Search Results
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.
536,745 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 615 papers

1.

Three Machine Learning Solutions to the Bias-Variance Dilemma (Seminar Slides)

Number of pages: 27 Posted: 28 May 2020
Working Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,104
2.

Empirical Study of Market Impact Conditional on Order-Flow Imbalance

Number of pages: 132 Posted: 28 May 2020
Working Paper Series
Anastasia Bugaenko
University College London - Department of Computer Science
Downloads 15
3.

Effective Enforcement of a Data Protection: A Model for Risk-Based Supervision Using Responsive Regulatory Tools

Number of pages: 29 Posted: 27 May 2020
Working Paper Series
Malavika Raghavan, Beni Chugh and Nishanth Kumar
Dvara Research, Dvara Research and affiliation not provided to SSRN
Downloads 5
4.

Humans vs Machines: Soft and Hard Information in Corporate Loan Pricing

Number of pages: 50 Posted: 15 May 2020
Working Paper Series
Manuel Adelino, Ivan Ivanov and Michael Smolyansky
Duke University, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 77
5.

The Dark Side of Unregulated Artificial Intelligence: Evidence from Online Marketplace Lending

Number of pages: 75 Posted: 08 May 2020
Working Paper Series
Xiaoyang Li, Haitian Lu and Iftekhar Hasan
The Chinese University of Hong Kong (CUHK), Hong Kong Polytechnic University and Fordham University - Gabelli School of Business
Downloads 39
6.

Are All Heuristics Created Equal? Evidence from P2P Investments

Number of pages: 62 Posted: 08 May 2020 Last Revised: 18 May 2020
Working Paper Series
Maggie Rong Hu, Xiaoyang Li, Yang Shi and Xiaoquan (Michael) Zhang
Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) and Chinese University of Hong Kong
Downloads 17
7.

A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Number of pages: 18 Posted: 07 May 2020
Working Paper Series
Jackie Shen
Financial Services, New York
Downloads 31
8.

Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

Number of pages: 30 Posted: 05 May 2020
Working Paper Series
Matthew Francis Dixon
Illinois Institute of Technology
Downloads 234
9.

Adaptive Robust Control in Continuous-Time

Number of pages: 28 Posted: 05 May 2020 Last Revised: 07 May 2020
Working Paper Series
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 46
10.

Using Alternative Date to Predict Key Performance Indicators

Number of pages: 38 Posted: 05 May 2020
Working Paper Series
Chuyang Lin, Yiwei Huang, Yibing Tan, Xiaocun Lu, Yujie Zhou, Yifei Liu, Paul Wescott and Sasha Stoikov
Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University and Cornell Financial Engineering Manhattan
Downloads 75
11.

False Dreams of Algorithmic Fairness: The Case of Credit Pricing

Number of pages: 93 Posted: 05 May 2020
Working Paper Series
Talia B. Gillis
Harvard University, Law School
Downloads 89
12.

The Changing Economics of Knowledge Production

Number of pages: 35 Posted: 01 May 2020
Working Paper Series
Simona Abis and Laura Veldkamp
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 54
13.

Analysis of Bitcoin Returns Volatility using AR-GARCH Modelling

Number of pages: 14 Posted: 27 Apr 2020
Working Paper Series
Mihir Dash
Alliance University - School of Business
Downloads 28
14.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 2,269
15.

Empowerment of Grassroots Consumers: A Revelatory Case of a Chinese FinTech Innovation

Journal of the Association for Information Systems, Forthcoming
Number of pages: 56 Posted: 22 Apr 2020
Accepted Paper Series
Tianhui Tan, Ying Zhang, Cheng-Suang Heng and Chunmian Ge
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Information Systems, National University of Singapore (NUS) and South China University of Technology
Downloads 14
16.

Three Quant Lessons from COVID-19

Risk Magazine, April 2020.
Number of pages: 6 Posted: 21 Apr 2020 Last Revised: 01 May 2020
Working Paper Series
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 290
17.

Using Long Short-Term Memory Neural Networks to Analyze Sec 13D Filings: A Recipe for Human and Machine Interaction

Intelligent Systems in Accounting, Finance and Management, 26, 153–163, 2019,
Posted: 13 Apr 2020
Accepted Paper Series
Murat Aydogdu, Hakan Saraoglu and David A. Louton
Rhode Island College - Department of Economics and Finance, Bryant University - Department of Finance and Bryant University - Department of Finance
18.

Optimal Portfolio Trading: Adaptive Multi-period Trade Execution

Number of pages: 20 Posted: 09 Apr 2020 Last Revised: 20 Apr 2020
Working Paper Series
Alex Boulatov and Alex Ulitsky
HSE Moscow and BlackRock
Downloads 47
19.

Passive Aggressive Portfolio Selection with Neural Network Ensembles

Number of pages: 27 Posted: 08 Apr 2020
Working Paper Series
Vincent Tang
AllianceBernstein
Downloads 50
20.

