Dror Y. Kenett

Government of the United States of America - Office of Financial Research

717 14th Street, NW

Washington DC, DC 20005

United States

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SCHOLARLY PAPERS

11

DOWNLOADS
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Top 20,342

in Total Papers Downloads

1,832

CITATIONS

1

Scholarly Papers (11)

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
University College London - Department of Civil, Environmental and Geomatic Engineering, Boston University, Boston University, Government of the United States of America - Office of Financial Research, Boston University - Center for Polymer Studies and Data Science Lab, Behavioural Science, Warwick Business School
Downloads 390 (50,747)

Abstract:

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, Government of the United States of America - Office of Financial Research, Boston University - Center for Polymer Studies, ETH Z├╝rich - Department of Humanities, Social and Political Sciences (GESS) and Tel Aviv University (Deceased)
Downloads 289 (58,320)
Citation 1

Abstract:

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

3.

Dynamical Macro-Prudential Stress Testing Using Network Theory

Number of pages: 45 Posted: 19 Aug 2014 Last Revised: 25 Sep 2014
Boston University, Government of the United States of America - Office of Financial Research, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Downloads 133 (139,076)

Abstract:

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

4.

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 Government of the United States of America - Office of Financial Research
Downloads 93 (160,945)

Abstract:

Brazil, Partial correlation, Financial Markets, Emerging Markets

5.

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, Government of the United States of America - Office of Financial Research and Tel Aviv University (Deceased)
Downloads 78 (181,973)

Abstract:

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

6.

How High Frequency Trading Affects a Market Index

Scientific Reports 3, Article number: 2110
Number of pages: 8 Posted: 04 Jul 2013
Government of the United States of America - Office of Financial Research, Tel Aviv University (Deceased), Boston University - Center for Polymer Studies and Israel Securities Authority
Downloads 60 (258,065)

Abstract:

HFT, market microstructure, correlation, econophysics

7.

Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

Number of pages: 17 Posted: 03 Jan 2014
Boston University, University of Palermo, Central European University, Boston University - Center for Polymer Studies and Government of the United States of America - Office of Financial Research
Downloads 52 (281,646)

Abstract:

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

8.

Dynamical Macroprudential Stress Testing Using Network Theory

Office of Financial Research Working Paper No. 15-12
Number of pages: 52 Posted: 24 Aug 2015
Government of the United States of America - Office of Financial Research, Boston University, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Downloads 51 (208,266)

Abstract:

Financial Networks, Interdependence, Contagion, Banking

9.

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

Office of Financial Research Working Paper No. 15-15
Number of pages: 28 Posted: 22 Aug 2015
Boston University, University of Palermo, Central European University, Boston University - Center for Polymer Studies and Government of the United States of America - Office of Financial Research
Downloads 48 (185,371)

Abstract:

Financial markets, Correlation analysis, Complex systems, Lagged correlations

10.

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 Government of the United States of America - Office of Financial Research
Downloads 0 (242,959)

Abstract:

asset markets, comovement, financial networks, interconnectedness

11.

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, Government of the United States of America - Office of Financial Research and Morgan Stanley
Downloads 0 (241,146)

Abstract:

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