1.
Should We Treat Data as Labor? Moving Beyond 'Free'
American Economic Association Papers & Proceedings, Vol. 1, No. 1, Forthcoming
Number of pages: 5
Posted: 29 Dec 2017
Accepted Paper Series
Stanford University, Columbia University, Stanford University, Microsoft Corporation and Microsoft Research New York City
Downloads
5,395
2.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
4,627
3.
The Flash Crash: A New Deconstruction
Number of pages: 53
Posted: 26 Jan 2016
Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads
1,956
4.
Artificial Intelligence in Human Resources Management: Challenges and a Path Forward
Number of pages: 34
Posted: 01 Nov 2018
Last Revised: 15 Apr 2019
Working Paper Series
University of Pennsylvania Wharton School - Center for Human Resources, Wharton School, U. Pennsylvania and ESSEC Business School
Downloads
1,822
5.
Instrumented Principal Component Analysis
Number of pages: 33
Posted: 09 Jun 2017
Last Revised: 11 Jun 2017
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads
1,554
6.
LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts
Number of pages: 7
Posted: 21 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
1,152
7.
Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study
International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36
Posted: 16 Feb 2017
Last Revised: 28 Mar 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,140
8.
Generalizable and Robust TV Advertising Effects
Number of pages: 60
Posted: 16 Nov 2018
Last Revised: 18 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg
Downloads
1,129
9.
Principal Component Analysis of High Frequency Data
Chicago Booth Research Paper No. 15-39
Number of pages: 64
Posted: 19 Aug 2015
Last Revised: 22 Aug 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
There are 2 versions of this paper
Principal Component Analysis of High Frequency Data
Chicago Booth Research Paper No. 15-39
Number of pages: 64
Posted: 19 Aug 2015
Last Revised: 22 Aug 2017
Downloads
1,085
Principal Component Analysis of High Frequency Data
NBER Working Paper No. w21584
Number of pages: 53
Posted: 28 Sep 2015
Downloads
17
Downloads
1,085
10.
Machine Learning with Statistical Imputation for Predicting Drug Approvals
Number of pages: 60
Posted: 25 May 2017
Last Revised: 21 May 2019
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
Downloads
1,038
11.
Deep Learning in Asset Pricing
Number of pages: 89
Posted: 04 Apr 2019
Last Revised: 28 Jun 2019
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
886
12.
Sustainable Smart Home and Home Automation: Big Data Analytics Approach
International Journal of Smart Home, Vol. 10(8), p. 177-187, 2016
Number of pages: 16
Posted: 07 Sep 2016
Accepted Paper Series
Hong Kong Shue Yan University, Hong Kong Shue Yan University, Hong Kong Shue Yan University and Hong Kong Shue Yan University
Downloads
828
13.
Scalable Price Targeting
Number of pages: 47
Posted: 26 Jun 2017
Last Revised: 27 Aug 2017
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
There are 2 versions of this paper
Scalable Price Targeting
Number of pages: 47
Posted: 26 Jun 2017
Last Revised: 27 Aug 2017
Downloads
709
Downloads
12
Downloads
709
14.
Sparse Signals in the Cross-Section of Returns
Number of pages: 50
Posted: 16 May 2015
Last Revised: 17 Feb 2017
Working Paper Series
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
There are 2 versions of this paper
Sparse Signals in the Cross-Section of Returns
Number of pages: 50
Posted: 16 May 2015
Last Revised: 17 Feb 2017
Downloads
664
Sparse Signals in the Cross-Section of Returns
NBER Working Paper No. w23933
Number of pages: 55
Posted: 16 Oct 2017
Downloads
24
Downloads
664
15.
A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
133 Acta Physica Polonica A 1408 (2018)
Number of pages: 21
Posted: 30 Jan 2017
Last Revised: 04 Aug 2018
Accepted Paper Series
Texas A&M University School of Innovation
Downloads
650
16.
Stata, Fast and Slow: Why Running Many Small Regressions in a Large Dataset Takes So Long; and What to Do About It
Number of pages: 19
Posted: 12 Apr 2014
Working Paper Series
University of Auckland - Department of Accounting and Finance
Downloads
617
17.
