Juho Kanniainen

Tampere University

Professor

P.O. 541, Korkeakoulunkatu 8 (Festia building)

Tampere, FI-33101

Finland

http://https://sites.google.com/site/juhokanniainen/

SCHOLARLY PAPERS

21

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CITATIONS
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22

Scholarly Papers (21)

1.

Estimating and Using GARCH Models with VIX Data for Option Valuation

Number of pages: 33 Posted: 31 Oct 2012 Last Revised: 24 Jun 2016
Juho Kanniainen, Binghuan Lin and Hanxue Yang
Tampere University, Tampere University of Technology and Tampere University of Technology
Downloads 751 (32,036)
Citation 8

Abstract:

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Option valuation, VIX, GARCH, Estimation

2.

Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets

Number of pages: 34 Posted: 09 Jun 2015 Last Revised: 12 Jan 2016
Hanxue Yang and Juho Kanniainen
Tampere University of Technology and Tampere University
Downloads 300 (99,537)
Citation 4

Abstract:

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Infinite-activity Levy jumps, Non-affine models, MCMC, VIX, Options

3.

Mid-Price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators

Number of pages: 40 Posted: 08 Aug 2018
Tampere University of Technology, Tampere University, Tampere University of Technology and Aarhus University
Downloads 294 (102,140)
Citation 2

Abstract:

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high-frequency trading, limit order book, mid-price, machine learning, technical analysis, quantitative analysis

4.

Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic

Number of pages: 19 Posted: 10 Jan 2015 Last Revised: 11 Jan 2017
Milla Siikanen, Juho Kanniainen and Jaakko Valli
Tampere University of Technology, Tampere University and Tampere University of Technology
Downloads 218 (138,288)
Citation 5

Abstract:

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Limit order book, Liquidity, Company announcement, High-frequency data

5.

Practitioner's Guide on the Use of Cloud Computing in Finance

Number of pages: 31 Posted: 02 Dec 2015 Last Revised: 06 Nov 2017
Binghuan Lin, Rainer Wehkamp and Juho Kanniainen
Tampere University of Technology, Techila Technologies Ltd and Tampere University
Downloads 217 (138,915)

Abstract:

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Cloud Computing, Financial Engineering, Risk Management, Portfolio Optimization, Distributed Algorithm

6.

Predicting Jump Arrivals in Stock Prices Using Neural Networks with Limit Order Book Data

Number of pages: 27 Posted: 24 Apr 2018 Last Revised: 01 May 2018
Tampere University of Technology, Aarhus University, Tampere University of Technology and Tampere University
Downloads 196 (153,630)

Abstract:

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Limit Order Book Data, Neural Networks, Convolutional Networks, Long Short-Term Memory, Attention Mechanism

7.

The Arrival of News and Jumps in Stock Markets

Number of pages: 28 Posted: 13 Jan 2017 Last Revised: 10 Jan 2019
Juho Kanniainen and Ye Yue
Tampere University and Tampere University
Downloads 160 (182,986)

Abstract:

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Arrival of News; Jumps; High Frequency Data; Macroeconomic Announcements; Company Announcements

8.

Stock Price Dynamics, Dividends, and Option Prices with Volatility Feedback

Number of pages: 22 Posted: 07 Feb 2012
Juho Kanniainen and Robert Piche
Tampere University and affiliation not provided to SSRN
Downloads 105 (253,477)
Citation 2

Abstract:

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Volatility Feedback, Dividends, Option Prices, Stochastic Volatility, Time-Varying Price-Dividend ratio

9.

Facebook Drives Behavior of Passive Households in Stock Markets

Finance Research Letters, Forthcoming
Number of pages: 11 Posted: 09 Mar 2018 Last Revised: 08 May 2019
Tampere University of Technology, Tampere University, Tampere University, Copenhagen Business School, Copenhagen Business School and Copenhagen Business School
Downloads 55 (367,592)
Citation 1

Abstract:

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Investor behavior, Social media, Stock markets, Investor sophistication, Decision making

10.

What Drives the Sensitivity of Limit Order Books to Company Announcement Arrivals?

