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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 496 papers

1.

Nominal Stock Price Anchors: A Global Phenomenon?

HKUST IEMS Working Paper No. 2019-64
Number of pages: 34 Posted: 15 Jul 2019
Working Paper Series
York University - Schulich School of Business, Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, John Carroll University - Department of Economics & Finance and University of Hawaii - Shidler College of Business
Downloads 2
2.

The Memory Advantage of Long Short-Term Memory Networks for Bond Yield Forecasting

Number of pages: 13 Posted: 12 Jul 2019
Working Paper Series
University of Southampton - Department of Electronics and Computer Science, University of Southampton - School of Electronics and Computer Science (ECS), University of Southampton - Southampton Business School and University of Southampton - Department of Electronics and Computer Science
Downloads 11
3.

Does 5-Minute RV Outperform Other Realized Measures in the Bitcoin Market?

Number of pages: 12 Posted: 10 Jul 2019
Working Paper Series
Ministry of Finance - Japan
Downloads 8
4.

Artificial Intelligence Alter Egos:Who benefits from Robo-investing?

Number of pages: 75 Posted: 09 Jul 2019 Last Revised: 12 Jul 2019
Working Paper Series
Louvain School of Management - UCL, Université Catholique de Louvain, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 38
5.

Impact of Readability on Corporate Bond Market

Number of pages: 33 Posted: 03 Jul 2019
Working Paper Series
Quoniam Asset Management GmbH
Downloads 13
6.

Regulatory and Market Challenges of Initial Coin Offerings

European Corporate Governance Institute - Law Working Paper No. 461/2019
Number of pages: 51 Posted: 02 Jul 2019 Last Revised: 05 Jul 2019
Accepted Paper Series
Universidad Autonoma de Madrid, Institute of Physical and Information Technologies, Universidad Autónoma de Madrid and Universidad Autónoma de Madrid
Downloads 27
7.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Posted: 01 Jul 2019 Last Revised: 01 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
8.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Posted: 01 Jul 2019 Last Revised: 01 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
9.

Robust Optimization to Avoid Curve-Fitting in Algorithmic Trading

Number of pages: 14 Posted: 01 Jul 2019
Working Paper Series
affiliation not provided to SSRN
Downloads 17
10.

Preventing Predation & Encouraging Innovation in Fintech Lending

Number of pages: 19 Posted: 27 Jun 2019
Working Paper Series
Howard University School of Law
Downloads 23
11.

How Does a Firm Adapt in a Changing World? The Case of Prosper Marketplace

Number of pages: 61 Posted: 26 Jun 2019
Working Paper Series
University of Toronto, Rotman School of Management, Students and Johns Hopkins University - Carey Business School
Downloads 13
12.

'I Access Your Data You Access Mine'. Setting a Reciprocity Clause for the ‘Access to Account Rule’ in the Payment Services Market

Number of pages: 28 Posted: 25 Jun 2019
Working Paper Series
University of Salento - Department of Economic Sciences and University of Milan
Downloads 24
13.

Asset Market Equilibria in Cryptocurrency Markets: Evidence from a Study of Privacy and Non-Privacy Coins

Number of pages: 28 Posted: 25 Jun 2019
Working Paper Series
University of Vaasa and University of Vaasa
Downloads 5
14.

The Power of Non-Monetary Incentive: Experimental Evidence from P2P Lending in China

Number of pages: 50 Posted: 24 Jun 2019
Working Paper Series
Temple University - Fox School of Business, Temple University and Sichuan University - Business School
Downloads 5
15.

Sector Categorization Using Gradient Boosted Trees Trained on Fundamental Firm Data

Number of pages: 6 Posted: 20 Jun 2019
Working Paper Series
New Jersey Institute of Technology, New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 10
16.

Deep Smoothing of the Implied Volatility Surface

Number of pages: 16 Posted: 20 Jun 2019
Working Paper Series
Swissquote Bank, University of Lausanne and Columbia University - Departments of Statistics and Mathematics
Downloads 21
17.

Information Asymmetry and Strategic Early Bidding in Peer-to-Peer Lending

Number of pages: 51 Posted: 20 Jun 2019
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of Science and Technology of China - International Institute of Finance, School of Management and Purdue University - Krannert School of Management
Downloads 8
18.

Training Trees on Tails with Applications to Portfolio Choice

Number of pages: 30 Posted: 20 Jun 2019
Working Paper Series
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 80
19.

A Deep Dive: Does Big Data Improve Maturity in the Developed Capital Markets?

Singh, R.K. and Mitra, S.K. (2019) A Deep Dive: Does Big Data Improve Maturity in the Developed Capital Markets? Theoretical Economics Letters, 9, 60-74
Number of pages: 15 Posted: 19 Jun 2019
Accepted Paper Series
IIM Raipur and affiliation not provided to SSRN
Downloads 5
20.

Volatility and Liquidity on High-Frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

Number of pages: 34 Posted: 17 Jun 2019
Working Paper Series
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 24
21.

A Quantum Algorithm for Trading Strategies with Position Limits

Number of pages: 30 Posted: 14 Jun 2019
Working Paper Series
Independent
Downloads 131
22.

