Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 724,527
Full Text Papers: 609,918
Authors: 334,222
Papers Received in
  Last 12 months:
63,618

Paper Downloads:
To date: 110,476,373
Last 12 months: 13,516,782
Last 30 days: 1,205,833

CiteReader:  What's this?
Papers with
  Resolved
  References:
316,866
Total References: 9,134,094
Papers with Cites: 247,932
Total Citation
  Links:
5,974,042
Papers with
  Resolved
  Footnotes:
93,244
Total Footnotes: 9,029,811


SSRN eLibrary Search Results
Big Data & Innovative Financial Technologies Research Paper Series
182,300 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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.

Showing Papers 1 - 50 of 203
Sort By
1 2 3 4 5 | Next >
   

Incl. Electronic Paper Quantifying the Diversity of News Around Stock Market Moves
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis, Quantifying the diversity of news around stock market moves, Journal of Network Theory in Finance 3(1), 1–20 (2017).,
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis
Boston University, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University College London - Department of Civil, Environmental and Geomatic Engineering and Data Science Lab, Behavioural Science, Warwick Business School
Date Posted: March 23, 2017
Accepted Paper Series
32 downloads

Incl. Electronic Paper International Accounting Databases on WRDS: Comparative Analysis
Rui Dai
Wharton Research Data Services
Date Posted: March 23, 2017
Working Paper Series
8 downloads

Funding, Collateral, and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments Using Modified Black-Scholes Models
Alexander Okhuese Victor
Independent
Date Posted: March 22, 2017
Working Paper Series

Incl. Electronic Paper Optimal Market Making Based on the Hamilton-Jacobi-Bellman Equation-Integral Utility with a Discount
Atsunari Konishi
KEK Theory Center
Date Posted: March 15, 2017
Last Revised: March 17, 2017
Working Paper Series
43 downloads

Incl. Electronic Paper Debt Composition and Lax Screening in the Israel Corporate Bond Market
Uri Benzion, Koresh Galil, Eyal Lahav and Offer Moshe Shapir
Western Galilee College - Department of Economics, Ben-Gurion University of the Negev - Department of Economics, College of Management Academic Studies and New York University (NYU) - NYU Shanghai
Date Posted: March 02, 2017
Last Revised: March 06, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives Over One Time Step in the Presence of General Convex Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Last Revised: February 22, 2017
Working Paper Series
85 downloads

Incl. Electronic Paper A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Ca' Foscari University of Venice and Scuola Normale Superiore
Date Posted: February 08, 2017
Last Revised: March 09, 2017
Working Paper Series
139 downloads

Incl. Electronic Paper Supercomputing for Finance: A Gentle Introduction (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: January 30, 2017
Last Revised: February 01, 2017
Working Paper Series
395 downloads

Incl. Electronic Paper Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
Antoaneta Serguieva
University College London - Financial Computing and Analytics Group, Department of Computer Science
Date Posted: January 25, 2017
Last Revised: March 21, 2017
Working Paper Series
133 downloads

Incl. Electronic Paper Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Date Posted: January 23, 2017
Working Paper Series
184 downloads

Incl. Electronic Paper Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Date Posted: January 23, 2017
Working Paper Series
177 downloads

Incl. Electronic Paper Cloaked Trading
Journal of Investment Consulting, Vol. 17, No. 2, 2016
Lauren Cohen, Dong Lou and Christopher J. Malloy
Harvard Business School, London School of Economics & Political Science (LSE) and Harvard Business School
Date Posted: January 20, 2017
Last Revised: January 28, 2017
Accepted Paper Series
234 downloads

Incl. Electronic Paper Forecasting ETFs with Machine Learning Algorithms
Jim Kyung-Soo Liew and Boris Mayster
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Date Posted: January 17, 2017
Last Revised: January 30, 2017
Working Paper Series
745 downloads

Incl. Electronic Paper Financial Management for Innovation Fintech-Start-Ups vs. Usual Companies
Benjamin Wiegner
Kharkov State Polytechnic University, Business Economics, Students
Date Posted: January 05, 2017
Working Paper Series
52 downloads

Incl. Electronic Paper The Diffusion of an Integrated Activity-Based Costing (ABC) with the Economic Value Added (EVA) Next to Tunisian Enterprises
Social Economic Debates, Volume 5, Issue 2, 2016
Habib Affes
University of Sfax
Date Posted: December 29, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling
Christian P. Fries
LMU Munich, Department of Mathematics
Date Posted: December 29, 2016
Last Revised: March 06, 2017
Working Paper Series
54 downloads

Incl. Electronic Paper InfoTrad: An Extensive R Package for Estimating the Probability of Informed Trading
Duygu Celik and Murat Tiniç
Bilkent University, Department of Management and Bilkent University - Department of Management
Date Posted: December 26, 2016
Working Paper Series
153 downloads

Incl. Electronic Paper The Blockchain: A Gentle Introduction
Jan Hendrik Witte
University of Oxford - Mathematical Institute
Date Posted: December 19, 2016
Working Paper Series
377 downloads