A Forecast Combination Approach to Equity Factor Timing

Risk & Reward, 2020, 1st issue, pp. 41-46
Number of pages: 8 Posted: 07 Apr 2020
Accepted Paper Series
Michael Fraikin, Edward Leung and Harald Lohre
affiliation not provided to SSRN, Invesco and Invesco
Downloads 81
21.

Where Do We Stand in Cryptocurrencies Economic Research? A Survey Based on Hybrid Analysis

Number of pages: 28 Posted: 06 Apr 2020
Working Paper Series
Aurelio F. Bariviera and Ignasi Merediz-Solà
Universitat Rovira i Virgili - Department of Business and Universitat Rovira i Virgili - Department of Business
Downloads 37
22.

Financial Regulation of Consumer-Facing Fintech in India: Status Quo and Emerging Concerns

Number of pages: 48 Posted: 06 Apr 2020
Working Paper Series
Beni Chugh
Dvara Research
Downloads 16
23.

Who Benefits from Robo-advising? Evidence from Machine Learning

Number of pages: 71 Posted: 03 Apr 2020
Working Paper Series
Alberto G. Rossi and Stephen P. Utkus
Georgetown University and Vanguard
Downloads 114
24.

The Framework of Consensus Equilibria for Mining-Pool Games and Related Stability of Gap Games Behaviors in Blockchain Ecosystems

Number of pages: 40 Posted: 03 Apr 2020
Working Paper Series
George Xianzhi Yuan
Soochow University
Downloads 10
25.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 08 May 2020
Working Paper Series
Marcos Lopez de Prado and Alex Lipton
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads 8,952
26.

Analysis of the Effect of COVID-19 on the Stock Market and Investing Strategies

Number of pages: 17 Posted: 30 Mar 2020 Last Revised: 11 May 2020
Working Paper Series
Binxin Yan, Logan Stuart, Andy Tu and Tony Zhang
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, College of Business, Department of Finance, University of Illinois at Urbana-Champaign and University of Illinois Urbana Champaign
Downloads 2,112
27.

The Failures of Peer-to-Peer Lending Platform Finance and Politics

Number of pages: 59 Posted: 18 Mar 2020 Last Revised: 12 May 2020
Working Paper Series
Qing He and Xiaoyang Li
Renmin University of China and The Chinese University of Hong Kong (CUHK)
Downloads 62
28.

Transforming Paradigms: A Global AI in Financial Services Survey

Number of pages: 128 Posted: 18 Mar 2020
Working Paper Series
Lukas Ryll, Mary Emma Barton, Bryan Zheng Zhang, R. Jesse McWaters, Emmanuel Schizas, Rui Hao, Keith Bear, Massimo Preziuso, Elizabeth Seger, Robert Wardrop, P. Raghavendra Rau, Pradeep Debata, Philip Rowan, Nicola Adams, Mia Gray and Nikos Yerolemou
University of Cambridge - Department of Engineering, affiliation not provided to SSRN, Cambridge Centre for Alternative Finance, Cambridge Judge Business School, University of Cambridge, affiliation not provided to SSRN, University of Cambridge - Cambridge Centre for Alternative Finance, affiliation not provided to SSRN, University of Cambridge - Judge Business School, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Cambridge - Cambridge Centre for Alternative Finance, University of Cambridge, Open University, UK, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Cambridge - Cambridge Centre for Alternative Finance and University of Cambridge - Cambridge Centre for Alternative Finance
Downloads 120
29.

Economic Versus Statistical Clustering in Multi-Asset Multi-Factor Strategies

Risk & Reward, 2020, 1st issue, pp. 26-32
Number of pages: 8 Posted: 16 Mar 2020
Accepted Paper Series
Martin Kolrep, Harald Lohre, Erhard Radatz and Carsten Rother
Invesco, Invesco, Invesco and Invesco
Downloads 291
30.

High Frequency Trading Strategy for the 30 Year Treasury Bond

Number of pages: 30 Posted: 13 Mar 2020
Working Paper Series
Peter Decrem, Sasha Stoikov, Shuo Shen, Jiaxin Yin, Yikai Hua, Tengxiao Li, Zhengyi Fang, Yunze Huang and Colin Basco
Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University and Cornell University
Downloads 95
31.

Algorithms in Future Capital Markets

Number of pages: 23 Posted: 11 Mar 2020 Last Revised: 13 May 2020
Working Paper Series
Adriano Koshiyama, Nick Firoozye and Philip Treleaven
Department of Computer Science, University College London, UCL - Computer Science and University College London
Downloads 492
32.

Lean Accounting VS Financial Management: Awareness and Overview

Number of pages: 6 Posted: 10 Mar 2020
Working Paper Series
Mohammed Soliman
The American University in Cairo
Downloads 34
33.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Working Paper Series
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 5,186
34.

