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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.

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Viewing: 1 - 50 of 619 papers

1.

Bitcoin Sentiment Index, Performance and US Dollar Exchange Rate

Number of pages: 30 Posted: 04 Jun 2020
Working Paper Series
Sukkur IBA University, Sukkur IBA University and Sukkur IBA University
Downloads 3
2.

Human Interactions and Financial Investment: A Video-Based Approach

Number of pages: 89 Posted: 04 Jun 2020
Working Paper Series
Yale School of Management and Yale School of Management
Downloads 16
3.

Boosting Poisson Regression Models with Telematics Car Driving Data

Number of pages: 25 Posted: 04 Jun 2020
Working Paper Series
Renmin University of China - School of Statistics, affiliation not provided to SSRN and RiskLab, ETH Zurich
Downloads 19
4.

Fintech: New Battle Lines in the Patent Wars?

Cardozo Law Review, Forthcoming
Number of pages: 51 Posted: 03 Jun 2020
Accepted Paper Series
Catholic University of America (CUA) - Columbus School of Law and Catholic University of America (CUA) - Columbus School of Law
Downloads 5
5.

Three Machine Learning Solutions to the Bias-Variance Dilemma (Seminar Slides)

Number of pages: 27 Posted: 28 May 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,223
6.

Empirical Study of Market Impact Conditional on Order-Flow Imbalance

Number of pages: 132 Posted: 28 May 2020
Working Paper Series
University College London - Department of Computer Science
Downloads 16
7.

Effective Enforcement of a Data Protection: A Model for Risk-Based Supervision Using Responsive Regulatory Tools

Number of pages: 29 Posted: 27 May 2020
Working Paper Series
Dvara Research, Dvara Research and affiliation not provided to SSRN
Downloads 7
8.

Humans vs Machines: Soft and Hard Information in Corporate Loan Pricing

Number of pages: 50 Posted: 15 May 2020
Working Paper Series
Duke University, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 80
9.

The Dark Side of Unregulated Artificial Intelligence: Evidence from Online Marketplace Lending

Number of pages: 75 Posted: 08 May 2020
Working Paper Series
The Chinese University of Hong Kong (CUHK), Hong Kong Polytechnic University and Fordham University - Gabelli School of Business
Downloads 43
10.

Are All Heuristics Created Equal? Evidence from P2P Investments

Number of pages: 62 Posted: 08 May 2020 Last Revised: 18 May 2020
Working Paper Series
Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) and Chinese University of Hong Kong
Downloads 18
11.

A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Number of pages: 18 Posted: 07 May 2020
Working Paper Series
Financial Services, New York
Downloads 32
12.

Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

Number of pages: 30 Posted: 05 May 2020
Working Paper Series
Illinois Institute of Technology
Downloads 236
13.

Adaptive Robust Control in Continuous-Time

Number of pages: 28 Posted: 05 May 2020 Last Revised: 07 May 2020
Working Paper Series
University of Oxford - Mathematical Institute and University of Oxford
Downloads 46
14.

Using Alternative Date to Predict Key Performance Indicators

Number of pages: 38 Posted: 05 May 2020
Working Paper Series
Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University and Cornell Financial Engineering Manhattan
Downloads 79
15.

False Dreams of Algorithmic Fairness: The Case of Credit Pricing

Number of pages: 93 Posted: 05 May 2020
Working Paper Series
Harvard University, Law School
Downloads 97
16.

The Changing Economics of Knowledge Production

Number of pages: 35 Posted: 01 May 2020
Working Paper Series
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 58
17.

Analysis of Bitcoin Returns Volatility using AR-GARCH Modelling

Number of pages: 14 Posted: 27 Apr 2020
Working Paper Series
Alliance University - School of Business
Downloads 29
18.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,309
19.

Empowerment of Grassroots Consumers: A Revelatory Case of a Chinese FinTech Innovation

Journal of the Association for Information Systems, Forthcoming
Number of pages: 56 Posted: 22 Apr 2020
Accepted Paper Series
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Information Systems, National University of Singapore (NUS) and South China University of Technology
Downloads 14
20.

Three Quant Lessons from COVID-19

Risk Magazine, April 2020.
Number of pages: 6 Posted: 21 Apr 2020 Last Revised: 01 May 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 307
21.

Using Long Short-Term Memory Neural Networks to Analyze Sec 13D Filings: A Recipe for Human and Machine Interaction

Intelligent Systems in Accounting, Finance and Management, 26, 153–163, 2019,
Posted: 13 Apr 2020
Accepted Paper Series
Rhode Island College - Department of Economics and Finance, Bryant University - Department of Finance and Bryant University - Department of Finance
22.

Optimal Portfolio Trading: Adaptive Multi-period Trade Execution

Number of pages: 20 Posted: 09 Apr 2020 Last Revised: 20 Apr 2020
Working Paper Series
HSE Moscow and BlackRock
Downloads 49
23.

Passive Aggressive Portfolio Selection with Neural Network Ensembles

Number of pages: 27 Posted: 08 Apr 2020
Working Paper Series
AllianceBernstein
Downloads 50
24.

A Forecast Combination Approach to Equity Factor Timing

Risk & Reward, 2020, 1st issue, pp. 41-46
Number of pages: 8 Posted: 07 Apr 2020
Accepted Paper Series
affiliation not provided to SSRN, Invesco and Invesco
Downloads 82
25.

Where Do We Stand in Cryptocurrencies Economic Research? A Survey Based on Hybrid Analysis

Number of pages: 28 Posted: 06 Apr 2020
Working Paper Series
Universitat Rovira i Virgili - Department of Business and Universitat Rovira i Virgili - Department of Business
Downloads 37
26.

