1.
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
2.
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
3.
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
4
4.
The Volume Clock: Insights into the High Frequency Paradigm
The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012, https://doi.org/10.3905/jpm.2012.39.1.019
Posted: 21 May 2019
Last Revised: 21 May 2019
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
5.
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)., https://doi.org/10.3905/jpm.2014.40.5.094
Posted: 21 May 2019
Last Revised: 21 May 2019
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
6.
Kinetic Component Analysis
Posted: 21 May 2019
Last Revised: 21 May 2019
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
8.
The Exchange of Flow Toxicity
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011, https://doi.org/10.3905/jot.2011.6.2.008
Posted: 21 May 2019
Last Revised: 21 May 2019
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
9.
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)
10.
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, https://doi.org/10.3905/jpm.2011.37.2.118
Posted: 21 May 2019
Last Revised: 21 May 2019
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
11.
All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms
Posted: 21 May 2019
Accepted Paper Series
Quantopian Inc, Quantopian Inc., Quantopian Inc and Quantopian Inc
12.
The Future of Empirical Finance
Journal of Portfolio Management, 41(4). Summer 2015. Forthcoming., https://doi.org/10.3905/jpm.2015.41.4.140
Posted: 20 May 2019
Last Revised: 20 May 2019
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
13.
Recent Trends in Empirical Finance
Journal of Portfolio Management, Vol. 41, No. 4, 2015 Forthcoming, https://doi.org/10.3905/jpm.2015.42.1.029
Posted: 20 May 2019
Last Revised: 20 May 2019
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
14.
Simulation of a Limit Order Driven Market
Posted: 20 May 2019
Accepted Paper Series
Independent and Zurich University of Applied Sciences
15.
Evolution of Shares in a Proof-of-Stake Cryptocurrency
Number of pages: 15
Posted: 20 May 2019
Working Paper Series
HEC Paris - Finance Department and McGill University - Desautels Faculty of Management
Downloads
14
16.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016, Forthcoming, https://doi.org/10.3905/jpm.2016.42.4.059
Posted: 20 May 2019
Last Revised: 20 May 2019
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
17.
Predicting Cryptocurrency Defaults
Number of pages: 19
Posted: 16 May 2019
Working Paper Series
University of Vaasa and University of Vaasa
Downloads
17
18.
Gann Tools for Better Crypto Currency Trading Outcomes
Number of pages: 30
Posted: 09 May 2019
Working Paper Series
Market Technicians Organization
Downloads
18
19.
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
18
20.
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
174
21.
Ambiguous Text
Number of pages: 25
Posted: 25 Apr 2019
Last Revised: 16 May 2019
Working Paper Series
EDHEC Business School
Downloads
13
22.
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
3,320
23.
Ten Applications of Financial Machine Learning
Posted: 22 Apr 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
24.
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
153
25.
FinTech Regulation Subject to Human Psychology
Posted: 14 Mar 2019
Working Paper Series
National Research University Higher School of Economics
26.
Digital Financial Services (FINTECH) in Latin America
Number of pages: 17
Posted: 05 Mar 2019
Working Paper Series
Asociación Nacional de Instituciones Financieras, Asociación Nacional de Instituciones Financieras-ANIF, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads
99
27.
Background Noise? TV Advertising Affects Real Time Investor Behavior
Number of pages: 60
Posted: 01 Mar 2019
Last Revised: 24 Apr 2019
Working Paper Series
Cornell University and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads
127
28.
Emerging Technology-Related Issues in Finance and the IMF—A Stocktaking
IEO Background Paper No. BP/18-02/07
Posted: 24 Feb 2019
Working Paper Series
affiliation not provided to SSRN
29.
Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning
Number of pages: 44
Posted: 03 Feb 2019
Working Paper Series
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Rutgers University, Newark - School of Business - Department of Finance & Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads
136
30.
Application of the Von Mises’ Axiom of Randomness on the Forecasts Concerning the Dynamics of a Non-Stationary System Described by a Numerical Sequence
Number of pages: 6
Posted: 03 Feb 2019
Working Paper Series
Independent
Downloads
12
31.
The Impact of Skew on Performance and Bias: How Skew Distorts Short Term Performance, Triggers Bias, and Changes Drawdowns
Number of pages: 18
Posted: 26 Jan 2019
Working Paper Series
ISAM and ISAM
Downloads
261
32.
Innovation and Industry Selection
Number of pages: 13
Posted: 19 Jan 2019
Last Revised: 01 Mar 2019
Working Paper Series
ExtractAlpha
Downloads
52
33.
