Juho Kanniainen

Tampere University

Professor

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

Tampere, FI-33101

Finland

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

  • Tampere University

SCHOLARLY PAPERS

33

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SSRN CITATIONS
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32

CROSSREF CITATIONS

8

Scholarly Papers (33)

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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 922 (41,267)
Citation 5

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Option valuation, VIX, GARCH, Estimation

2.

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

Number of pages: 40 Posted: 08 Aug 2018
Adamantios Ntakaris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
Tampere University of Technology, Tampere University, Tampere University of Technology and Aarhus University
Downloads 753 (54,538)
Citation 3

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

3.

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
Milla Mäkinen, Alexandros Iosifidis, Moncef Gabbouj and Juho Kanniainen
Tampere University of Technology, Aarhus University, Tampere University of Technology and Tampere University
Downloads 413 (114,844)
Citation 3

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

4.

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 350 (139,255)
Citation 5

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

5.

Empirical Deep Hedging

Number of pages: 18 Posted: 16 Sep 2021 Last Revised: 15 Jul 2022
Oskari Mikkilä and Juho Kanniainen
Tampere University and Tampere University
Downloads 319 (152,838)

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Options, Hedging, Options, Stochastic volatility, Deep reinforcement learning

6.

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 306 (159,729)

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

7.

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 253 (193,983)
Citation 3

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

8.

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 225 (217,401)

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

9.

Investor trade allocation patterns in stock markets

Number of pages: 34 Posted: 18 Sep 2020 Last Revised: 11 Jan 2023
Kęstutis Baltakys, Juho Kanniainen, Jari Saramäki and Mikko Kivela
Tampere University, Tampere University, Aalto University and Aalto University
Downloads 197 (245,847)
Citation 3

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trade allocation, portfolios, investor behavior, stock market

10.

How informative is the Order Book Beyond the BestLevels? Machine Learning Perspective

Number of pages: 33 Posted: 22 Oct 2021
Dat Thanh Tran, Juho Kanniainen and Alexandros Iosifidis
Tampere University, Tampere University and Aarhus University
Downloads 186 (258,780)

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11.

Detecting Intra-Day Jumps in Stock Prices with High-Frequency Option Data

Number of pages: 36 Posted: 15 Dec 2020 Last Revised: 30 Sep 2021
Juho Kanniainen and Martin Magris
Tampere University and Aarhus University
Downloads 164 (288,542)

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Jump detection, Jump test, Stock price dynamics, Time series, Options, Volatility index, VIX, High-Frequency Data

12.

Identification of Information Networks in Stock Markets

Journal of Economic Dynamics and Control, Vol. 131, No. 104217, 2021
Number of pages: 15 Posted: 12 Jan 2021 Last Revised: 13 Oct 2021
Margarita Baltakienė, Juho Kanniainen and Kęstutis Baltakys
Tampere University, Tampere University and Tampere University
Downloads 150 (310,886)
Citation 4

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information channels, information transfer, investor network, network inference, private information, public information

13.

Predicting the Trading Behavior of Socially Connected Investors: Graph Neural Network Approach with Implications to Market Surveillance

Number of pages: 44 Posted: 25 Jul 2022 Last Revised: 03 Jan 2023
Kęstutis Baltakys, Margarita Baltakienė, Negar Heidari, Alexandros Iosifidis and Juho Kanniainen
Tampere University, Tampere University, Aarhus University - Department of Engineering, Aarhus University - Department of Engineering and Tampere University
Downloads 148 (314,288)
Citation 1

Abstract:

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Private information, stock markets, investor behavior, social networks, machine learning, graph neural networks, market surveillance

14.

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 125 (358,147)

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

15.

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 93 (440,348)

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

16.

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
Milla Siikanen, Kęstutis Baltakys, Juho Kanniainen, Ravi Vatrapu, Raghava Mukkamala and Abid Hussain
Tampere University of Technology, Tampere University, Tampere University, Copenhagen Business School, Copenhagen Business School and Copenhagen Business School
Downloads 83 (472,451)
Citation 2

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

17.

