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
Downloads
5,948
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
4,989
3.
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
4,370
4.
Deep Learning in Asset Pricing
Number of pages: 64
Posted: 04 Apr 2019
Last Revised: 03 Jun 2020
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
2,045
5.
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
2,038
6.
Generalizable and Robust TV Advertising Effects
Number of pages: 60
Posted: 20 Jan 2020
Last Revised: 22 Mar 2020
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg
Downloads
2,004
7.
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
1,902
8.
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
1,460
9.
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, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,319
10.
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
1,121
11.
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
1,104
12.
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
1,100
Principal Component Analysis of High Frequency Data
NBER Working Paper No. w21584
Number of pages: 53
Posted: 28 Sep 2015
Downloads
18
Downloads
1,100
13.
Personalized Pricing and Customer Welfare
Number of pages: 49
Posted: 26 Jun 2017
Last Revised: 21 Feb 2020
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
Personalized Pricing and Customer Welfare
Number of pages: 49
Posted: 26 Jun 2017
Last Revised: 21 Feb 2020
Downloads
876
Downloads
32
Downloads
876
14.
The Perils of Private Provision of Public Goods
Number of pages: 45
Posted: 02 Mar 2020
Last Revised: 06 Apr 2020
Working Paper Series
University of Texas at Dallas, Boston College and Boston College - Carroll School of Management
Downloads
805
15.
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
723
16.
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
702
Sparse Signals in the Cross-Section of Returns
NBER Working Paper No. w23933
Number of pages: 55
Posted: 16 Oct 2017
Downloads
35
Downloads
702
17.
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
667
18.
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
667
19.
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
664
20.
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
628
21.
The Effect of Information Disclosure on Industry Payments to Physicians
Number of pages: 55
Posted: 06 Nov 2017
Last Revised: 27 Apr 2020
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
623
22.
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
611
23.
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
601
24.
Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information
Number of pages: 65
Posted: 04 Jan 2019
Last Revised: 04 Nov 2019
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads
589
25.
Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance, Forthcoming
Number of pages: 55
Posted: 24 Aug 2015
Last Revised: 23 Mar 2020
Accepted Paper Series
Stanford University - Management Science & Engineering
Downloads
573
26.
Can User-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp
Number of pages: 74
Posted: 31 Jan 2018
Last Revised: 28 Oct 2019
Working Paper Series
University of Southern California and University of Southern California
Downloads
568
27.
Forecasting Realised Volatility of Micex Index
Number of pages: 66
Posted: 12 Nov 2014
Working Paper Series
City University London
Downloads
514
28.
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
514
29.
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
507
30.
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
489
31.
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
484
Health Privacy and Confidentiality
Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming
Number of pages: 18
Posted: 11 Aug 2017
Downloads
34
Downloads
484
32.
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
470
33.
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
438
34.
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
434
35.
Big Data's Dirty Secret
Number of pages: 26
Posted: 11 Jul 2018
Working Paper Series
Bloomberg L.P. and Bloomberg LP
Downloads
430
36.
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
University of Lugano, University of Toronto - Department of Economics and EDHEC Business School
Downloads
429
37.
Forest Through the Trees: Building Cross-Sections of Stock Returns
Number of pages: 72
Posted: 19 Dec 2019
Last Revised: 21 May 2020
Working Paper Series
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
427
38.
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
420
39.
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
414
40.
Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk
IMF Working Paper No. 19/109
Number of pages: 35
Posted: 06 Nov 2019
Working Paper Series
IMF
Downloads
393
41.
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
385
42.
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)
Number of pages: 16
Posted: 18 Jul 2016
Last Revised: 18 Aug 2016
Accepted Paper Series
Fordham University School of Law
Downloads
381
43.
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
378
44.
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
369
45.
Models of Financial Stability and Their Application in Stress Tests
Forthcoming, Handbook of Computational Economics (Blake LeBaron and Cars Hommes)
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, MIT Sloan School of Management and University of Oxford, Faculty of Law
Downloads
365
46.
Identifying and Pricing Adverse Selection Risk with VPIN
Number of pages: 36
Posted: 29 Apr 2015
Last Revised: 20 Jan 2020
Working Paper Series
University of Miami - Department of Finance and Bowling Green State University - Department of Finance
Downloads
364
47.
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
361
48.
International Accounting Databases on WRDS: Comparative Analysis
Number of pages: 42
Posted: 23 Mar 2017
Working Paper Series
Wharton Research Data Services (WRDS)
Downloads
353
49.
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, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
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
336
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
2
Downloads
336
50.
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
336
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.