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Big Data & Innovative Financial Technologies Research Paper Series

Berkeley Lab - Lawrence Berkeley National Laboratory Logo  

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.

366,488 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 457 papers

1.

Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning

Number of pages: 44 Posted: 03 Feb 2019
Working Paper Series
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Rutgers University, Newark - School of Business - Department of Finance & Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 45
4.

Innovation and Industry Selection

Number of pages: 13 Posted: 19 Jan 2019
Working Paper Series
ExtractAlpha
Downloads 40
5.

Blockchain Analytics for Intraday Financial Risk Modeling

Number of pages: 25 Posted: 19 Jan 2019
Working Paper Series
Illinois Institute of Technology, University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science, Department of Mathematical Sciences and University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science
Downloads 46
6.

Bitcoin and Blockchain: A Threat or Opportunity for the Financial System

European Journal of Economics and Business Studies, September-December 2018, Volume 4, Issue 3
Number of pages: 7 Posted: 18 Jan 2019
Accepted Paper Series
Istanbul University
Downloads 34
7.

Effect of Existence Trust, Usefulness, Security, Usability, and Benefits of Interests Use of E-Money in Public

Number of pages: 18 Posted: 15 Jan 2019 Last Revised: 16 Jan 2019
Working Paper Series
State University of Jakarta, State University of Jakarta and State University of Jakarta - Faculty of Economics
Downloads 18
8.

A Peer to Peer Ecosystem for Cash Equity Trading

Number of pages: 8 Posted: 13 Jan 2019
Working Paper Series
Independent
Downloads 21
9.

Inter Bank Contagion in US

Number of pages: 61 Posted: 12 Jan 2019
Working Paper Series
Edith Cowan University
Downloads 10
10.

Can Big Data Defeat Traditional Credit Rating?

Number of pages: 51 Posted: 11 Jan 2019
Working Paper Series
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, BaiRong Financial Information Service Co., Ltd, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 75
11.

Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?

Number of pages: 11 Posted: 10 Jan 2019
Working Paper Series
Ministry of Finance - Japan and Ministry of Finance - Japan - Policy Research Institute
Downloads 91
12.

Deep Learning-Based Cryptocurrency Sentiment Construction

Number of pages: 20 Posted: 08 Jan 2019
Working Paper Series
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt Universität zu Berlin
Downloads 72
13.

Stock Price Prediction Using Kernel Adaptive Filtering Within a Stock Market Interdependence Approach

Number of pages: 24 Posted: 08 Jan 2019
Working Paper Series
University of Manchester - School of Computer Science, University of Manchester and University of Manchester - School of Computer Science
Downloads 54
14.

How to Develop a Peer-to-Peer Electronic Accounting System

Number of pages: 14 Posted: 02 Jan 2019
Working Paper Series
Independent
Downloads 28
15.

The Signal and the Birth of the Digital Economy

Number of pages: 5 Posted: 02 Jan 2019 Last Revised: 09 Jan 2019
Working Paper Series
New York Life Insurance Company
Downloads 27
16.

The Cross-Section of Asset Synchronicity by Elastic-Net

Number of pages: 83 Posted: 01 Jan 2019
Working Paper Series
Cheung Kong Graduate School of Business and Office of the Comptroller of the Currency, Department of the Treasury
Downloads 61
17.

Systematic and Discretionary Hedge Funds: Classification and Performance Comparison

Number of pages: 26 Posted: 29 Dec 2018
Working Paper Series
Yuan Ze University - College of Management and Department of Finance, National Taiwan University
Downloads 57
18.

Can Cryptocurrencies Preserve Privacy and Comply with Regulations?

Number of pages: 18 Posted: 19 Dec 2018
Working Paper Series
University College London and University College London
Downloads 17
19.

Risk Scoring for Non-Bank Financial Institutions

Number of pages: 9 Posted: 18 Dec 2018
Working Paper Series
Economy Monitor
Downloads 38
20.

Implementierung Von Finanzierungsnetzwerken Im Rahmen Von Kryptoprojekten (Implementation of Finance Networks in the Framework of Crypto Projects)

Number of pages: 17 Posted: 18 Dec 2018 Last Revised: 15 Feb 2019
Working Paper Series
Rheinische Fachhochschule Köln
Downloads 18
21.

The Professional Trader’s Paradox

Number of pages: 3 Posted: 12 Dec 2018
Working Paper Series
Independent
Downloads 42
22.

A Picture Is Worth a Thousand Words: Market Sentiment From Photos

Number of pages: 59 Posted: 10 Dec 2018 Last Revised: 15 Dec 2018
Working Paper Series
University of Missouri at Columbia - Department of Finance and University of Missouri, Columbia
Downloads 199
23.

The Economics of Digital Token Cross-Listings

Number of pages: 61 Posted: 05 Dec 2018 Last Revised: 18 Dec 2018
Working Paper Series
Boston College - Carroll School of Management
Downloads 151
24.

Bitcoin Futures: From Self-Certification to Systemic Risk

Forthcoming in North Carolina Banking Institute Journal, Volume 23, Duke Law School Public Law & Legal Theory Series No. 2019-13
Number of pages: 32 Posted: 03 Dec 2018 Last Revised: 19 Feb 2019
Accepted Paper Series
Duke University School of Law
Downloads 85
25.

A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market

Number of pages: 9 Posted: 28 Nov 2018 Last Revised: 09 Dec 2018
Working Paper Series
Ministry of Finance - Japan
Downloads 78
26.

