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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.

470,140 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 569 papers

1.

Background Noise? TV Advertising Affects Real Time Investor Behavior

Number of pages: 61 Posted: 20 Jan 2020 Last Revised: 20 Jan 2020
Working Paper Series
Cornell University and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 247
2.

Leverage of Perceived Usefulness, Perceived Ease of Use, Information Quality, Behavioral Intention towards Intention to Use Mobile Banking

Number of pages: 10 Posted: 16 Jan 2020
Working Paper Series
State University of Jakarta, Faculty of Economics, Students and State University of Jakarta - Faculty of Economics
Downloads 6
3.

Does the Quantile Regression Forest Learn More Information on Chinese Systemic Risk?

Number of pages: 30 Posted: 15 Jan 2020
Working Paper Series
Nankai University - School of Finance, Nankai University - School of Finance and Nankai University - School of Finance
Downloads 15
4.

Codependence (Presentation Slides)

Number of pages: 30 Posted: 15 Jan 2020 Last Revised: 17 Jan 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,418
5.

Practical Machine Learning Approach to Capture the Scholar Data Driven Alpha in AI Industry

Number of pages: 10 Posted: 13 Jan 2020 Last Revised: 14 Jan 2020
Working Paper Series
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Fu Foundation School of Engineering and Applied Science and Columbia University - Department of Statistics
Downloads 34
6.

Clustering (Presentation Slides)

Number of pages: 34 Posted: 10 Jan 2020 Last Revised: 15 Jan 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,213
7.

Fractional Differencing Predictive Power in FOREX Market

Number of pages: 22 Posted: 09 Jan 2020
Working Paper Series
Independent
Downloads 47
8.

Machine Learning, Big Data and the Regulation of Consumer Credit Markets: The Case of Algorithmic Credit Scoring

N Aggarwal, H Eidenmüller, L Enriques, J Payne, K van Zwieten (eds) Autonomous Systems and the Law (Beck 2019),
Number of pages: 6 Posted: 08 Jan 2020
Working Paper Series
University of Oxford - Oxford Internet Institute
Downloads 56
9.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Machine Learning and Asset Management, Forthcoming
Number of pages: 33 Posted: 08 Jan 2020
Working Paper Series
Invesco, Invesco and Metzler Asset Management
Downloads 153
10.

Integrating Time Series and Cross-Sectional Signals for Optimal Commodity Portfolios

Number of pages: 44 Posted: 01 Jan 2020
Working Paper Series
University of Zurich and Invesco
Downloads 132
11.

How to Measure the Liquidity of Cryptocurrencies?

Number of pages: 24 Posted: 01 Jan 2020
Working Paper Series
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 24
12.

A Fundamental Model for Intraday Electricity Trading

Number of pages: 25 Posted: 31 Dec 2019
Working Paper Series
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 42
13.

Testimony before the U.S. House of Representatives – Committee on Financial Services – Task Force on Artificial Intelligence

Number of pages: 13 Posted: 30 Dec 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 49
14.

Using Machine Learning to Detect Misstatements

Number of pages: 53 Posted: 20 Dec 2019
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, University of California, San Diego (UCSD) - Rady School of Management, University of California San Diego and Columbia University - Columbia Business School
Downloads 165
15.

The Anatomy of Trading Algorithms

Number of pages: 45 Posted: 18 Dec 2019
Working Paper Series
Arizona State University (ASU) - Finance Department and Arizona State University (ASU) - Finance Department
Downloads 139
16.

The Social Internetwork and Stock Returns

Number of pages: 52 Posted: 16 Dec 2019 Last Revised: 23 Dec 2019
Working Paper Series
Carleton University - Eric Sprott School of Business and Queen's University - Smith School of Business
Downloads 52
17.

Exploring Corporate Event Data and Volatility, Considerations for Academic and Financial Industry Research

Wall Street Horizon - Michael Raines, Quantitative Solutions Team, Q1, 2020 With a foreword by Ed deHaan, University of Washington, Foster School of Business
Number of pages: 12 Posted: 26 Nov 2019 Last Revised: 26 Nov 2019
Accepted Paper Series
Wall Street Horizon
Downloads 100
18.

Advances in Financial Machine Learning: Numerai's Tournament (Presentation Slides)

Number of pages: 18 Posted: 25 Nov 2019 Last Revised: 25 Nov 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 778
19.

Are Crowded Crowds Still Wise? Evidence from Financial Analysts' Geographic Diversity

Number of pages: 39 Posted: 18 Nov 2019 Last Revised: 26 Nov 2019
Working Paper Series
University of Kentucky - Finance and Saint Louis University - Department of Finance
Downloads 152
20.

The Partisanship of Financial Regulators

Number of pages: 33 Posted: 14 Nov 2019
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, University of South Florida Muma College of Business, Washington University in St. Louis - John M. Olin Business School and University of South Florida
Downloads 56
21.

Deep Hedging: Learning to Simulate Equity Option Markets

Number of pages: 13 Posted: 14 Nov 2019
Working Paper Series
JP Morgan, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 492
22.

Advances in Financial Machine Learning: Lecture 10/10 (Presentation Slides)

Number of pages: 44 Posted: 14 Nov 2019 Last Revised: 14 Nov 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 406
23.

Learning Word Embeddings from 10-K Filings Using PyTorch

Number of pages: 9 Posted: 14 Nov 2019
Working Paper Series
Stony Brook University - Department of Applied Mathematics & Statistics
Downloads 72
24.

