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Big Data & Innovative Financial Technologies Research Paper Series
196,895 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 225
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Incl. Electronic Paper High-Frequency Price Discovery of Gold
Joerg Picard
Grand Valley State University
Date Posted: June 21, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Blockchain in the U.S. Regulatory Setting: Evidentiary Use in Vermont, Delaware, and Elsewhere
Columbia Science & Technology Law Review (May 30, 2017)
Joanna Diane Caytas
Columbia University, Law School
Date Posted: June 20, 2017
Accepted Paper Series
20 downloads

Incl. Electronic Paper Digital Disruption
Paolo Vanini
University of Basel
Date Posted: June 20, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Simulation of a Limit Order Driven Market
Julian Lorenz and Joerg Osterrieder
Independent and Zurich University of Applied Sciences
Date Posted: June 13, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Troublesome Dependency Modeling: Causality, Inference, Statistical Learning
Igor Mandel
Telmar Group Inc.
Date Posted: June 12, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper A Correlation Analysis of Order Aggressiveness
Cumhur Ekinci
Istanbul Technical University
Date Posted: June 09, 2017
Working Paper Series
56 downloads

Incl. Electronic Paper Extracting Latent States from High Frequency Option Prices
Diego Amaya, Jean-François Bégin and Geneviève Gauthier
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Date Posted: May 30, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper Algorithmic Regulation: A Critical Interrogation
TLI Think! Paper 62/2017, Regulation & Governance, Forthcoming
Karen Yeung
The Dickson Poon School of Law
Date Posted: May 23, 2017
Last Revised: June 15, 2017
Accepted Paper Series
387 downloads

Incl. Electronic Paper Clustering Algorithms for Risk-Adjusted Portfolio Construction
Diego Ismael Leon-Nieto Sr., Arbey Aragón, Javier Sandoval, Germán Hernández, Andrés Arévalo and Jaime Niño
Universidad Externado de Colombia, National University of Colombia, Universidad Externado de Colombia, National University of Colombia, National University of Colombia and National University of Colombia
Date Posted: May 15, 2017
Working Paper Series
136 downloads

Incl. Electronic Paper The Performance Evaluation of Machine Learning Classifiers on Financial Microblogging Platforms
Tianyou Hu and Arvind Tripathi
University of Auckland - Department of Information Systems and Operations Management and University of Auckland - Department of Information Systems and Operations Management
Date Posted: May 08, 2017
Working Paper Series
56 downloads

Incl. Electronic Paper The Effect of Social and News Media Sentiments on Financial Markets
Tianyou Hu and Arvind Tripathi
University of Auckland - Department of Information Systems and Operations Management and University of Auckland - Department of Information Systems and Operations Management
Date Posted: May 08, 2017
Working Paper Series
108 downloads

Incl. Electronic Paper The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis
Advances in Data Analysis and Classification (2016) 10:351–373 DOI 10.1007/s11634-015-0216-8 ,
Tiziano Bellini
Ernst & Young, UK
Date Posted: May 05, 2017
Accepted Paper Series
24 downloads

Incl. Electronic Paper Blockchain Applications and Fee Structure Developments in Private Investment Funds
Wulf A. Kaal
University of St. Thomas, Minnesota - School of Law
Date Posted: April 28, 2017
Working Paper Series
227 downloads

Incl. Electronic Paper Is FinTech a Threat to Financial Stability? Evidence from Peer-to-Peer Lending in China
Fabio Braggion, Alberto Manconi and Haikun Zhu
Tilburg University - Center and Faculty of Economics and Business Administration, Bocconi University - Department of Finance and Tilburg University
Date Posted: April 24, 2017
Last Revised: April 25, 2017
Working Paper Series
138 downloads

Incl. Electronic Paper Stochastic Gradient Descent in Continuous Time
Justin Sirignano and Konstantinos Spiliopoulos
Imperial College London - Department of Mathematics and Brown University - Division of Applied Mathematics
Date Posted: April 20, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events
Steve Y. Yang, Anqi Liu, Jing Chen and Alan G Hawkes
Stevens Institute of Technology, Stevens Institute of Technology, Cardiff University - School of Mathematics and Swansea University - School of Management
Date Posted: April 19, 2017
Working Paper Series
64 downloads

Incl. Electronic Paper Algorithmic Trading in Limit Order Books for Online Portfolio Selection
Youngmin Ha
University of Glasgow - Adam Smith Business School
Date Posted: April 14, 2017
Working Paper Series
148 downloads

Incl. Electronic Paper Optimal Selection of Large Portfolios: Aggregation is Better Than Ignoring the Return Constraint
Gah‐Yi Ban and Christopher J Chen
London Business School and London Business School
Date Posted: April 05, 2017
Working Paper Series
130 downloads

Incl. Electronic Paper Building a Better HAL 9000: Algorithms, the Market, and the Need to Prevent the Engraining of Bias
Northwestern Journal of Technology and Intellectual Property, 2017, Kelley School of Business Research Paper No. 17-23
Anjanette Raymond, Emma Arrington Stone Young and Scott Shackelford
Indiana University - Kelley School of Business - Department of Business Law, Indiana University Bloomington and Indiana University - Kelley School of Business - Department of Business Law
Date Posted: March 29, 2017
Accepted Paper Series
62 downloads

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
183 downloads

Incl. Electronic Paper International Accounting Databases on WRDS: Comparative Analysis
Rui Dai
Wharton Research Data Services - University of Pennsylvania
Date Posted: March 23, 2017
Working Paper Series
34 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
81 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
19 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 Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Last Revised: May 06, 2017
Working Paper Series
149 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
202 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
587 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
143 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
230 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
228 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
279 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
1080 downloads

Incl. Electronic Paper Financial Management for Innovation Fintech-Start-Ups vs. Usual Companies
Benjamin Wiegner
Otto-von-Guericke-Universität Magdeburg
Date Posted: January 05, 2017
Working Paper Series
130 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
25 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
61 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
177 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
523 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
122 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
77 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
353 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
131 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: April 10, 2017
Accepted Paper Series
267 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
525 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
157 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
352 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
20 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
43 downloads

Incl. Electronic Paper Is Leverage Use a Better Indication of Overconfidence? Evidence from the Retail Forex Market
John H. Forman III and Joanne Horton
Midwestern State University and University of Exeter Business School
Date Posted: October 28, 2016
Last Revised: May 24, 2017
Working Paper Series
51 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
113 downloads


 

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