Stathis Tompaidis : Citation Profile

University of Texas-Austin

9

H index

9

i10 index

261

Citations

RESEARCH PRODUCTION:

21

Articles

11

Papers

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 10
   Journals where Stathis Tompaidis has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 6 (2.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pto617
   Updated: 2025-12-13    RAS profile: 2025-12-10    
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Relations with other researchers

Works with:

Paddrik, Mark (2)

Heilbron, John (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stathis Tompaidis.

Is cited by:

Prokopczuk, Marcel (7)

Weron, Rafał (4)

Cartea, Álvaro (4)

Kovacevic, Raimund (3)

Xu, Jing (3)

Moreno, Manuel (3)

Giudici, Paolo (2)

Targino, Rodrigo (2)

Savva, Christos (2)

Harris, Mark (2)

Gallmeyer, Michael (2)

Cites to:

Shachar, Or (8)

Adrian, Tobias (6)

Poterba, James (6)

Constantinides, George (6)

Boyarchenko, Nina (6)

Duffie, Darrell (5)

Huang, Wenqian (4)

Kaniel, Ron (4)

Pelizzon, Loriana (4)

Jouini, Elyès (4)

Viceira, Luis (4)

Main data

Where Stathis Tompaidis has published?

Journals with more than one article published# docs
Journal of Financial Economics3
European Journal of Operational Research2
Journal of Financial Market Infrastructures2

Working Papers Series with more than one paper published# docs
Working Papers / Office of Financial Research, US Department of the Treasury3
The OFR Blog / Office of Financial Research, US Department of the Treasury2
Briefs / Office of Financial Research, US Department of the Treasury2

Recent works citing Stathis Tompaidis (2025 and 2024)

YearTitle of citing document
2024Swing contract pricing: with and without Neural Networks. (2024). Lemaire, Vincent ; Pages, Gilles ; Yeo, Christian. In: Papers. RePEc:arx:papers:2306.03822.

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2025Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing. (2024). Yang, Yang ; Qiu, Jinniao ; Ware, Antony. In: Papers. RePEc:arx:papers:2406.16400.

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2025PDSim: A Shiny App for Polynomial Diffusion Model Simulation and Estimation. (2024). Shevchenko, Pavel V ; Peters, Gareth W ; Kordzakhia, Nino. In: Papers. RePEc:arx:papers:2409.19385.

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2024Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics. (2024). Peters, Gareth W ; He, Peilun ; Kordzakhia, Nino ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:2412.05889.

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2024The fundamental role of the repo market and central clearing. (2024). di Luigi, Cristina ; Perrella, Antonio ; Ruggieri, Alessio. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_048_24.

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2024Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks. (2024). Pineau, Pierre-Olivier ; Charlin, Laurent ; Ehsani, Behdad. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261924000321.

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2024A contagion test with unspecified heteroscedastic errors. (2024). Ko, Stanley Iat-Meng ; Peng, Liang ; Aboagye, Ernest ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105.

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2024Evaluation of tieback developments for marginal oil fields with timing flexibility. (2024). Hagspiel, Verena ; Haseldonckx, Sophie ; Fedorov, Semyon ; Haugsgjerd, Johannes H ; Ronning, Anders. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000525.

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2024How to select oil price prediction models — The effect of statistical and financial performance metrics and sentiment scores. (2024). Budin, Constantin ; Haas, Christian ; Darcy, Anne. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001749.

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2024What drives the high-risk spillover of benchmark oil prices into Chinas LNG market?. (2024). Pan, Yue ; Zhang, Xiaokong ; Tian, Lingyue ; Wang, Jiaoyan ; Chai, Jian. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s036054422402334x.

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2025Windfall gains and stock market participation: Evidence from shopping receipt lottery. (2025). Zhu, Jian-Da ; Yang, Tzu-Ting ; Lin, Tse-Chun ; Huang, Hsuan-Hua ; Cheng, Tzu-Chang Forrest. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:172:y:2025:i:c:s0378426624002929.

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2025Market reactions to the Basel reforms: Implications for shareholders, creditors, and taxpayers. (2025). Krettek, Jonas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:101:y:2025:i:c:s1062976925000316.

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2024An Econometric and Time Series Analysis of the USTC Depeg’s Impact on the LUNA Classic Price Crash During Spring 2022’s Crypto Market Turmoil. (2024). Diop, Papa Ousseynou. In: Commodities. RePEc:gam:jcommo:v:3:y:2024:i:4:p:24-459:d:1534437.

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2024Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model. (2024). Wu, Mu-En ; Yang, Dong-Yuh ; Sun, You-Jia ; Chen, Bo-Jen ; Dai, Tian-Shyr. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10555-y.