Financial Regulation of Consumer-Facing Fintech in India: Status Quo and Emerging Concerns

Number of pages: 48 Posted: 06 Apr 2020
Working Paper Series
Dvara Research
Downloads 16
27.

Who Benefits from Robo-advising? Evidence from Machine Learning

Number of pages: 71 Posted: 03 Apr 2020
Working Paper Series
Georgetown University and Vanguard
Downloads 119
28.
Downloads 10
29.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 08 May 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads 9,033
30.

Analysis of the Effect of COVID-19 on the Stock Market and Investing Strategies

Number of pages: 17 Posted: 30 Mar 2020 Last Revised: 11 May 2020
Working Paper Series
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, College of Business, Department of Finance, University of Illinois at Urbana-Champaign and University of Illinois Urbana Champaign
Downloads 2,225
31.

The Failures of Peer-to-Peer Lending Platform Finance and Politics

Number of pages: 59 Posted: 18 Mar 2020 Last Revised: 12 May 2020
Working Paper Series
Renmin University of China and The Chinese University of Hong Kong (CUHK)
Downloads 63
32.

Transforming Paradigms: A Global AI in Financial Services Survey

Number of pages: 128 Posted: 18 Mar 2020
Working Paper Series
University of Cambridge - Department of Engineering, affiliation not provided to SSRN, Cambridge Centre for Alternative Finance, Cambridge Judge Business School, University of Cambridge, affiliation not provided to SSRN, University of Cambridge - Cambridge Centre for Alternative Finance, affiliation not provided to SSRN, University of Cambridge - Judge Business School, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Cambridge - Cambridge Centre for Alternative Finance, University of Cambridge, Open University, UK, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Cambridge - Cambridge Centre for Alternative Finance and University of Cambridge - Cambridge Centre for Alternative Finance
Downloads 125
33.

Economic Versus Statistical Clustering in Multi-Asset Multi-Factor Strategies

Risk & Reward, 2020, 1st issue, pp. 26-32
Number of pages: 8 Posted: 16 Mar 2020
Accepted Paper Series
Invesco, Invesco, Invesco and Invesco
Downloads 293
34.

High Frequency Trading Strategy for the 30 Year Treasury Bond

Number of pages: 30 Posted: 13 Mar 2020
Working Paper Series
Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University and Cornell University
Downloads 98
35.

Algorithms in Future Capital Markets

Number of pages: 23 Posted: 11 Mar 2020 Last Revised: 13 May 2020
Working Paper Series
Department of Computer Science, University College London, UCL - Computer Science and University College London
Downloads 506
36.

Lean Accounting VS Financial Management: Awareness and Overview

Number of pages: 6 Posted: 10 Mar 2020
Working Paper Series
The American University in Cairo
Downloads 34
37.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 5,196
38.

Which European Regulation for Security Tokens?

Number of pages: 13 Posted: 08 Mar 2020
Working Paper Series
Centre européen de droit et d'économie
Downloads 22
39.

Technological Innovation and Discrimination in Household Finance

Number of pages: 28 Posted: 08 Mar 2020
Working Paper Series
University of California, Berkeley - Haas School of Business and Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Downloads 30
40.

Dependence Structure of Market States

Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015
Number of pages: 19 Posted: 07 Mar 2020
Accepted Paper Series
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 32
41.

Clustered Feature Importance (Presentation Slides)

Number of pages: 35 Posted: 06 Mar 2020 Last Revised: 28 May 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,735
42.

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, 19(1):1-23, 2016
Number of pages: 19 Posted: 05 Mar 2020
Accepted Paper Series
University of Duisburg-Essen and University of Duisburg-Essen

Multiple version iconThere are 2 versions of this paper

Downloads 23
43.

Deep Learning for Asset Bubbles Detection

Swiss Finance Institute Research Paper No. 20-08
Number of pages: 27 Posted: 02 Mar 2020 Last Revised: 09 Mar 2020
Working Paper Series
HEC Lausanne and EPFL
Downloads 112
44.

Overfitting: Causes and Solutions (Seminar Slides)

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,405
45.

The Stock Market Tips

Number of pages: 41 Posted: 25 Feb 2020 Last Revised: 12 Mar 2020
Working Paper Series
Binghamton University, The State University of New York
Downloads 27
46.

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

Number of pages: 69 Posted: 24 Feb 2020 Last Revised: 23 Mar 2020
Working Paper Series
Eberhard Karls Universität Tübingen, University of Tuebingen - Faculty of Economics and Social Sciences, Leibniz Institute for Financial Research SAFE and University of Tübingen
Downloads 131
47.

Learning Cross-dependency of Cryptocurrencies from Multivariate Time Series Models

Number of pages: 8 Posted: 18 Feb 2020
Working Paper Series
affiliation not provided to SSRN and The University of Sydney
Downloads 20
48.

Using Natural Language Processing to Assess Text Usefulness to Readers: The Case of Conference Calls and Earnings Prediction

Number of pages: 53 Posted: 14 Feb 2020 Last Revised: 05 Jun 2020
Working Paper Series
Washington University in Saint Louis - Olin Business School, Washington University in St. Louis and Brigham Young University
Downloads 544
49.

The Privacy Judgment and Financial Inclusion in India

Economic & Political Weekly (EPW), Vol LII No. 51, 2017
Number of pages: 4 Posted: 13 Feb 2020
Accepted Paper Series
Dvara Research
Downloads 8
50.

Introduction

Proceedings of The First International Conference on Artificial Intelligence Applications on Wall Street, published by the IEEE Computer Society Press (1991), ISBN 0-8186-2240-7
Number of pages: 8 Posted: 13 Feb 2020
Working Paper Series
Inductive Solutions, Inc.
Downloads 12