Dror Y. Kenett

Financial Industry Regulatory Authority (FINRA)

Economist

Washington, DC

United States

Johns Hopkins University

Adjunct Professor

Baltimore, MD 20036-1984

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 21,514

SSRN RANKINGS

Top 21,514

in Total Papers Downloads

2,396

SSRN CITATIONS
Rank 19,030

SSRN RANKINGS

Top 19,030

in Total Papers Citations

10

CROSSREF CITATIONS

37

Scholarly Papers (13)

1.

Quantifying Wikipedia Usage Patterns Before Stock Market Moves

Scientific Reports, Vol. 3, pp. 1801; DOI:10.1038/srep01801 (2013)
Number of pages: 5 Posted: 13 May 2013
Data Science Lab, Behavioural Science, Warwick Business School, Boston University, Boston University, Financial Industry Regulatory Authority (FINRA), Boston University - Center for Polymer Studies and Data Science Lab, Behavioural Science, Warwick Business School
Downloads 507 (58,855)
Citation 1

Abstract:

Loading...

Big Data, Financial Markets, Predictive Analytics, Search Volume, Data Mining, Wikipedia, Computational Social Science, Digital Traces, Dow Jones Industrial Average

2.

Quantifying the Behavior of Stock Correlations Under Market Stress

Scientific Reports, Vol. 2, 2012, DOI:10.1038/srep00752
Number of pages: 5 Posted: 02 Nov 2012
Data Science Lab, Behavioural Science, Warwick Business School, Financial Industry Regulatory Authority (FINRA), Boston University - Center for Polymer Studies, ETH Z├╝rich - Department of Humanities, Social and Political Sciences (GESS) and Tel Aviv University (Deceased)
Downloads 448 (68,576)
Citation 4

Abstract:

Loading...

Financial Markets, Correlation Breakdown, Portfolio Theory, Stock Market, Dow Jones Industrial Average, State-Dependent Correlations, Diversification, Stock Market Crash

3.

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 23 Jun 2019
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 232 (141,613)

Abstract:

Loading...

Financial markets, Market structure, Correlation analysis, Epps effect, Lead-lag

4.

Dynamical Macro-Prudential Stress Testing Using Network Theory

Number of pages: 45 Posted: 19 Aug 2014 Last Revised: 25 Sep 2014
Boston University, Financial Industry Regulatory Authority (FINRA), Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Downloads 190 (170,854)
Citation 2

Abstract:

Loading...

Financial Networks, Interdependence, Contagion, Banking System, Venezuela, Macro-prudential

5.

Structure and Dynamics of the Brazilian Stock Market: A Correlation Analysis

Number of pages: 23 Posted: 25 Aug 2014
Boston University, Boston University, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 189 (171,691)
Citation 3

Abstract:

Loading...

Brazil, Partial correlation, Financial Markets, Emerging Markets

6.

A Map of Collateral Uses and Flows

OFR WP 16-06
Number of pages: 26 Posted: 27 May 2016
Morgan Stanley, Board of Regents - University of California Office of the CIO, Financial Industry Regulatory Authority (FINRA) and Morgan Stanley
Downloads 172 (187,546)
Citation 1

Abstract:

Loading...

Collateral, funding liquidity, central clearing, repo, derivatives, funding map, financial stability

7.

Interconnectedness in the Global Financial Market

OFR WP 16-09
Number of pages: 37 Posted: 08 Oct 2016
Matthias Raddant and Dror Y. Kenett
Kiel Institute for the World Economy and Financial Industry Regulatory Authority (FINRA)
Downloads 161 (197,614)
Citation 4

Abstract:

Loading...

asset markets, comovement, financial networks, interconnectedness

8.

The Design and Performance of the Adaptive Stock Market Index

Algorithmic Finance 2014, 3:3-4, pp. 189-207
Number of pages: 20 Posted: 12 Dec 2014
Lior Zatlavi, Dror Y. Kenett and Eshel Ben-Jacob
Tel Aviv University, School of Electrical Engineering, Faculty of Engineering, Financial Industry Regulatory Authority (FINRA) and Tel Aviv University (Deceased)
Downloads 148 (211,950)

Abstract:

Loading...

Financial markets, prtial correlation, sock influence, adaptive-indices

9.

Dynamical Macroprudential Stress Testing Using Network Theory

Office of Financial Research Working Paper No. 15-12
Number of pages: 52 Posted: 24 Aug 2015
Financial Industry Regulatory Authority (FINRA), Boston University, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Downloads 133 (230,900)
Citation 2

Abstract:

Loading...

Financial Networks, Interdependence, Contagion, Banking

10.

How High Frequency Trading Affects a Market Index

Scientific Reports 3, Article number: 2110
Number of pages: 8 Posted: 04 Jul 2013
Financial Industry Regulatory Authority (FINRA), Tel Aviv University (Deceased), Boston University - Center for Polymer Studies and Israel Securities Authority
Downloads 83 (319,209)
Citation 1

Abstract:

Loading...

HFT, market microstructure, correlation, econophysics

11.

Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

Number of pages: 17 Posted: 03 Jan 2014
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 79 (328,693)
Citation 4

Abstract:

Loading...

Multivariate Analysis, Correlation Based Networks, Bootstrap Validation, Lagged Correlations

The Complexity of Bank Holding Companies: A Topological Approach

Journal of Banking and Finance, Forthcoming
Number of pages: 89 Posted: 27 Mar 2020
R. H. Smith School of Business, U. of Maryland, Financial Industry Regulatory Authority (FINRA), American University - Department of Finance and Real Estate and University of Iowa
Downloads 28 (524,071)

Abstract:

Loading...

Orderly Resolution, Supervisory Coordination, Opacity, Graph Quotient, Edge Contraction, Y-15

The Complexity of Bank Holding Companies: a Topological Approach

NBER Working Paper No. w23755
Number of pages: 55 Posted: 06 Sep 2017 Last Revised: 09 Sep 2017
R. H. Smith School of Business, U. of Maryland, Financial Industry Regulatory Authority (FINRA), American University - Department of Finance and Real Estate and University of Iowa
Downloads 16 (604,060)

Abstract:

Loading...

13.

In the Eye of the Beholder: Regulatory Versus Industry Risk Perception

Journal of Risk Management in Financial Institutions, Forthcoming
Number of pages: 19 Posted: 18 May 2020
Meghan Burns, Dror Y. Kenett and Jonathan S. Sokobin
Financial Industry Regulatory Authority (FINRA), Financial Industry Regulatory Authority (FINRA) and FINRA
Downloads 10 (622,437)

Abstract:

Loading...

Risk Themes, Risk Gap, Risk Disclosures, Regulation