Which European Regulation for Security Tokens?

Number of pages: 13 Posted: 08 Mar 2020
Working Paper Series
Bruno Mathis
Centre européen de droit et d'économie
Downloads 22
35.

Technological Innovation and Discrimination in Household Finance

Number of pages: 28 Posted: 08 Mar 2020
Working Paper Series
Adair Morse and Karen M. Pence
University of California, Berkeley - Haas School of Business and Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Downloads 30
36.

Dependence Structure of Market States

Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015
Number of pages: 19 Posted: 07 Mar 2020
Accepted Paper Series
Desislava Chetalova, Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 32
37.

Clustered Feature Importance (Presentation Slides)

Number of pages: 35 Posted: 06 Mar 2020 Last Revised: 28 May 2020
Working Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,722
38.

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, 19(1):1-23, 2016
Number of pages: 19 Posted: 05 Mar 2020
Accepted Paper Series
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen

Multiple version iconThere are 2 versions of this paper

Downloads 23
39.

Deep Learning for Asset Bubbles Detection

Swiss Finance Institute Research Paper No. 20-08
Number of pages: 27 Posted: 02 Mar 2020 Last Revised: 09 Mar 2020
Working Paper Series
Oksana Bashchenko and Alexis Marchal
HEC Lausanne and EPFL
Downloads 112
40.

Overfitting: Causes and Solutions (Seminar Slides)

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Working Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,396
41.

The Stock Market Tips

Number of pages: 41 Posted: 25 Feb 2020 Last Revised: 12 Mar 2020
Working Paper Series
Cihan Uzmanoglu
Binghamton University, The State University of New York
Downloads 27
42.

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

Number of pages: 69 Posted: 24 Feb 2020 Last Revised: 23 Mar 2020
Working Paper Series
Joachim Grammig, Constantin Hanenberg, Christian Schlag and Jantje Sönksen
Eberhard Karls Universität Tübingen, University of Tuebingen - Faculty of Economics and Social Sciences, Leibniz Institute for Financial Research SAFE and University of Tübingen
Downloads 131
43.

Learning Cross-dependency of Cryptocurrencies from Multivariate Time Series Models

Number of pages: 8 Posted: 18 Feb 2020
Working Paper Series
Thanakorn Nitithumbundit and Jennifer Chan
affiliation not provided to SSRN and The University of Sydney
Downloads 20
44.

Using Natural Language Processing to Assess Text Usefulness to Readers: The Case of Conference Calls and Earnings Prediction

Number of pages: 53 Posted: 14 Feb 2020 Last Revised: 14 Feb 2020
Working Paper Series
Richard M. Frankel, Jared N. Jennings and Joshua A. Lee
Washington University in Saint Louis - Olin Business School, Washington University in St. Louis and Brigham Young University
Downloads 544
45.

The Privacy Judgment and Financial Inclusion in India

Economic & Political Weekly (EPW), Vol LII No. 51, 2017
Number of pages: 4 Posted: 13 Feb 2020
Accepted Paper Series
Malavika Raghavan
Dvara Research
Downloads 8
46.

Introduction

Proceedings of The First International Conference on Artificial Intelligence Applications on Wall Street, published by the IEEE Computer Society Press (1991), ISBN 0-8186-2240-7
Number of pages: 8 Posted: 13 Feb 2020
Working Paper Series
Roy S Freedman
Inductive Solutions, Inc.
Downloads 11
47.

Digitalization of Finances Instrument of Current Challenges at the Payment System

Number of pages: 17 Posted: 12 Feb 2020
Working Paper Series
Otilia Manta
Romanian Academy
Downloads 25
48.

A Network Analysis of Information Diffusion in the Financial Sector

University of Miami Business School Research Paper No. 3516784
Number of pages: 35 Posted: 06 Feb 2020
Working Paper Series
Paul Borochin and Stephen Rush
University of Miami - Department of Finance and Bowling Green State University - Department of Finance
Downloads 74
49.

Analysis of Users’ Behaviour and Adoption Trends of Social Media Payment Platforms

2019 International Conference on Computing, Electronics & Communications Engineering (iCCECE), London, United Kingdom, 2019, pp. 197-202. DOI: 10.1109/iCCECE46942.2019.8941991
Number of pages: 6 Posted: 29 Jan 2020
Accepted Paper Series
Mahdi H. Miraz and Marie Haikel-Elsabeh
The Chinese University of Hong Kong (CUHK) and Léonard de Vinci Pôle Universitaire
Downloads 33
50.

The Social Media Risk Premium

Number of pages: 48 Posted: 29 Jan 2020
Working Paper Series
Amin Hosseini, Gergana Jostova, Alexander Philipov and Robert Savickas
George Washington University - Department of Finance, George Washington University - Department of Finance, George Mason University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 202