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Big Data & Innovative Financial Technologies Research Paper Series

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GOAL OF THE SERIES: To bring the latest financial technologies to the attention of regulators, researchers, financial practitioners and the public in general, with the goal of achieving more stable, efficient and secured financial markets.

SUBJECTS: The series is open to all innovative technologies with financial applications, and in particular:
- Data Analytics & Visualization
- Exascale Scientific Data Management
- Machine Learning
- High Performance Computing
- Large-Scale Complex Systems
- High-Frequency Trading
- Quantum Computing Applied to Finance

EDITORS: The series is edited by Dr. Marcos Lopez de Prado (research fellow, Lawrence Berkeley National Laboratory) and Dr. John Wu (senior scientist, Lawrence Berkeley National Laboratory & SciDAC). Editorial decisions are our own and do not necessarily reflect the views of the institutions we are affiliated with.

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Viewing: 1 - 50 of 242 papers

1.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 22 Oct 2010 Last Revised: 31 Jan 2011
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,178
2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,279
3.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 9,139
4.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,140
5.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 6,989
6.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 6,568
7.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,373
8.

Measuring Loss Potential of Hedge Fund Strategies

Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25 Posted: 04 Jan 2005
Accepted Paper Series
Guggenheim Partners, LLC and UBS Wealth Managment Research
Downloads 6,084
9.

Classification-Based Financial Markets Prediction Using Deep Neural Networks

Algorithmic Finance, 2016.
Number of pages: 20 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Accepted Paper Series
Illinois Institute of Technology - Stuart School of Business, IIT, Northwestern University and Northwestern University
Downloads 4,680
10.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,539
11.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 4,327
12.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,321
13.

All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms

Number of pages: 19 Posted: 09 Apr 2016
Working Paper Series
Quantopian Inc, Quantopian Inc., Quantopian Inc and Quantopian Inc
Downloads 4,261
14.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,195
15.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 3,040
16.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,942
17.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,877
18.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,803
19.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,715
20.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,495
21.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Working Paper Series
Guggenheim Partners, LLC and University of Oxford - Mathematical Institute
Downloads 2,422
22.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,403
23.

A Tutorial for Using Twitter Data in the Social Sciences: Data Collection, Preparation, and Analysis

Number of pages: 95 Posted: 06 Jan 2016
Working Paper Series
Dept. of Communication, U of Mainz, Germany and University of Konstanz - Deptment of Politics and Public Administration
Downloads 2,299
24.

Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

Number of pages: 33 Posted: 11 Jan 2016 Last Revised: 14 Aug 2016
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,125
25.

Understanding Modern Banking Ledgers Through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money

Number of pages: 33 Posted: 24 Nov 2015
Working Paper Series
University College London - Department of Statistical Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 2,083
26.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,032
27.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014
Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 1,933
28.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue).
Number of pages: 22 Posted: 01 Jul 2014 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 1,877
29.

Deep Learning for Mortgage Risk

Number of pages: 68 Posted: 23 Jun 2016 Last Revised: 09 Jul 2016
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 1,735
30.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,692
31.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University
Downloads 1,655
32.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Number of pages: 22 Posted: 07 Oct 2011
Working Paper Series
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,555
33.

Blockchain Technology: What is it Good for?

Number of pages: 5 Posted: 01 Sep 2016
Working Paper Series
Lebanese American University
Downloads 1,534
34.

Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 21-42
Number of pages: 23 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Guggenheim Partners, LLC
Downloads 1,419
35.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Guggenheim Partners, LLC
Downloads 1,407
36.

How Long Does It Take to Recover from a Drawdown?

Number of pages: 43 Posted: 22 Apr 2013 Last Revised: 29 Jun 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,361
37.

A Journey Through the 'Mathematical Underworld' of Portfolio Optimization

Number of pages: 26 Posted: 11 Feb 2013 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,326
38.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,319
39.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 1,276
40.

Forecasting ETFs with Machine Learning Algorithms

Number of pages: 26 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Downloads 1,212
41.

The Future of Empirical Finance

Journal of Portfolio Management, 41(4). Summer 2015. Forthcoming.
Number of pages: 12 Posted: 24 May 2015 Last Revised: 05 Jul 2015
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 1,179
42.

Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi

Number of pages: 6 Posted: 07 Jul 2015 Last Revised: 13 Sep 2015
Working Paper Series
Illinois Institute of Technology - Stuart School of Business, IIT, Northwestern University and Northwestern University
Downloads 1,143
43.

Backtesting

Number of pages: 33 Posted: 16 May 2015 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,088
44.

The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 43-85
Number of pages: 44 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Guggenheim Partners, LLC
Downloads 1,086
45.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,084
46.

The Sharp Razor: Performance Evaluation with Non-Normal Returns

Number of pages: 45 Posted: 23 Sep 2012 Last Revised: 28 Jul 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,068
47.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Working Paper Series
Université Paris Est - Université Paris Est-Creteil
Downloads 980
48.

Cross-Firm Information Flows and the Predictability of Stock Returns

Number of pages: 77 Posted: 11 May 2013 Last Revised: 21 Mar 2016
Working Paper Series
University of California, Davis - Graduate School of Management and Board of Governors of the Federal Reserve System
Downloads 969
49.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 935
50.

Deep Learning for Limit Order Books

Number of pages: 39 Posted: 04 Jan 2016 Last Revised: 11 Jan 2017
Working Paper Series
Imperial College London - Department of Mathematics
Downloads 908