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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.

417,812 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 516 papers

1.

The Sustainability and Profitability of Bitcoin Mining: A Time-Varying Granger Causality Approach

Number of pages: 14 Posted: 14 Sep 2019
Working Paper Series
Zhengzhou University, School of Accounting, Finance and Economics, University of Waikato, University of Waikato - Department of Economics and Finance and School of Accounting, Finance and Economics,, Waikato Management School, University of Waikato
Downloads 17
2.

The Past and Future of Quantitative Research (Presentation Slides)

Number of pages: 22 Posted: 11 Sep 2019 Last Revised: 17 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 561
3.

Financial Attention Frequency and Trading

Number of pages: 59 Posted: 07 Sep 2019
Working Paper Series
Chongqing University - School of Economy and Business Administration and Chongqing University - School of Economics and Business Administration
Downloads 23
4.

Machine Valuation

Number of pages: 56 Posted: 07 Sep 2019
Working Paper Series
University of Auckland - Department of Accounting and Finance and University of Auckland - Department of Accounting and Finance
Downloads 120
5.

A New Chinese Financial Sentiment Dictionary for Textual Analysis in Accounting and Finance

Number of pages: 21 Posted: 07 Sep 2019
Working Paper Series
The School of Accounting and Finance, Shanghai Lixin University of Commerce, Dekui Jia, Shanghai Advanced Institute of Finance, Shanghai Jiaotong University and New Jersey Institute of Technology
Downloads 38
6.

The Use of Technology Based Audit Techniques in the Internal Audit Function – Is There an Improvement in Efficiency and Effectiveness?

Number of pages: 30 Posted: 04 Sep 2019
Working Paper Series
University of Duisburg-Essen, Mercator School of Management and University of Arkansas - Sam M. Walton College of Business
Downloads 37
7.

Big Data & Data Science in Information Law and Policy Research

Bodó, B., & van de Velde, R. N. (2019). Big Data & Data Science in information law and policy research. In H. Van den Bulck, M. Puppis, K. Donders, & L. Van Audenhove (Eds.), Palgrave Handbook of Methods for Media Policy Research Palgrave Macmillan.,
Number of pages: 16 Posted: 28 Aug 2019
Accepted Paper Series
University of Amsterdam - Institute for Information Law (IViR) and University of Amsterdam - Informatics Institute
Downloads 3
8.

A Machine Learning Approach to the Fama-French Three- and Five-Factor Models

Number of pages: 28 Posted: 24 Aug 2019
Working Paper Series
Qatar University - College of Business and Economics, AiFi Technologies LLC and People’s Bank of China
Downloads 14
9.

Tokenized Securities and Commercial Real Estate

Number of pages: 46 Posted: 20 Aug 2019 Last Revised: 01 Sep 2019
Working Paper Series
MIT Sloan School of Management, Independent, ESE Business School - Universidad de los Andes, MIT Sloan School of Management and Independent
Downloads 51
10.

Forward-looking P

Number of pages: 37 Posted: 17 Aug 2019
Working Paper Series
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, ETH Zurich and Karlsruhe Institute of Technology
Downloads 87
11.

Analysis of Murabaha Financing from Influence of Asset, Deposit Fund, and Profitability

Journal of Economics and Business Vol.2, No.3, 2019: 618-626
Number of pages: 10 Posted: 15 Aug 2019
Accepted Paper Series
Fakultas Ekonomi dan Bisnis, Universitas Mercu Buana and Fakultas Ekonomi & Bisnis Universitas Mercu Buana

Multiple version iconThere are 2 versions of this paper

Downloads 1
12.

Random Walk Model From the Point of View of Algorithmic Trading

Number of pages: 12 Posted: 13 Aug 2019
Working Paper Series
Fidessa Group plc, Fidessa Group, London and Fidessa Group, London
Downloads 26
13.

An Instantaneous Market Volatility Estimation

Number of pages: 16 Posted: 12 Aug 2019 Last Revised: 14 Aug 2019
Working Paper Series
Fidessa Group plc and Fidessa Group, London
Downloads 39
14.

