7 citations · 24 across the 7 of their papers we have counts for
7 papers
Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models
Constandina Koki, Stefanos Leonardos, Georgios Piliouras
In this paper, we consider a variety of multi-state Hidden Markov models for predicting and explaining the Bitcoin, Ether and Ripple returns in the presence of state (regime) dynam…
A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series
Constandina Koki, Stefanos Leonardos, Georgios Piliouras
Conventional financial models fail to explain the economic and monetary properties of cryptocurrencies due to the latter's dual nature: their usage as financial assets on the one s…
Measuring Market Performance with Stochastic Demand: Price of Anarchy and Price of Uncertainty
Costis Melolidakis, Stefanos Leonardos, Constandina Koki
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At t…
Comparative Statics via Stochastic Orderings in a Two-Echelon Market with Upstream Demand Uncertainty
Constandina Koki, Stefanos Leonardos, Costis Melolidakis
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers w…
Coalitions & Voting Power in the Greek Parliament of 2012: A Case-Study
Constandina Koki, Stefanos Leonardos
We revisit the May and June 2012 Greek Parliamentary elections and the December 2014 Presidential election that was held by the June-elected Parliament. The three voting instances…
Forecasting under model uncertainty:Non-homogeneous hidden Markov models with Polya-Gamma data augmentation
Constandina Koki, Loukia Meligkotsidou, Ioannis Vrontos
We consider two-state Non-Homogeneous Hidden Markov Models (NHHMMs) for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive re…
Monopoly Pricing in Vertical Markets with Demand Uncertainty
Stefanos Leonardos, Costis Melolidakis, Constandina Koki
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market ch…