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Big Data & Innovative Financial Technologies Research Paper Series

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Viewing: 601 - 650 of 678 papers

601.

Ensembles of Crowds and Computers: Experiments in Forecasting

Stevens Institute of Technology School of Business Research Paper No. 2015–54
Number of pages: 46 Posted: 14 Oct 2015 Last Revised: 14 Dec 2015
Working Paper Series
Stevens Institute of Technology, School of Business, Stevens Institute of Technology - School of Business, AXA Direct Japan and Stevens Institute of Technology - School of Business
Downloads 194
602.

The (In)Visible Hand in the Libor Market: An Information Theory Approach

Eur. Phys. J. B 88 (8) 208 (2015), DOI: 10.1140/epjb/e2015-60410-1
Number of pages: 19 Posted: 10 Oct 2015
Accepted Paper Series
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 51
603.

Market Efficiency: Investigation of an Inefficiency in the NYSE Traded Fixed-Income Securities CTU and CTX

Number of pages: 89 Posted: 10 Oct 2015 Last Revised: 25 May 2016
Working Paper Series
HSBC
Downloads 97
604.

Multi-Period Integer Portfolio Optimization Using a Quantum Annealer

Number of pages: 21 Posted: 07 Oct 2015 Last Revised: 14 May 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 684
605.

Reverse Sunshine in the Digital Wild Frontier: Protecting Individual Privacy Against Public Records Requests for Government Databases

Northern Kentucky Law Review, Vol. 42, No. 2, 2015
Number of pages: 69 Posted: 07 Oct 2015
Accepted Paper Series
Southern Illinois University School of Law
Downloads 60
606.

CoCo Bonds Assessment

Posted: 02 Oct 2015 Last Revised: 17 Jul 2019
Working Paper Series
CLOUDRISK Ltd. and Bulgarian Academy of Sciences
607.

Commercial Lending Concentration and Bank Expertise: Evidence from Borrower Financial Statements

Chicago Booth Research Paper No. 15-42
Number of pages: 79 Posted: 23 Sep 2015 Last Revised: 24 May 2017
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,088
608.

The Effect of Social Media on Market Liquidity

Number of pages: 10 Posted: 18 Sep 2015
Working Paper Series
University of Auckland - Department of Information Systems and Operations Management and University of Auckland
Downloads 352
609.

Reducing Transaction Costs with Low-Latency Trading Algorithms

Number of pages: 14 Posted: 17 Sep 2015
Working Paper Series
Cornell Financial Engineering Manhattan and Cornell University - School of Operations Research and Industrial Engineering
Downloads 978
610.

Determining Optimal Trading Rules Without Backtesting

Number of pages: 39 Posted: 12 Sep 2015
Working Paper Series
New York University Finance and Risk Engineering and Cornell University - Operations Research & Industrial Engineering
Downloads 1,316
611.

Intraday Patterns in Natural Gas Futures: Extracting Signals from High-Frequency Trading Data

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 07 Mar 2016
Working Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,700
612.

Evolutionary Sequential Monte Carlo Samplers for Change-Point Models

CRREP Working Paper 2015-08
Number of pages: 36 Posted: 09 Sep 2015 Last Revised: 29 Mar 2018
Working Paper Series
CeReFiM. Université de Namur.
Downloads 51
613.

A Method for Generating Low Discrepancy Samples for General Risk Management Simulations

Number of pages: 18 Posted: 05 Sep 2015 Last Revised: 13 May 2017
Working Paper Series
Independent
Downloads 67
614.

Will Big Data Deliver Its Promised Productivity Growth?

Number of pages: 14 Posted: 04 Sep 2015 Last Revised: 21 Sep 2015
Working Paper Series
University of Liège
Downloads 192
615.

Approximating the Sum of Correlated Lognormals: An Implementation

Number of pages: 58 Posted: 01 Sep 2015
Working Paper Series
Stevens Institute of Technology and Systems Engineering Research Center
Downloads 66
616.

Dynamical Macroprudential Stress Testing Using Network Theory

Office of Financial Research Working Paper No. 15-12
Number of pages: 52 Posted: 24 Aug 2015
Working Paper Series
Financial Industry Regulatory Authority (FINRA), Boston University, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Downloads 137
617.

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

IEEE Journal of Selected Topics in Signal Processing, Forthcoming, 2016, NYU Tandon Research Paper No. 2649376
Number of pages: 12 Posted: 24 Aug 2015 Last Revised: 26 Jun 2017
Accepted Paper Series
1QBit, 1QBit, 1QBit, New York University Finance and Risk Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and Cornell University - Operations Research & Industrial Engineering
Downloads 2,103
618.

Risk Analysis in Big Data

Number of pages: 7 Posted: 11 Aug 2015
Working Paper Series
US Army Research Laboratory and US Army Research Laboratory
Downloads 268
619.

Large-Scale Loan Portfolio Selection

Operations Research, 64, 1239-1255, 2016, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 41 Posted: 08 Aug 2015 Last Revised: 11 Aug 2020
Accepted Paper Series
Imperial College London - Department of Mathematics, University of Pennsylvania - The Wharton School and Stanford University - Department of Management Science & Engineering
Downloads 779
620.

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

Number of pages: 41 Posted: 04 Aug 2015 Last Revised: 23 Jun 2018
Working Paper Series
Scuola Normale Superiore, Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 267
621.
Downloads 242
622.

Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses

Journal of Financial and Quantitative Analysis, Volume 52, Issue 2April 2017 , pp. 781-809, FIRN Research Paper No. 2633816
Number of pages: 47 Posted: 24 Jul 2015 Last Revised: 24 Sep 2019
Accepted Paper Series
University of New South Wales (UNSW), UNSW Business School and University of Queensland - Business School
Downloads 139
623.

Intraday Exchange Rate Volatility Transmissions Across QE Announcements

Finance Research Letters, Forthcoming
Posted: 19 Jul 2015
Working Paper Series
National and Kapodistrian University of Athens - Department of Economics, University of Thessaly - Department of Economics and National and Kapodistrian University of Athens
624.

Collective Intelligence Market Model

Number of pages: 38 Posted: 17 Jul 2015 Last Revised: 10 Nov 2015
Working Paper Series
University of Denver - Daniels College of Business
Downloads 551
625.

Quantum Gates and Quantum Circuits of Stock Portfolio

Number of pages: 41 Posted: 15 Jul 2015
Working Paper Series
Government of Romania
Downloads 76
626.

A New Sector Rotation Strategy and its Performance Evaluation: Based on a Principal Component Regression Model

Number of pages: 24 Posted: 09 Jul 2015
Working Paper Series
North China University of Technology and Beihang University (BUAA) - School of Economic and Management Science
Downloads 896
627.

Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi

Number of pages: 6 Posted: 07 Jul 2015 Last Revised: 13 Sep 2015
Working Paper Series
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads 1,693
628.

Does Credit Reporting Lead to a Decline in Relationship Lending? Evidence from Information Sharing Technology

MIT Sloan Research Paper No. 5170-16
Number of pages: 68 Posted: 06 Jul 2015 Last Revised: 10 May 2019
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 823
629.

Orders versus Trades on the Consolidated Tape

Number of pages: 40 Posted: 02 Jul 2015 Last Revised: 18 Oct 2018
Working Paper Series
University of Texas at El Paso, University of Memphis - Fogelman College of Business and Economics and Kansas State University
Downloads 205
630.

Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

Number of pages: 44 Posted: 29 Jun 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads 540
631.

Hidden Liquidity Inside the Spread

Number of pages: 34 Posted: 28 Jun 2015
Working Paper Series
University of Texas at El Paso and University of Texas at El Paso
Downloads 108
632.

An Empirical Analysis of Factors Affecting the Adoption of E-Banking Services

Journal of Commerce and Accounting Research, Vol. 1, No. 2, pp. 38-45. ISSN- 2277-2146
Number of pages: 8 Posted: 24 Jun 2015
Accepted Paper Series
Institute of Management Studies and Punjab Technical University - Apeejay Institute of Management
Downloads 138
633.

Transport Catastrophe Analysis as an Alternative to a Fractal Description: Theory and Application to Financial Time Series

Journal of Chaos Volume 2014, Article ID 346743
Number of pages: 9 Posted: 17 Jun 2015
Accepted Paper Series
Moscow State University
Downloads 49
634.

Backtesting

Number of pages: 33 Posted: 16 May 2015 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,414
635.

Advances in Quantitative Meta-Strategies

Number of pages: 39 Posted: 13 May 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,119
636.

Illegitimate Science: Why Most Empirical Discoveries in Finance Are Likely Wrong, and What Can Be Done About It (Presentation Slides)

Number of pages: 15 Posted: 27 Apr 2015 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,392
637.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney (UTS), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 950
638.

The Law and 3D Printing

UIC Journal of Privacy & Technology Law, Vol. 31, p. 505, 2015
Number of pages: 17 Posted: 30 Mar 2015 Last Revised: 11 Feb 2020
Accepted Paper Series
University of Minnesota Law School
Downloads 1,275
639.

Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application

Number of pages: 11 Posted: 09 Mar 2015 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 884
640.

Mathematical Appendices to: 'The Probability of Backtest Overfitting'

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 8 Posted: 23 Feb 2015 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 860
641.

Using Unstructured and Qualitative Disclosures to Explain Accruals

Number of pages: 60 Posted: 15 Feb 2015 Last Revised: 22 Jul 2015
Working Paper Series
Washington University in Saint Louis - Olin Business School, Washington University in St. Louis and Brigham Young University
Downloads 449
642.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,899
643.

Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'

Journal of Risk, 2014, Forthcoming
Number of pages: 13 Posted: 20 Oct 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 469
644.

Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,474
645.

Optimal Trading Rules Without Backtesting

Number of pages: 29 Posted: 29 Sep 2014 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,579
646.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Accepted Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,006
647.

Deflating the Sharpe Ratio

Number of pages: 43 Posted: 14 Jul 2014 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,237
648.

Parameter Analysis of the VPIN (Volume Synchronized Probability of Informed Trading) Metric

Constantin Zopounidis, Editor. Quantitative Financial Risk Management: Theory and Practice. 2014. Wiley.
Number of pages: 26 Posted: 21 Apr 2014
Working Paper Series
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)
Downloads 424
649.

Stochastic Flow Diagrams Add Topology to the Econometric Toolkit

Number of pages: 45 Posted: 20 Jan 2014 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 977
650.

The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 43-85
Number of pages: 44 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Cornell University - Operations Research & Industrial Engineering
Downloads 2,004