Alternative Usage Areas of Cryptocurrencies

Posted: 11 Aug 2019
Working Paper Series
Independent
15.

Bitcoin Returns and the Weekday Effect

Number of pages: 16 Posted: 09 Aug 2019
Working Paper Series
University of Vale do Rio dos Sinos (UNISINOS) - Unisinos Business School, UNSW Business School and University of Bologna
Downloads 25
16.

The Marginal Cost of Mining, Metcalfe's Law and Cryptocurrency Value Formation: Causal Inferences from the Instrumental Variable Approach

Number of pages: 29 Posted: 08 Aug 2019
Working Paper Series
Northumbria University, University of Northumbria at Newcastle, University of London and University of Northumbria at Newcastle
Downloads 26
17.

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

Number of pages: 41 Posted: 23 Jul 2019
Working Paper Series
Florida State University - College of Business, Florida State University - Department of Finance and College of Business, Stony Brook University
Downloads 135
18.

Machine Learning Implications for Banking Regulation

Number of pages: 33 Posted: 22 Jul 2019 Last Revised: 06 Aug 2019
Working Paper Series
Commodity Futures Trading Commission (CFTC) and Independent
Downloads 140
19.

Machine Learning in Asset Management

Number of pages: 53 Posted: 18 Jul 2019 Last Revised: 09 Aug 2019
Working Paper Series
FirmAI, UoA, NYU FRE
Downloads 2,569
20.

Predicting Earnings Surprises

Number of pages: 126 Posted: 17 Jul 2019 Last Revised: 21 Jul 2019
Working Paper Series
FirmAI, UoA, NYU FRE
Downloads 370
21.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 10,838
22.

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
Number of pages: 12 Posted: 17 Jul 2019 Last Revised: 17 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
Downloads 6,617
23.

Digital Market Perfection

117 Michigan Law Review 815 (2019)
Number of pages: 70 Posted: 15 Jul 2019 Last Revised: 21 Jul 2019
Accepted Paper Series
Boston University - School of Law
Downloads 190
24.

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

Multiple version iconThere are 2 versions of this paper

Downloads 28
25.

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 52
26.

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 25
27.

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
UCLouvain - Louvain School of Management, UCLouvain, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 134
28.

Impact of Readability on Corporate Bond Market

Number of pages: 33 Posted: 03 Jul 2019
Working Paper Series
Quoniam Asset Management GmbH
Downloads 33
29.

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, Consejo Superior de Investigaciones Científicas (Spanish National Research Council), Universidad Autónoma de Madrid and Universidad Autónoma de Madrid
Downloads 100
30.

Preventing Predation & Encouraging Innovation in Fintech Lending

Number of pages: 19 Posted: 27 Jun 2019
Working Paper Series
Howard University School of Law
Downloads 68
31.

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 18
32.

'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 39
33.

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 14
34.

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

Number of pages: 53 Posted: 24 Jun 2019 Last Revised: 21 Jul 2019
Working Paper Series
Temple University - Fox School of Business, Temple University and Sichuan University - Business School
Downloads 19
35.

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 45
36.

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 31
37.

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 17
38.

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 108
39.

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 12
40.

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 121
41.

A Quantum Algorithm for Trading Strategies with Position Limits

Number of pages: 30 Posted: 14 Jun 2019
Working Paper Series
Independent
Downloads 210
42.

Bitcoin and Integration Patterns in the Forex Market

Number of pages: 15 Posted: 14 Jun 2019
Working Paper Series
University of Plymouth
Downloads 11
43.

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 626
44.

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 134
45.

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

Number of pages: 22 Posted: 11 Jun 2019 Last Revised: 24 Jul 2019
Working Paper Series
Wells Fargo Bank, Wells Fargo Bank and Wells Fargo Bank
Downloads 131
46.

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 47
47.

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

Canadian Class Action Review, Vol. 15, No. 1, 2019
Number of pages: 30 Posted: 31 May 2019 Last Revised: 20 Aug 2019
Accepted Paper Series
Borden Ladner Gervais LLP
Downloads 37
48.

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
49.

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
50.

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 12