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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 468 papers

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
7.

Fintech Codgers Look Back 25 Years

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