Bitcoin and Integration Patterns in the Forex Market

Number of pages: 15 Posted: 14 Jun 2019
Working Paper Series
University of Plymouth
Downloads 8
23.

Trends and Applications of Machine Learning in Quantitative Finance

8th International Conference on Economics and Finance Research (ICEFR 2019)
Number of pages: 9 Posted: 13 Jun 2019
Accepted Paper Series
University College Cork - Cork University Business School, University College Cork - Cork University Business School, University College Cork - Cork University Business School and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 254
24.

Who Owns Bitcoin? Private Law Facing the Blockchain

European Banking Institute Working Paper Series 2019 – no. 42,
Number of pages: 36 Posted: 12 Jun 2019 Last Revised: 21 Jun 2019
Working Paper Series
University of Bonn
Downloads 62
25.

Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

Number of pages: 18 Posted: 11 Jun 2019
Working Paper Series
Wells Fargo Bank, Wells Fargo Bank and Wells Fargo Bank
Downloads 80
26.

Bitcoin Speculation or Value Creation? Corporate Blockchain Investments and Stock Market Reactions

Number of pages: 41 Posted: 08 Jun 2019
Working Paper Series
Florida State University - College of Business, Florida State University - Department of Finance and College of Business, Stony Brook University
Downloads 64
27.

Regulating Initial Coin Offerings? A Taxonomy of Crypto-Assets

Proceedings of the 27th European Conference on Information Systems (ECIS), Stockholm & Uppsala, Sweden, June 8-14, 2019
Number of pages: 16 Posted: 07 Jun 2019
Accepted Paper Series
Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 27
28.

Catch Me If You Can: Resolving Bitcoin Disputes with Class Actions

Canadian Class Action Review, Forthcoming
Number of pages: 22 Posted: 31 May 2019
Accepted Paper Series
University of British Columbia (UBC), Peter A. Allard School of Law, Students
Downloads 22
29.

Artificial Intelligence and Databases in the Age of Big Machine Data

(2019) 25 AIDA 2018 93-149
Posted: 23 May 2019 Last Revised: 25 May 2019
Accepted Paper Series
Northumbria University
30.

The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market

Posted: 22 May 2019 Last Revised: 22 May 2019
Accepted Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and Federal Reserve Banks - Federal Reserve Bank of New York
31.

Variable Selection with Big Data based on Zero Norm and via Sequential Monte Carlo

Number of pages: 24 Posted: 21 May 2019
Working Paper Series
National University of Singapore
Downloads 9
32.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 10,143
33.

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: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,925
34.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 3,748
35.

Fintech Codgers Look Back 25 Years

Posted: 21 May 2019
Accepted Paper Series
Leinweber & Co.
36.

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

Posted: 21 May 2019
Accepted Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
37.

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: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,798
39.

The Future of Empirical Finance

Journal of Portfolio Management, 41(4), Summer 2015
Number of pages: 12 Posted: 20 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,742
40.

Recent Trends in Empirical Finance

Journal of Portfolio Management, Vol. 41, No. 4, 2015
Number of pages: 8 Posted: 20 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,144
41.

Simulation of a Limit Order Driven Market

Posted: 20 May 2019
Accepted Paper Series
Independent and Zurich University of Applied Sciences
42.

Evolution of Shares in a Proof-of-Stake Cryptocurrency

HEC Paris Research Paper No. FIN-2019-1339
Number of pages: 15 Posted: 20 May 2019 Last Revised: 02 Jul 2019
Working Paper Series
HEC Paris - Finance Department and McGill University - Desautels Faculty of Management
Downloads 27
43.

Predicting Cryptocurrency Defaults

Number of pages: 19 Posted: 16 May 2019
Working Paper Series
University of Vaasa and University of Vaasa
Downloads 53
44.

Gann Tools for Better Crypto Currency Trading Outcomes

Number of pages: 30 Posted: 09 May 2019
Working Paper Series
Market Technicians Organization
Downloads 31
45.

Textual Analysis of Banks' Pillar 3 Documents

Number of pages: 46 Posted: 02 May 2019
Working Paper Series
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 32
46.

Forecasting the Equity Premium: Mind the News!

Number of pages: 41 Posted: 26 Apr 2019 Last Revised: 16 May 2019
Working Paper Series
Helmut Schmidt University Hamburg - Department of Mathematics and Statistics and University of Rostock - Department of Economics
Downloads 233
47.

Ambiguous Text

Number of pages: 26 Posted: 25 Apr 2019 Last Revised: 21 Jun 2019
Working Paper Series
EDHEC Business School
Downloads 28
48.

The 7 Reasons Most Econometric Investments Fail

Number of pages: 39 Posted: 23 Apr 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,791
49.

Ten Applications of Financial Machine Learning

Posted: 22 Apr 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
50.

Initial Margin Simulation with Deep Learning

Number of pages: 22 Posted: 26 Mar 2019
Working Paper Series
TD Bank, TD Bank, TD Bank, TD Bank and TD Bank
Downloads 184