Incl. Electronic Paper 'Algorithmic Trading and Its Implications on Capital Markets'
2nd International Conference on Business Analytics & Intelligence (ICBAI) held at the Indian Institute of Science, Bangalore (India).
Sriram "Sri" Kannan
IBM
Date Posted: December 15, 2016
Accepted Paper Series
98 downloads

Incl. Electronic Paper Using Dynamic Model Averaging in State Space Representation with Dynamic Occam's Window and Applications to the Stock and Gold Market
Marian Risse and Ludwig Ohl
University of the German Federal Armed Forces - Helmut Schmidt Universität and University of Duisburg-Essen
Date Posted: December 01, 2016
Last Revised: March 23, 2017
Working Paper Series
62 downloads

Incl. Electronic Paper The Statistics of Bitcoin and Cryptocurrencies
Advanced Risk & Portfolio Management Paper
Joerg Osterrieder
Zurich University of Applied Sciences
Date Posted: November 18, 2016
Last Revised: November 25, 2016
Accepted Paper Series
223 downloads

Incl. Electronic Paper Event Study on the Reaction of Stock Returns to Acquisition News
Fotoh Lazarus Elad and Nko Solange Bongbee
Karlstad University Business School, Student and TD Bank
Date Posted: November 18, 2016
Working Paper Series
101 downloads

Incl. Electronic Paper Bitcoin and Cryptocurrencies - Not for the Faint-Hearted
Advanced Risk & Portfolio Management Paper
Joerg Osterrieder, Julian Lorenz and Martin Strika
Zurich University of Applied Sciences, Independent and Zurich University of Applied Sciences
Date Posted: November 17, 2016
Last Revised: November 28, 2016
Accepted Paper Series
141 downloads

Incl. Electronic Paper Risk Control of Mean-Reversion Time in Statistical Arbitrage
Joongyeub Yeo and George Papanicolaou
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Department of Mathematics
Date Posted: November 14, 2016
Last Revised: November 19, 2016
Working Paper Series
439 downloads

Incl. Electronic Paper Why Wisdom of the Crowd has Predictive Power for the Financial Markets?
Swapnil Barmase and Prasanta K. Panigrahi
IESE Business School and Indian Institute of Science Education and Research (IISER), Kolkata
Date Posted: November 11, 2016
Last Revised: November 14, 2016
Working Paper Series
138 downloads

Role of Big Data and Predictive Analytics
International Journal of Automation and Logistics, Vol. 2(4): 307-331 (Inderscience Publ., UK; Google Scholar, ProQuest, Inspec, Cabell’s), 2016,
Shirish Jeble, Sneha Kumari and Yogesh Patil
IBS Business School - IBS Pune, Symbiosis International University - Symbiosis Centre for Research and Innovation and Symbiosis International University, Pune, India
Date Posted: November 11, 2016
Last Revised: December 07, 2016
Accepted Paper Series

Incl. Electronic Paper A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour
Big Data & Innovative Financial Technologies Research Paper Series
Joerg Osterrieder and Julian Lorenz
Zurich University of Applied Sciences and Independent
Date Posted: November 10, 2016
Last Revised: November 24, 2016
Accepted Paper Series
244 downloads

Incl. Electronic Paper Evolution of Regenerative Ca-Ion Wave-Packet in Neuronal-Firing Fields: Quantum Path-Integral with Serial Shocks
L. Ingber, "Evolution of regenerative Ca-ion wave-packet in neuronal-firing fields: Quantum path-integral with serial shocks,'' International Journal of Innovative Research in Information Security 4 (2), 14-21 (2017)
Lester Ingber Lester Ingber Research (LIR)
Date Posted: November 04, 2016
Last Revised: March 03, 2017
Accepted Paper Series
17 downloads

Incl. Electronic Paper A Central Limit Theorem for the Number of Factors with High Frequency Data
Xinbing Kong, Zhi Liu and Zhou Wang
Soochow University, University of Macau and National University of Singapore (NUS)
Date Posted: November 01, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper Underdetermination and Variability of the Results in Macro-to-Micro Stress Tests – A Machine Learning Approach
Alexander Denev and Orazio Angelini
IHS Markit and IHS Markit
Date Posted: October 26, 2016
Working Paper Series
99 downloads

Incl. Electronic Paper Mathematics & Economics: A Reality Check (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: October 13, 2016
Working Paper Series
443 downloads

Incl. Electronic Paper Examining Taxation of Fiat Money and Bitcoins vis-a-vis Regulated Cryptocurrencies
Kartik Hegadekatti and Yatish S G
Government of India, Ministry of Railways and Government of India, Ministry of Railways
Date Posted: October 04, 2016
Working Paper Series
52 downloads

Incl. Electronic Paper Does it Pay to Pay Attention?
Finance Down Under 2017 Building on the Best from the Cellars of Finance
Antonio Gargano and Alberto G. Rossi
University of Melbourne - Department of Finance and University of Maryland - Department of Finance
Date Posted: October 01, 2016
Last Revised: November 13, 2016
Working Paper Series
75 downloads