Number of pages: 9 Posted: 29 Dec 2016
Milla Siikanen, Juho Kanniainen and Arto Luoma
Tampere University of Technology, Tampere University and Tampere University
Downloads 54 (370,771)
Citation 5

Abstract:

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Limit order book, Liquidity, Company announcement, High-frequency data

11.

Option Market (In)efficiency and Implied Volatility Dynamics After Return Jumps

Number of pages: 28 Posted: 12 Oct 2018 Last Revised: 25 Jun 2019
Juho Kanniainen and Martin Magris
Tampere University and Tampere University of Technology
Downloads 53 (373,795)

Abstract:

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Return Jumps, Implied Volatility, Market Efficiency, Option Markets, Principal Component Analysis

12.

Neighbors Matter: Geographical Distance and Trade Timing in the Stock Market

Number of pages: 29 Posted: 24 Jul 2018 Last Revised: 23 Nov 2018
Tampere University, Tampere University, Tampere University of Technology and Tampere University
Downloads 39 (423,166)

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investor trading, geographical distance, information transfer, private information, investor network, social interactions, behavioral finance, behavioral economics, social networks, individual investors

13.

Value of Information and Use of Market versus Limit Orders by Informed Investors

Number of pages: 20 Posted: 02 Oct 2017 Last Revised: 30 Oct 2018
Milla Siikanen and Juho Kanniainen
Tampere University of Technology and Tampere University
Downloads 37 (431,338)

Abstract:

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14.

Clusters of Investors Around Initial Public Offering

Number of pages: 23 Posted: 14 Jun 2019
Tampere University, Tampere University, Tampere University, affiliation not provided to SSRN and Università di Bologna
Downloads 12 (568,516)

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investor networks, IPO, investor clusters, SVN, network dynamics, institutional herding

15.

Distributed Calibration of Option Pricing Models with Multiple Contracts Written on Different Underlying Assets

Number of pages: 6 Posted: 19 May 2017 Last Revised: 06 Nov 2017
Juho Kanniainen and Marko Koskinen
Tampere University and Techila Technologies Ltd
Downloads 10 (574,693)

Abstract:

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distributed computing; option prices; calibration

16.

Trading Too Expensively in the FX Market?

Forthcoming in Quantitative Finance. Link to the published article: DOI: 10.1080/14697688.2019.1615633
Posted: 25 Jul 2018 Last Revised: 10 May 2019
Milla Siikanen, Ulrich Nögel and Juho Kanniainen
Tampere University of Technology, big xyt AG and Tampere University

Abstract:

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FX Market, Liquidity, Aggregation, Transaction Costs

17.

Modeling Volatility Risk Premium

Posted: 24 Mar 2016
Kossi Gnameho, Juho Kanniainen and Ye Yue
Maastricht University - Department of Quantitative Economics, Tampere University and Tampere University

Abstract:

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Martingale, Malliavin, Risk premium

18.

Calibration Strategies of Stochastic Volatility Models for Option Pricing

Applied Financial Economics, Vol. 22, No. 23, pp. 1979-1992
Posted: 03 Nov 2012
Mauri Larikka and Juho Kanniainen
affiliation not provided to SSRN and Tampere University

Abstract:

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stochastic volatility, option prices, calibration, out-of-sample

19.

Can Properly Discounted Projects Follow Geometric Brownian Motion?

Mathematical Methods of Operations Research, Vol. 70, No. 3,pp 435-450, 2009
Posted: 03 Nov 2012
Juho Kanniainen
Tampere University

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Real options, Stochastic processes, Geometric Brownian motion, Stochastic volatility, Present value model

20.

Option Pricing Under Joint Dynamics of Interest Rates, Dividends, and Stock Prices

Operations Research Letters, Vol. 39, No. 4, pp. 260–264, July 2011
Posted: 30 Oct 2012
Juho Kanniainen
Tampere University

Abstract:

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interest rates, option pricing, dividends

21.

Forecasting the Diffusion of Innovation: A Stochastic Bass Model with Log-Normal and Mean-Reverting Error Process

IEEE Transactions on Engineering Management, 58 (2), 228-249, 2011
Posted: 30 Oct 2012
Tampere University, Tampere University of Technology - Department of Industrial Management, affiliation not provided to SSRN and Tampere University of Technology

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diffusion models, innovation forecasting, stochastic processes