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data
Chicago Booth Research Paper No. 15-43
Number of pages: 43
Posted: 07 Oct 2015
Last Revised: 11 Oct 2016
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads
601
18.
A Brief Assessment of Supreme Court Opinion Language, 1946-2013
86 Mississippi Law Journal 105 (2017)
Number of pages: 57
Posted: 08 Mar 2015
Last Revised: 29 Mar 2017
Accepted Paper Series
University of Southern California, Political Science
Downloads
588
19.
VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy
Number of pages: 49
Posted: 25 Jan 2018
Working Paper Series
Banca IMI, University of Pavia - Department of Economics and Business Sciences and University of Pavia - Department of Economics and Management
Downloads
502
20.
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58
Posted: 17 Mar 2013
Last Revised: 03 Feb 2016
Accepted Paper Series
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads
502
21.
An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification
Number of pages: 27
Posted: 16 Jul 2018
Last Revised: 15 Feb 2019
Working Paper Series
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads
492
22.
The Effect of Information Disclosure on Industry Payments to Physicians
Number of pages: 56
Posted: 06 Nov 2017
Last Revised: 14 Aug 2019
Working Paper Series
Duke University, Fuqua School of Business, The Stephen M. Ross School of Business at the University of Michigan and University of Michigan, Stephen M. Ross School of Business
Downloads
474
23.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
473
24.
A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data
Chicago Booth Research Paper No. 16-06
Number of pages: 55
Posted: 07 Mar 2016
Last Revised: 21 Feb 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads
463
25.
Forecasting Realised Volatility of Micex Index
Number of pages: 66
Posted: 12 Nov 2014
Working Paper Series
City University London
Downloads
452
26.
Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives
Number of pages: 37
Posted: 21 Nov 2018
Last Revised: 16 Dec 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
440
27.
Credit Risk Analysis Using Machine and Deep Learning Models
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2018
Number of pages: 32
Posted: 17 Apr 2018
Working Paper Series
Labex ReFi, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads
415
28.
Positional Portfolio Management
Swiss Finance Institute Research Paper No. 14-20
Number of pages: 83
Posted: 07 Mar 2014
Last Revised: 12 Dec 2018
Working Paper Series
USI Università della Svizzera italiana, University of Toronto - Department of Economics and University of Bristol
Downloads
415
29.
Business Cycle Clustering and Asset Returns
Number of pages: 18
Posted: 28 Aug 2018
Working Paper Series
Independent and Swiss Institute of Banking and Finance
Downloads
407
30.
Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance, Forthcoming
Number of pages: 101
Posted: 24 Aug 2015
Last Revised: 16 May 2019
Accepted Paper Series
Stanford University - Management Science & Engineering
Downloads
397
31.
Big Data's Dirty Secret
Number of pages: 26
Posted: 11 Jul 2018
Working Paper Series
Bloomberg L.P. and Bloomberg LP
Downloads
395
32.
Community Detection in Partial Correlation Network Models
Number of pages: 51
Posted: 07 May 2016
Last Revised: 19 May 2018
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Aarhus BSS and Universitat Pompeu Fabra - Department of Economics and Business (DEB)
Downloads
373
33.
Health Privacy and Confidentiality
Health Privacy and Confidentiality, Chapter 23, in Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming
Number of pages: 17
Posted: 14 Apr 2017
Accepted Paper Series
Deakin University, Geelong, Australia - Deakin Law School and Deakin University, Geelong, Australia - Deakin Law School
There are 2 versions of this paper
Health Privacy and Confidentiality
Health Privacy and Confidentiality, Chapter 23, in Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming
Number of pages: 17
Posted: 14 Apr 2017
Downloads
372
Health Privacy and Confidentiality
Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming, Deakin Law School Research Paper No. 17-16
Number of pages: 18
Posted: 11 Aug 2017
Downloads
31
Downloads
372
34.
Dissection of Bitcoin's Multiscale Bubble History
Swiss Finance Institute Research Paper No. 18-30
Number of pages: 38
Posted: 18 Apr 2018
Last Revised: 30 Apr 2018
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH-Zürich - Department of Management Technology and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads
369
35.
Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information
Number of pages: 61
Posted: 04 Jan 2019
Last Revised: 23 Sep 2019
Working Paper Series
Cornell University, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads
364
36.