Incl. Electronic Paper A Minimal Agent-Based Model Reproduces the Overall Topology of Interbank Networks
Sara Cuenda, Maximiliano Fernández, Javier Galeano and José Ángel Capitán
Universidad Autónoma de Madrid, Universidad Politécnica de Madrid, Universidad Politécnica de Madrid and Universidad Politécnica de Madrid
Date Posted: September 22, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Date Posted: September 20, 2016
Last Revised: October 21, 2016
Working Paper Series
74 downloads

Incl. Electronic Paper Developing a Data Science Approach to Detecting Income Fraud for the Peer to Peer Loan Industry
David Keough, Nicolaus Enko and Brian M. Shake
Lipscomb University, Students, Lipscomb University, Students and Lipscomb University, Students
Date Posted: September 09, 2016
Working Paper Series
95 downloads

Incl. Electronic Paper Low-Frequency Trading with High-Frequency Measures: Is it Profitable?
Oleg Komarov
Imperial College London
Date Posted: September 02, 2016
Last Revised: February 07, 2017
Working Paper Series
286 downloads

Incl. Electronic Paper Can Cryptocurrencies Fulfil the Functions of Money?
Columbia University, Center on Capitalism and Society, Working Paper No. 92, August 2016
Saifedean Hisham Ammous
Lebanese American University
Date Posted: September 01, 2016
Working Paper Series
194 downloads

Incl. Electronic Paper Blockchain Technology: What is it Good for?
Saifedean Hisham Ammous
Lebanese American University
Date Posted: September 01, 2016
Working Paper Series
922 downloads

Incl. Electronic Paper Do Tweet Sentiments Still Predict the Stock Market?
Jim Kyung-Soo Liew and Tamás Budavári
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Date Posted: August 22, 2016
Working Paper Series
402 downloads

Incl. Electronic Paper The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market
Thomas K. Philips and Steven Friedman
BNP Paribas Investment Partners and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: August 21, 2016
Last Revised: August 27, 2016
Working Paper Series
41 downloads

Incl. Electronic Paper A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases
Claudia Yeap, Simon Kwok and Boris Choy
University of Sydney Business School, The University of Sydney and University of Sydney Business School
Date Posted: August 14, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Mathematics and Economics: A Reality Check
Journal of Portfolio Management, Vol. 43, No. 1, 2016
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: August 13, 2016
Last Revised: August 21, 2016
Accepted Paper Series
756 downloads

Incl. Electronic Paper Conceptualization and Theorization of the Big Data
International Journal of Innovation (IJI Journal), Vol. 4(2), No. 2, pp. 23-41, 2016
Marcos Mazieri and Eduardo Dantas Soares
Universidade Nove de Julho (UNINOVE) and Universidade Nove de Julho (UNINOVE)
Date Posted: August 12, 2016
Accepted Paper Series
92 downloads

Incl. Electronic Paper Financialization, Inequality and Crisis
Paper presented at ICOPEC in Istanbul-Turkey, June 2016
Mehmet Sisman
Marmara University - Faculty of Economics/Department of Economics
Date Posted: August 10, 2016
Accepted Paper Series
44 downloads

Incl. Electronic Paper The Neural Schema for Big Data
Suraj Kumar
Government of India
Date Posted: July 18, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Health Data for Common Good: Defining the Boundaries and Social Dilemmas of Data Commons
in Ronald Leenes, Nadezhda Purtova, Samantha Adams (eds.) (2017) Under Observation - The Interplay Between eHealth and Surveillance, Springer, , Tilburg Law School Research Paper No. 15/2016
Nadezhda Purtova
Tilburg Institute for Law, Technology and Society
Date Posted: July 15, 2016
Last Revised: February 17, 2017
Accepted Paper Series
207 downloads

Incl. Electronic Paper How to Regulate Disruptive Innovation - From Facts to Data
Jurimetrics, Volume 57, Issue No. 2, 2017 Forthcoming, U of St. Thomas (Minnesota) Legal Studies Research Paper No. 16-13
Wulf A. Kaal and Erik P. M. Vermeulen
University of St. Thomas, Minnesota - School of Law and Tilburg University - Department of Business Law
Date Posted: July 12, 2016
Last Revised: September 17, 2016
Working Paper Series
416 downloads

Incl. Electronic Paper Forward Looking Versus Backward Looking: An Empirical Study on the Effectiveness of Credit Evaluation System in China's Online P2P Lending Market
China Financial Review International, Forthcoming
Yanyan Gao, Jun Sun and Qin Zhou
Southeast University - School of Economics and Management, HuaiHai Institute of Technology and Southeast University (China) - School of Economics and Management
Date Posted: July 06, 2016
Last Revised: December 14, 2016
Accepted Paper Series
86 downloads

Incl. Electronic Paper Deep Learning for Mortgage Risk
Justin Sirignano, Apaar Sadhwani and Kay Giesecke
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Date Posted: June 23, 2016
Last Revised: July 09, 2016
Working Paper Series
1093 downloads


 

1 2 3 4 5 | Next >