Growing Semantic Vines for Robust Asset Allocation

Knowledge-Based Systems, 165 pp 297-305
Posted: 21 Nov 2018 Last Revised: 21 Jan 2019
Accepted Paper Series
Nanyang Technological University (NTU), Nanyang Technological University (NTU) and Massachusetts Institute of Technology (MIT)
27.

Understanding the Disruptive Technology Ecosystem in Australian Urban and Housing Contexts: A Roadmap

AHURI Final Report No. 304, Australian Housing and Urban Research Institute Limited, Melbourne, doi:10.18408/ahuri-7115101; ISBN: 978-1-925334-68-5
Number of pages: 74 Posted: 21 Nov 2018
Accepted Paper Series
University of New South Wales (UNSW), City Futures Research Centre, RMIT University, Swinburne Law School and Swinburne University of Technology
Downloads 24
28.

Swensen, Pele, and the Blockchain

Number of pages: 16 Posted: 17 Nov 2018
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 148
29.

A Modified Risk Parity Method for Asset Allocation

Number of pages: 16 Posted: 15 Nov 2018
Working Paper Series
Independent and Trace3
Downloads 95
30.

Token Sales and Initial Coin Offerings: Introduction

The Journal of Alternative Investments, 22 (4), Spring 2019, 1-6.
Posted: 14 Nov 2018 Last Revised: 01 Feb 2019
Accepted Paper Series
University of California, Los Angeles (UCLA)
31.

Returns to Initial Coin Offerings: An Empirical Examination

Number of pages: 42 Posted: 14 Nov 2018
Working Paper Series
University of Michigan, Stephen M. Ross School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 104
32.

The Impact of Mobile Payment Channel on Consumer Consumption: Evidence from Alipay

Number of pages: 35 Posted: 12 Nov 2018
Working Paper Series
University of Illinois at Urbana-Champaign - College of Business, New York University (NYU) - Leonard N. Stern School of Business and Nanjing University - Research Center for Banking
Downloads 240
33.
34.

Deep Learning for Global Tactical Asset Allocation

Number of pages: 16 Posted: 11 Nov 2018
Working Paper Series
Qplum and Qplum
Downloads 228
35.

Quantitative Fundamentals. Application of Piotroski F-Score on Non-U.S. Markets.

Number of pages: 18 Posted: 09 Nov 2018
Working Paper Series
Independent
Downloads 68
36.

Is Panama Really Your Tax Haven? Secrecy Jurisdictions and the Countries They Harm

Jansky P., Meinzer M. and Palansky M. (2018): "Is Panama Really Your Tax Haven? Secrecy Jurisdictions and the Countries They Harm" IES Working Papers 23/2018. IES FSV. Charles University.
Number of pages: 29 Posted: 08 Nov 2018
Working Paper Series
Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Tax Justice Network and Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students
Downloads 41
37.

The Momentum of News

Number of pages: 55 Posted: 08 Nov 2018
Working Paper Series
Central University of Finance and Economics (CUFE), The Chinese University of Hong Kong, Shenzhen and Shanghai University of Finance and Economics
Downloads 221
38.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Working Paper Series
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 60
39.

Herding and Flash Events: Evidence From the 2010 Flash Crash

Finance Research Letters, 2019
Number of pages: 9 Posted: 02 Nov 2018 Last Revised: 28 Dec 2018
Accepted Paper Series
Southern Illinois University Edwardsville - Department of Economics & Finance, Loyola University Maryland and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 52
40.

Reaching the Unreached Through Science & Technology for Providing Banking Service in Manipur

Number of pages: 10 Posted: 01 Nov 2018
Working Paper Series
Manipur Rural Bank
Downloads 5
41.

The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study

Number of pages: 62 Posted: 30 Oct 2018
Working Paper Series
Cranfield University - School of Management and Cranfield University - School of Management
Downloads 34
42.

Advances in Financial Machine Learning: Lecture 9/10

Number of pages: 44 Posted: 29 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 895
43.

A Second Order Weak Approximation of SDEs Using Markov Chain Without Levy Area Simulation

Number of pages: 21 Posted: 23 Oct 2018
Working Paper Series
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.
Downloads 7
44.

Advances in Financial Machine Learning: Lecture 8/10

Number of pages: 21 Posted: 21 Oct 2018 Last Revised: 07 Nov 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 546
45.

Advances in Financial Machine Learning: Lecture 1/10

Number of pages: 38 Posted: 21 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 1,225
46.

Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

Kenan Institute of Private Enterprise Research Paper No. 18-31
Number of pages: 49 Posted: 19 Oct 2018
Working Paper Series
University of North Carolina Kenan-Flagler Business School and Pennsylvania State University - Smeal College of Business
Downloads 92
47.

Cryptocurrency: Tulip Mania or Digital Promise for the Millennial Generation?

Posted: 17 Oct 2018 Last Revised: 20 Jan 2019
Working Paper Series
University of Queensland Business School and Quantal International Inc.
48.

Revisiting the Relevance of Financial-Statement for CDS Trading From an Adaptive-Markets Hypothesis Perspective

Number of pages: 30 Posted: 16 Oct 2018
Working Paper Series
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 18
49.

Mathematical Foundation for Ensemble Machine Learning and Ensemble Portfolio Analysis

Number of pages: 48 Posted: 16 Oct 2018
Working Paper Series
Boston University Metropolitan College Department of Computer Science
Downloads 57
50.

Advances in Financial Machine Learning: Lecture 7/10

Number of pages: 39 Posted: 15 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 761