Blockchain Analytics for Intraday Financial Risk Modeling
Number of pages: 25
Posted: 19 Jan 2019
Working Paper Series
Illinois Institute of Technology, University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science, Department of Mathematical Sciences and University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science
Downloads
110
34.
Bitcoin and Blockchain: A Threat or Opportunity for the Financial System
European Journal of Economics and Business Studies, September-December 2018, Volume 4, Issue 3
Number of pages: 7
Posted: 18 Jan 2019
Accepted Paper Series
Istanbul University
Downloads
71
35.
Effect of Existence Trust, Usefulness, Security, Usability, and Benefits of Interests Use of E-Money in Public
Number of pages: 18
Posted: 15 Jan 2019
Last Revised: 16 Jan 2019
Working Paper Series
State University of Jakarta, State University of Jakarta and State University of Jakarta - Faculty of Economics
Downloads
57
36.
A Peer to Peer Ecosystem for Cash Equity Trading
Number of pages: 8
Posted: 13 Jan 2019
Working Paper Series
Independent
Downloads
31
37.
Digital Market Perfection
117 Michigan Law Review 815 (2019)
Number of pages: 50
Posted: 11 Jan 2019
Last Revised: 15 Apr 2019
Accepted Paper Series
Boston University - School of Law
Downloads
133
38.
Can Big Data Defeat Traditional Credit Rating?
Number of pages: 51
Posted: 11 Jan 2019
Working Paper Series
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, BaiRong Financial Information Service Co., Ltd, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads
208
39.
Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?
Number of pages: 23
Posted: 10 Jan 2019
Last Revised: 04 Mar 2019
Working Paper Series
Ministry of Finance - Japan and Ministry of Finance - Japan - Policy Research Institute
Downloads
153
40.
Deep Learning-Based Cryptocurrency Sentiment Construction
Number of pages: 20
Posted: 08 Jan 2019
Working Paper Series
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt Universität zu Berlin
Downloads
170
41.
Stock Price Prediction Using Kernel Adaptive Filtering Within a Stock Market Interdependence Approach
Number of pages: 24
Posted: 08 Jan 2019
Working Paper Series
University of Manchester - School of Computer Science, University of Manchester and University of Manchester - School of Computer Science
Downloads
129
42.
How to Develop a Peer-to-Peer Electronic Accounting System
Number of pages: 13
Posted: 02 Jan 2019
Last Revised: 02 Mar 2019
Working Paper Series
Independent
Downloads
67
43.
The Signal and the Birth of the Digital Economy
Number of pages: 5
Posted: 02 Jan 2019
Last Revised: 09 Jan 2019
Working Paper Series
New York Life Insurance Company
Downloads
36
44.
The Cross-Section of Asset Synchronicity by Elastic-Net
Number of pages: 83
Posted: 01 Jan 2019
Working Paper Series
Cheung Kong Graduate School of Business and Office of the Comptroller of the Currency, Department of the Treasury
Downloads
81
45.
Systematic and Discretionary Hedge Funds: Classification and Performance Comparison
Number of pages: 26
Posted: 29 Dec 2018
Working Paper Series
Yuan Ze University - College of Management and Department of Finance, National Taiwan University
Downloads
70
46.
Can Cryptocurrencies Preserve Privacy and Comply with Regulations?
Number of pages: 20
Posted: 19 Dec 2018
Last Revised: 10 May 2019
Working Paper Series
University College London and University College London
Downloads
54
47.
Risk Scoring for Non-Bank Financial Institutions
Number of pages: 9
Posted: 18 Dec 2018
Working Paper Series
Economy Monitor
Downloads
53
48.
Implementierung Von Finanzierungsnetzwerken Im Rahmen Von Kryptoprojekten (Implementation of Finance Networks in the Framework of Crypto Projects)
Number of pages: 17
Posted: 18 Dec 2018
Last Revised: 15 Feb 2019
Working Paper Series
Rheinische Fachhochschule Köln
Downloads
37
49.
The Professional Trader’s Paradox
Number of pages: 3
Posted: 12 Dec 2018
Working Paper Series
Independent
Downloads
71
50.
A Picture Is Worth a Thousand Words: Market Sentiment From Photos
Number of pages: 59
Posted: 10 Dec 2018
Last Revised: 15 Dec 2018
Working Paper Series
University of Missouri at Columbia - Department of Finance and University of Missouri, Columbia
Downloads
266
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