostolos Kourtis), Economics Letters, 235, 111572, 2024. 

• Modelling Skewness in Portfolio Choice (with Trung Le and Apostolos Kourtis), Journal of Futures Markets, 43 (6), 734-770, 2023. 

• Human resources turnover as an asset acquisition and divestiture process: Evidence from the U.K. football industry (with Maria Fotaki and Apostolos Kourtis), International Journal of Finance and Economics,  28 (3), 2696-2711, 2023. 

• Keyword Portfolio Optimization in Paid Search Advertising (with Efthymia Symitsi and Murali Mantrala), European Journal of Operational Research, 303 (2), 767-778, 2022. 

• Covariance Forecasting in Equity Markets (with Efthymia Symitsi, Lazaros Symeonidis and Apostolos Kourtis), Journal of Banking and Finance, 96, 153-168, 2018. 

• Is there an Olympic Gold Medal Rush in the Stock Market? (with Jessica Y. Wang), European Journal of Finance, 24 (17), 1631-1648, 2018.

• An International Comparison of Implied, Realized and GARCH Volatility Forecasts (with Lazaros Symeonidis and Apostolos Kourtis), Journal of Futures Markets, 36 (12), 1164–1193, 2016. Over 60 citations in Google Scholar. 

• Sovereign Debt Markets in Light of the Shadow Economy (with Dimitris Psychoyios and Friedrich Schneider), European Journal of Operational Research, 252 (1), 220-231, 2016. Over 30 citations in Google Scholar. 

• Dynamic Interaction between Markets for Leasing and Selling Automobiles (with Athanasios Andrikopoulos), Journal of Banking and Finance, 50, 260–270 (Open Access), 2015.

• Electricity futures prices in an emissions constrained economy: Evidence from European power markets (with George Daskalakis and Lazaros Symeonidis), Energy Journal, 36 (3), 2015.

• Information Demand and Stock Market Volatility (with Nikolaos Vlastakis), Journal of Banking and Finance, 36 (6), 1808–1821, 2012. Over 690 citations in Google Scholar. 

• Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix (with Apostolos Kourtis and George Dotsis), Journal of Banking and Finance, 36 (9), 2522–2531, 2012. Over 110 citations in Google Scholar. 

• Wine Price Risk Management: International Diversification and Derivative Instruments (with Apostolos Kourtis and Dimitris Psychoyios), International Review of Financial Analysis, 22, April 30–37, 2012. Over 60 citations in Google Scholar. 

• A Jump Diffusion Model for VIX Volatility Options and Futures (with Dimitris Psychoyios and George Dotsis), Review of Quantitative Finance and Accounting, 35 (3), 245-269, 2010. Over 80 citations in Google Scholar. 

• Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme (with George Daskalakis and Dimitris Psychoyios), Journal of Banking and Finance, 33 (7), 1230–1241, 2009. Over 640 citations in Google Scholar. 

• How Efficient is the European Football Betting Market? Evidence from Arbitrage and Trading Strategies (with Nikolaos Vlastakis and George Dotsis), Journal of Forecasting, 28 (5), pp.426-444, 2009. Over 150 citations in Google Scholar. 

• The Econometric Modelling of Financial Time Series (with Terence Mills), 3rd Edition, Cambridge: Cambridge University Press, 2008. Over 1,600 citations in Google Scholar. 

• The Finite Sample Properties of the GARCH Option Pricing Model (with George Dotsis), Journal of Futures Markets, 27 (6), pp. 599-615, 2007.

• Evaluating public transport efficiency with neural network models (with Alvaro Costa), Transportation Research Part C, 5 (5), pp. 301-312, 1997. Over 190 citations in Google Scholar. 

Other Publications

• Interest rate volatility and risk management: Evidence from CBOE Treasury options (with Dimitris Psychoyios),  Quarterly Review of Economics and Finance, 68, 190-202, 2018.

• Optimal Hedge Ratio Estimation and Effectiveness using ARCD (with Eleftheria Kostika), Journal of Forecasting, 32 (1), 41–50, 2013.

• Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs (with Vasiliki Makropoulou and George Dotsis), Quarterly Review of Economics and Finance, 53 (4), 417–428, 2013.

• Investment under uncertainty and volatility estimation risk (with George Dotsis and Vasiliki Makropoulou), Applied Economics Letters, 19 (2), 133-137, 2012.

• Nonlinear Cointegration using Lyapunov Stability Theory, in C. Kyrtsou, C. Vorlow (eds.) Progress in Financial Markets Research, , Chapter, 14, pp. 289-310, New York: Nova Science Publishers, New York, 2012.

• Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty (with Vasiliki Makropoulou), Scottish Journal of Political Economy, 58 (4), 519–536, 2011.

• Traded American Options are Bermudan (with Apostolos Kourtis), Managerial Finance, 37 (11), 978-984, 2011.

• Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece (with Manolis Kritikos and Gregory Prastacos), Applied Economics, 42 (9), pp. 1133-1143, 2010.

• Does the Weather Affect Stock Market Volatility? (with Lazaros Symeonidis and George Daskalakis), Finance Research Letters, 7, 214–223, 2010. Over 140 citations in Google Scholar. 

• Are Electricity Risk Premia Affected by Emission Allowance Prices? Evidence from the EEX, Nord Pool and Powernext (with George Daskalakis), Energy Policy, 37 (7), pp. 2594-2604, 2009.  Over 120 citations in Google Scholar. 

