Derek Snow

New York University (NYU) - Finance and Risk Engineering Department

Professor

6 Metrotech Center

New York, NY 11201

United States

The Alan Turing Institute

Research Associate for Machine Learning in Finance

British Library, 96 Euston Rd

London, NW1 2DB

United Kingdom

http://www.turing.ac.uk/

University of Oxford - Oxford-Man Institute of Quantitative Finance

Associate Member

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

  • New York University (NYU) - Finance and Risk Engineering Department

  • The Alan Turing Institute

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 2,731

SSRN RANKINGS

Top 2,731

in Total Papers Downloads

25,592

TOTAL CITATIONS

19

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 11,840 (911)
Citation 3

Abstract:

Loading...

asset management, portfolio, machine learning, trading strategies

2.

MTSS-GAN: Multivariate Time Series Simulation Generative Adversarial Networks

Number of pages: 7 Posted: 26 Jun 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 3,318 (7,806)
Citation 4

Abstract:

Loading...

Time Series, Generation, Synthetic, GAN, Generative, Multivariate, Simulation, Synthesiser

3.

A Surprising Thing: The Application of Machine Learning Ensembles and Signal Theory to Predict Earnings Surprises

Number of pages: 103 Posted: 17 Jul 2019 Last Revised: 25 Mar 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 2,038 (16,959)

Abstract:

Loading...

Machine Learning, Earnings Surprise, Event-driven, Trading Strategy, Prediction

4.

DeltaPy: A Framework for Tabular Data Augmentation in Python

Number of pages: 3 Posted: 19 May 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 1,869 (19,476)
Citation 8

Abstract:

Loading...

Tabular Data, Augmentation Methods, Machine Learning, Data Science, Feature Engineering, Synthetic Data, Colab Notebook

5.

Financial Event Prediction using Machine Learning

Number of pages: 228 Posted: 15 Nov 2019 Last Revised: 25 Mar 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 1,350 (31,840)
Citation 1

Abstract:

Loading...

Event Prediction, Financial Event, Machine Learning, Classification, Earnings, Bankruptcy, Facility Closure

6.

AtsPy: Automated Time Series Forecasting in Python

Number of pages: 2 Posted: 14 May 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 1,259 (35,246)
Citation 3

Abstract:

Loading...

Automated Time Series, Time Series, Forecasting, Economics, Business

7.

Investigating Accounting Patterns for Bankruptcy and Filing Outcome Prediction using Machine Learning Models

Number of pages: 115 Posted: 18 Jul 2019 Last Revised: 25 Mar 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 891 (57,595)

Abstract:

Loading...

Bankruptcy Prediction, Machine Learning, Corporate Default, Bankruptcy Outcomes

8.

Black-Box Model Risk in Finance

Number of pages: 31 Posted: 19 Mar 2021
Samuel N. Cohen, Derek Snow and Lukasz Szpruch
University of Oxford - Mathematical Institute, New York University (NYU) - Finance and Risk Engineering Department and University of Edinburgh - School of Mathematics
Downloads 831 (63,386)

Abstract:

Loading...

Neural Networks, derivative pricing, hedging, model risk, data cleaning, quantitative finance, data-driven models, market generators, uncertainty, reinforcement learning, sensitivity, adversarial attacks, robustness, expert design

9.

Predicting Global Restaurant Facility Closures

Number of pages: 57 Posted: 18 Jul 2019 Last Revised: 26 Mar 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 594 (97,876)

Abstract:

Loading...

Machine Learning, Applied, FirmAI, Restaurant, Bankruptcy, Failure, Closures

10.

Financial Machine Learning Regulation

Number of pages: 33 Posted: 14 May 2019
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 573 (102,517)

Abstract:

Loading...

Regulation, Machine Learning, FI, Financial Institution, Regtech

11.

FairPut: A Light Framework for Machine Learning Fairness with LightGBM

Number of pages: 8 Posted: 29 Jun 2020 Last Revised: 22 Oct 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 333 (193,070)

Abstract:

Loading...

Fairness, Explainability, Machine Learning, Robustness, Python, FairPut

12.

DataGene: A Framework for Dataset Similarity

Number of pages: 6 Posted: 29 Jun 2020 Last Revised: 22 Oct 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 303 (213,697)

Abstract:

Loading...

Distance, Time Series, Similarity, Metrics, Python, Data, Machine Learning, Data Science

13.

A Portfolio Strategy Using Glassdoor’s Business Outlook Ratings

Number of pages: 62 Posted: 21 Jan 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 200 (322,711)

Abstract:

Loading...

Glassdoor, Employee, Investment, Trading Strategy, Portfolio

14.

PandaPy: A Wrapper Around Structured Arrays to Mimic ‘Structs’ in the C Language

Number of pages: 2 Posted: 08 Jun 2020
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 193 (333,569)

Abstract:

Loading...

Python, Pandas, Data Structure, Software, Finance, Economics, Latency, Memory, Structured, High Frequency Trading