Chairman's Introduction

Proceedings of the The Second International Conference on Artificial Intelligence Applications on Wall Street, published by the Software Engineering Press (1993), ISBN 0-938801-07-4
Number of pages: 5 Posted: 13 Nov 2019
Accepted Paper Series
Inductive Solutions, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 7
25.

Operational Process Risk: A Further Discussion

Number of pages: 14 Posted: 12 Nov 2019
Working Paper Series
OpsRisk Limited
Downloads 24
26.

Who Runs China? A Story Told by Machine Learning

Number of pages: 60 Posted: 11 Nov 2019
Working Paper Series
Central University of Finance and Economics (CUFE), Fordham University - Gabelli School of Business, University of Pennsylvania - Statistics Department and St. John's University - Department of Economics and Finance
Downloads 86
27.

Chairman's Introduction

Proceedings of The Third International Conference on Artificial Intelligence Applications on Wall Street, published by the Software Engineering Press (1995), ISBN 0-938801-09-0
Number of pages: 6 Posted: 11 Nov 2019 Last Revised: 25 Nov 2019
Accepted Paper Series
Inductive Solutions, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 6
28.

Money Laundering Through Bitcoin: The Emerging Implications of Technological Advancement.

Number of pages: 19 Posted: 10 Nov 2019
Working Paper Series
Middlesex University and Middlesex University, Students
Downloads 68
29.

Sector Neutral Portfolios: Long Memory Motifs Persistence in Market Structure Dynamics

Number of pages: 14 Posted: 08 Nov 2019
Working Paper Series
University College London and University College London
Downloads 25
30.

FinTech Regulation Subject to Human Psychology

Posted: 06 Nov 2019
Working Paper Series
National Research University Higher School of Economics
31.

Preventing Predation & Encouraging Innovation in Fintech Lending

Number of pages: 19 Posted: 06 Nov 2019
Working Paper Series
Howard University School of Law
Downloads 105
32.

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

Number of pages: 75 Posted: 06 Nov 2019 Last Revised: 06 Nov 2019
Working Paper Series
UCLouvain, Louvain School of Management - Louvain Finance, UCLouvain - Louvain Finance, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 138
33.

Understanding Ensemble Active Management: Innovation in Action

Number of pages: 14 Posted: 06 Nov 2019
Working Paper Series
Turing Technology Associates Inc, Bell Family Interests, LLC and Independent
Downloads 33
34.

Relative Sentiment and Machine Learning for Tactical Asset Allocation

Number of pages: 35 Posted: 05 Nov 2019 Last Revised: 26 Nov 2019
Working Paper Series
Columbus Macro, LLC
Downloads 101
35.

Who Benefits from Innovations in Financial Technology?

Number of pages: 76 Posted: 04 Nov 2019 Last Revised: 31 Dec 2019
Working Paper Series
New York University (NYU), Department of Economics, Students
Downloads 84
36.

Data Defense in Sustainable Investing

Number of pages: 24 Posted: 01 Nov 2019
Working Paper Series
Stanford University - Global Projects Center, APG Asset Management and Stanford University
Downloads 158
37.

The Singular Impact of High Conviction Overweight Positions for Active Managers

Number of pages: 6 Posted: 30 Oct 2019
Working Paper Series
Turing Technology Associates Inc
Downloads 35
38.

Calendar Rotations: A New Approach for Studying the Impact of Timing using Earnings Announcements

Number of pages: 49 Posted: 28 Oct 2019
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)
Downloads 315
39.

Spending Less After (Seemingly) Bad News

Number of pages: 42 Posted: 28 Oct 2019
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Southern California - Marshall School of Business and Stanford Graduate School of Business
Downloads 74
40.

FinTech Challengers and Incumbents’ Responses: A Window into Innovation Management Strategy Modes within Australia’s Financial Services Sector

Number of pages: 44 Posted: 23 Oct 2019 Last Revised: 31 Oct 2019
Working Paper Series
Sydney Business School, University of Wollongong Australia and University of Melbourne - Law School
Downloads 80
41.

Information Leakage Prior to SEC Form Filings–Evidence from TAQ Millisecond Data

Number of pages: 162 Posted: 22 Oct 2019 Last Revised: 04 Jan 2020
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and University of Washington, Michael G. Foster School of Business, Students
Downloads 86
42.

Machine Learning Asset Allocation (Presentation Slides)

Number of pages: 36 Posted: 18 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 925
43.

A Robust Estimator of the Efficient Frontier

Number of pages: 16 Posted: 18 Oct 2019 Last Revised: 06 Dec 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,687
44.

Using Non-Parametric Count Model for Credit Scoring

Number of pages: 13 Posted: 15 Oct 2019
Working Paper Series
Research Unit: Applied Economics and Simulation and University of Monastir
Downloads 13
45.

Measuring the Effect of Digitalization Efforts on Bank Performance

Number of pages: 43 Posted: 10 Oct 2019
Working Paper Series
University of Muenster and University of Muenster
Downloads 43
46.

Q&A on Financial Machine Learning (Course Materials)

Number of pages: 4 Posted: 07 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,717
47.

Individual Claims Reserving in Creditor Protection Insurance Using Machine Learning

Number of pages: 21 Posted: 03 Oct 2019
Working Paper Series
Sapienza University of Rome
Downloads 15
48.

Tactical Investment Algorithms

Number of pages: 11 Posted: 30 Sep 2019 Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,794
49.

Crowdsourced Investment Research through Tournaments

Number of pages: 11 Posted: 25 Sep 2019 Last Revised: 29 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and EDHEC Business School
Downloads 607
50.

The Four Horsemen of Machine Learning in Finance

Number of pages: 24 Posted: 24 Sep 2019
Working Paper Series
Illinois Institute of Technology and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,521