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 72 (512,523)
Citation 4

Abstract:

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

18.

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

Number of pages: 29 Posted: 24 Jul 2018 Last Revised: 09 Nov 2020
Kęstutis Baltakys, Margarita Baltakienė, Hannu Kärkkäinen and Juho Kanniainen
Tampere University, Tampere University, Tampere University of Technology and Tampere University
Downloads 64 (545,486)
Citation 4

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

19.

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 54 (591,771)

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20.

Clusters of Investors Around Initial Public Offering

PALGRAVE COMMUNICATIONS | (2019) 5:129
Number of pages: 14 Posted: 14 Jun 2019 Last Revised: 13 Oct 2021
Margarita Baltakienė, Kęstutis Baltakys, Juho Kanniainen, Dino Pedreschi and Fabrizio Lillo
Tampere University, Tampere University, Tampere University, University of Pisa and Università di Bologna
Downloads 49 (617,607)

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

21.

Network Analysis of Money Flows in Stock Markets

Number of pages: 29 Posted: 19 Apr 2023 Last Revised: 26 Apr 2023
Joonas Karaila, Kęstutis Baltakys, Henri Hansen and Juho Kanniainen
Nordea Bank Abp, Tampere University, Tampere University and Tampere University
Downloads 40 (668,945)

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22.

Trade Synchronization and Social Ties in Stock Markets

Number of pages: 31 Posted: 06 Apr 2022 Last Revised: 17 Feb 2023
Margarita Baltakienė, Kęstutis Baltakys and Juho Kanniainen
Tampere University, Tampere University and Tampere University
Downloads 28 (750,315)
Citation 1

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investor network, trade synchronization, social network, insider network, network inference

23.

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 28 (750,315)

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distributed computing; option prices; calibration

24.

Retaliation in Bitcoin Networks

Number of pages: 7 Posted: 12 Mar 2021 Last Revised: 14 Mar 2021
Laura Lepomäki, Juho Kanniainen and Henri Hansen
Tampere University, Tampere University and Tampere University
Downloads 24 (781,307)

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Bitcoin, peer-review networks

25.

Predicting the State of Synchronization of Financial Time Series Using Cross Recurrence Plots

Number of pages: 7 Posted: 11 Nov 2022
Mostafa Shabani, Martin Magris, George Tzagkarakis, Juho Kanniainen and Alexandros Iosifidis
Aarhus University, Aarhus University, University of Bordeaux, Tampere University and Aarhus University - Department of Engineering
Downloads 22 (797,441)

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Cross Recurrence Plot, Synchronization, Kernel Convolutional Neural Network, Financial Time Series

26.

Augmented Bilinear Network for Incremental Multi-Stock Time-Series Classification

Number of pages: 23 Posted: 20 Jan 2023
Mostafa Shabani, Dat Thanh Tran, Juho Kanniainen and Alexandros Iosifidis
Aarhus University, Tampere University, Tampere University and Aarhus University - Department of Engineering
Downloads 6 (939,010)

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Deep Learning, Low Rank tensor decomposition, Limit Order Book data, Financial time-series analysis

27.

Structure of Investor Networks and Financial Crises

Posted: 18 Feb 2021 Last Revised: 10 Mar 2021
Kęstutis Baltakys, Viet Hung Le and Juho Kanniainen
Tampere University, Faculty of Information Technology and Communication Sciences, Tampere University and Tampere University

Abstract:

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Investor networks, Financial crisis, Complex networks, Network theory, Network topology, Stock markets

28.

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

29.

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

30.

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

31.

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

32.

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

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interest rates, option pricing, dividends

33.

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
Juho Kanniainen, Saku Mäkinen, Robert Piche and Alok Chakrabarti
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