Stock Returns and the Cross-Section of Characteristics: A Tree-Based Approach
Number of pages: 17
Posted: 18 May 2018
Working Paper Series
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads
362
37.
Can User Generated Content Predict Restaurant Survival: Deep Learning of Yelp Photos and Reviews
Number of pages: 46
Posted: 31 Jan 2018
Last Revised: 28 Mar 2018
Working Paper Series
University of Southern California and University of Southern California
Downloads
359
38.
The Place for Neuroscience in Criminal Law
PHILOSOPHICAL FOUNDATIONS OF LAW AND NEUROSCIENCE. New York: Oxford University Press 69-83 (Dennis Patterson & Michael Pardo, eds. 2016) , Fordham Law Legal Studies Research Paper No. 2806641
Number of pages: 16
Posted: 18 Jul 2016
Last Revised: 18 Aug 2016
Accepted Paper Series
Fordham University School of Law
Downloads
347
39.
A Network Approach to Portfolio Selection
Number of pages: 62
Posted: 29 Apr 2014
Last Revised: 06 Apr 2016
Working Paper Series
CNMV and Stockholm University
Downloads
345
40.
Identifying and Pricing Adverse Selection Risk with VPIN
Number of pages: 34
Posted: 29 Apr 2015
Last Revised: 02 Mar 2016
Working Paper Series
University of Miami and BGSU
Downloads
340
41.
Forecasting Stock Returns with Large Dimensional Factor Models
Number of pages: 46
Posted: 26 Apr 2017
Last Revised: 02 Apr 2018
Working Paper Series
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads
316
42.
Models of Financial Stability and Their Application in Stress Tests
Forthcoming, Handbook of Computational Economics (Blake LeBaron and Cars Hommes)
, University of St.Gallen, School of Finance Research Paper No. 2018/5
Number of pages: 66
Posted: 22 Aug 2017
Last Revised: 29 Apr 2018
Accepted Paper Series
London School of Economics & Political Science (LSE) - London School of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Students and University of Oxford, Faculty of Law
Downloads
316
43.
Inference in Group Factor Models with an Application to Mixed Frequency Data
Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48
Posted: 13 Feb 2016
Last Revised: 02 Feb 2019
Working Paper Series
University of Cyprus - Department of Economics, USI Università della Svizzera italiana, University of North Carolina Kenan-Flagler Business School and University of Bristol
There are 2 versions of this paper
Inference in Group Factor Models with an Application to Mixed Frequency Data
Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48
Posted: 13 Feb 2016
Last Revised: 02 Feb 2019
Downloads
314
Is Industrial Production Still the Dominant Factor for the US Economy?
CEPR Discussion Paper No. DP12219
Number of pages: 87
Posted: 15 Aug 2017
Downloads
1
Downloads
314
44.
Downloads
309
45.
ICT Adoption by Micro and Small Scale Enterprises in Nigeria: A Case Study of the Federal Capital Territory, Abuja
Number of pages: 25
Posted: 13 Apr 2017
Last Revised: 01 May 2017
Working Paper Series
Covenant University and Covenant University
Downloads
304
46.
Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures
28th Australasian Finance and Banking Conference
Number of pages: 41
Posted: 13 Aug 2015
Last Revised: 28 Jul 2016
Working Paper Series
University of Melbourne - Melbourne Business School and Columbia University
Downloads
302
47.
Large-Dimensional Factor Modeling Based on High-Frequency Observations
Number of pages: 125
Posted: 25 Mar 2015
Last Revised: 12 May 2018
Working Paper Series
Stanford University - Management Science & Engineering
Downloads
302
48.
OpenEDGAR: Open Source Software for SEC EDGAR Analysis
Number of pages: 12
Posted: 27 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
301
49.
Correlations between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations
UNSW Business School Research Paper No. 2015ACTL11
Number of pages: 25
Posted: 24 Apr 2015
Last Revised: 21 Jan 2016
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads
277
50.
On the Sources of Uncertainty in Exchange Rate Predictability
Number of pages: 48
Posted: 29 Sep 2014
Last Revised: 16 Sep 2016
Working Paper Series
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads
255
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