• Estimation of Continuous-Time Stochastic Volatility Models (with George Dotsis and Terence Mills), in T.C. Mills and K. Patterson (eds), Handbook of Econometrics, Vol. II, Palgrave, 2009.

• Nonlinear Times Series in Financial Economics (with Terence Mills),  in Bruce Mizrach (ed), Encyclopedia of Complexity and Systems Science, Berlin: Springer-Verlag, 2009.

• Are the European Carbon Markets Efficient? (with George Daskalakis), Review of Futures Markets  17, 103-128, 2008. Over 200 citations in Google Scholar. 

• Nonlinear Modeling of European Football Scores using Support Vector Machines (with Nikolaos Vlastakis and George Dotsis), Applied Economics, 40 (1), pp. 111-118, 2008.

• Modelling Greek Equity Prices usingJump Diffusion Processes (with George    Dotsis and Dimitris Psychoyios), Operational Research: An International Journal, 6 (2), 131-145, 2006.

• Diversification benefits in trading?, Applied Financial Economics, 14 (1), pp. 13-17, 2004.

• Asset pricing dynamics (with Terence Mills), European Journal of Finance, 9 (6), pp. 533-556, 2003.

• Intradaily Behaviour of Listed andUnlisted Security Basket Indices in the Emerging Greek Stock Market (with Terence Mills and Costas Siriopoulos), Managerial Finance, 29 (9), pp. 29-54, 2003.

• Time Series Behavior of Intradaily Data from the Athens Stock Exchange (with Costas Siriopoulos), International Transactions in Operational Research, 9 (5), pp. 619-628, 2002.

• Seasonality in the Athens stock exchange (with Terence Mills, Costas Siriopoulos and Dimitris Harizanis), Applied Financial Economics, 10 (2), pp. 137-142, 2000. Over 140  citations in Google Scholar. 

• Investment strategy evaluation with cointegration, Applied Economics Letters, 6 (3), p. 177, 1999.

• High-Frequency Random Walks? (with George Gavridis and Terence Mills), in P. Leqeux (ed.) The Financial Markets Tick by Tick, London: John Wiley & Sons, pp. 227-254, 1999.

• Complexity Reduction for Co-trending Variables (with Terence Mills), Journal of Computational Intelligence in Finance, 6 (4), pp. 6-13, 1988. Won the Distinguished Essay on Computational Intelligence in Finance Award for 1998.

• Diversification benefits in the smaller European stock markets (with Costas Siriopoulos), International Advances in Economic Research, 3 (2), pp. 142-153, 1997.

• Backtesting Trading Systems, Journal of Computational Intelligence in Finance, 5 (6), pp. 5-10, 1997.

• Neural Network Model Development and Optimisation (with Costas Siriopoulos), Neurovest Journal, 4 (6), pp. 7-13, 1996.

• Nonlinear Error-Correction Models in the Greek Money Market (with Costas Siriopoulos), in Zoupounidis C. (ed.) New Operational Approaches for Financial Modelling. Contributions to Management Science, Heidelberg: Physica, pp. 173-181, New York: Springer-Verlag, 1997.

• Applications of Artificial Neural Networks in Emerging Financial Markets (with Costas Siriopoulos and Kostas Sirlantzis), in Refenes, A.P., Abu-Mostafa, Y., Moody, J., Weigend, A., (eds.) Neural Networks in Financial Engineering, 2, pp. 284-302, Singapore: World Scientific, 1996.

Refereeing

Econometrica, Journal of Banking and Finance, Review of Finance, European Economic Review, Nature Sustainability, Economica, Journal of Empirical Finance, Journal of Futures Markets, European Journal of Operational Research, Financial Review, Economics Letters, European Journal of Finance, European Financial Management, 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, Social Sciences and Humanities Research Council of Canada (SSHRC).

PhD students supervised & first placements

1. George Dotsis, Lecturer in Finance, Essex Business School, University of Essex

2. Dimitris Psychoyios, Lecturer in Finance, Manchester Business School

3. Vasiliki Makropoulou, Assistant Professor, Utrecht School of Economics, UU

4. George Daskalakis, Lecturer in Finance, Norwich Business School, UEA

5. Eleftheria Kostika, Bank of Greece 

6. Apostolos Kourtis, Lecturer in Finance, Norwich Business School, UEA

7. Nikos Vlastakis, Lecturer in Finance, Cranfield School of Management

8. Yichun Wang, Lecturer in Finance, Nottingham Business School

9. Efthymia Symitsi, Lecturer in Finance, Leeds University Business School 

10. Trung Le, Lecturer, Banking Academy of Vietnam

11. Saif Al Mutairi, Pension Fund Senior Portfolio Manager, Oman

12. Lucia Murgia, Assistant Professor in Finance, Norwich Business School, UEA

13. Matt Burke, Research Fellow, Oxford Sustainable Finance Group, University of Oxford

14. Jiaoshan Li, Lecturer in Finance and Accounting, University of Exeter Business School

15. Sarah Alsultan, Lecturer in Finance,  Imam Muhammad ibn Saud Islamic University

16. Bader Aljamaan, Lecturer, Majmaah University

17. Huda Aldhahi,  Lecturer, Al-Imam Muhammad Ibn Saud Islamic University

18. Fahd Alkhdaer,  Lecturer, Al-Imam Muhammad Ibn Saud Islamic University

19. James Obuobie, Assistant Professor, Higher College of Technology, UAE 

20. Segun Bolarinwa, Postdoctoral Researcher, University of Fort Hare

21. Abdulrahman Alsamaani, Lecturer, Al-Imam Muhammad Ibn Saud Islamic University