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2025Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7.

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2024A reduced-form model for lease contract valuation with embedded options. (2024). Yildirim, Yildiray ; Ho, Hsiao-Wei ; Huang, Henry Hongren ; Chang, Chuang-Chang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:2:d:10.1007_s11156-023-01222-8.

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2025The predictive effect of heterogeneous investor behavior on commodity pricing. (2025). Li, Zhou ; Shao, Hang. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04795-y.

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2024Seasonal volatility in agricultural markets: modelling and empirical investigations. (2024). Schneider, L ; Tavin, B. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04241-7.

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2024Sovereign Default and FDI Transactions: Evidence from Argentina. (2024). Fernandes, Miguel ; Pascoa, Mario. In: School of Economics Discussion Papers. RePEc:sur:surrec:0224.

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2024Modelling the composition of household portfolios: A latent class approach. (2024). Taylor, Karl ; Harris, Mark ; Brown, Sarah ; Alzuabi, Raslan. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:57:y:2024:i:1:p:243-275.

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Works by Stathis Tompaidis:

YearTitleTypeCited
2009The Impact of Large Changes in Asset Prices on Intra‐Market Correlations in the Domestic and International Markets In: The Financial Review.
[Full Text][Citation analysis]		article8
2021Comments on “Network Structure and Its Impact on Commodity Markets” In: Production and Operations Management.
[Full Text][Citation analysis]		article0
2008Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales In: GSIA Working Papers.
[Full Text][Citation analysis]		paper0
2017Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper3
2019Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows.(2019) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2023Hedging Commodity Price Risk In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
2008Small transaction cost asymptotics and dynamic hedging In: European Journal of Operational Research.
[Full Text][Citation analysis]		article3
2012A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices In: European Journal of Operational Research.
[Full Text][Citation analysis]		article10
2013Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios In: Journal of Financial Economics.
[Full Text][Citation analysis]		article13
2023Collateral competition: Evidence from central counterparties In: Journal of Financial Economics.
[Full Text][Citation analysis]		article0
2006Tax management strategies with multiple risky assets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article20
2004Valuation of Commodity-Based Swing Options In: Management Science.
[Full Text][Citation analysis]		article75
2018Portfolio Tax Trading with Carryover Losses In: Management Science.
[Full Text][Citation analysis]		article4
2001Real Options in Leasing: The Effect of Idle Time In: Operations Research.
[Full Text][Citation analysis]		article11
2006Interruptible Electricity Contracts from an Electricity Retailers Point of View: Valuation and Optimal Interruption In: Operations Research.
[Full Text][Citation analysis]		article17
2008Efficient Computation of Hedging Parameters for Discretely Exercisable Options In: Operations Research.
[Full Text][Citation analysis]		article3
2020Modeling Dependent Outages of Electric Power Plants In: Operations Research.
[Full Text][Citation analysis]		article0
2024Robust Financial Networks In: Operations Research.
[Full Text][Citation analysis]		article0
2017Measuring Systemwide Resilience of Central Counterparties In: Briefs.
[Full Text][Citation analysis]		paper1
Measuring system-wide resilience of central counterparties.() In: Journal of Financial Market Infrastructures.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2017Benefits and Risks of Central Clearing in the Repo Market In: Briefs.
[Full Text][Citation analysis]		paper10
2024Model Shows Network Density Affects Derivatives Trade Costs In: The OFR Blog.
[Full Text][Citation analysis]		paper0
2025Clearing Members Well Equipped to Meet CCP Assessments, Despite Likely Resource Depletion Under Stress In: The OFR Blog.
[Full Text][Citation analysis]		paper0
2019Market-Making Costs and Liquidity: Evidence from CDS Markets In: Working Papers.
[Full Text][Citation analysis]		paper2
2024Intermediation Networks and Derivative Market Liquidity: Evidence from CDS Markets In: Working Papers.
[Full Text][Citation analysis]		paper0
2025The Impact of CCP Liquidity and Capital Demands on Clearing Members Under Stress In: Working Papers.
[Full Text][Citation analysis]		paper0
2006A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices In: MPRA Paper.
[Full Text][Citation analysis]		paper10
2008Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses In: 2008 Meeting Papers.
[Full Text][Citation analysis]		paper8
Benefits and risks of central clearing in the repurchase agreement market In: Journal of Financial Market Infrastructures.
[Full Text][Citation analysis]		article0
2002Energy futures prices: term structure models with Kalman filter estimation In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article61
2006Book review In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2020Volume-weighted average price tracking: A theoretical and empirical study In: IISE Transactions.
[Full Text][Citation analysis]		article2

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