Training for Big Data in Financial Research and Risk Management

Livrables

A report and software on a real-time learning method to update decentralised models and address financial market velocity

A report and software on a real-time learning method to update decentralised models and address financial market velocity on RP 1 (ESR 1)

Report on dissemination activities
A report on a new model with statistical analysis of the relation between order book dynamics and news arrivals

A report on a new model with statistical analysis of the relation between order book dynamics and news arrivals on RP 8 (ESR 8)

A report on a tested and validated system for risk management with real data and simulated stressed scenarios

A report on a tested and validated system for risk management with real data and simulated stressed scenarios on RP 14 (ESR 14)

A report and software on a verified and validated knowledge extraction prototype with different data sources

A report and software on a verified and validated knowledge extraction prototype with different data sources on RP 3 (ESR 3)

PhD Manuscripts submitted for doctoral degrees in WP 4
A report on a new model augmented with news data sources

A report on a new model augmented with news data sources on RP 6 (ESR 6)

A report and software on data sampling techniques

A report and software on data sampling techniques on RP 2 (ESR 2)

A report on an extended approach to characterise financial markets from an event-driven perspective

A report on an extended approach to characterise financial markets from an event-driven perspective on RP 9 (ESR 9)

A report on a model to define and measure systemic risk in financial networks and its empirical analysis

A report on a model to define and measure systemic risk in financial networks and its empirical analysis on RP 5 (ESR 5)

A report on a tested and validated risk management tool based on scaling laws for FX markets

A report on a tested and validated risk management tool based on scaling laws for FX markets on RP 13 (ESR 13)

PhD Manuscripts submitted for doctoral degrees in WP 1

PhD Manuscripts submitted for doctoral degrees

A report on an analysis of the behavioural differences between institutional and individual investors and ownership diversity during the recent financial crisis

A report on an analysis of the behavioural differences between institutional and individual investors and ownership diversity during the recent financial crisis on RP 4 (ESR 4)

A report on back-tested, validated risk management and portfolio construction tools to monitor risks in smart beta investing

A report on back-tested, validated risk management and portfolio construction tools to monitor risks in smart beta investing on RP 12 (ESR 12)

A report on a tested and assessed prototype for a real-time financial market mood and confidence index

A report on a tested and assessed prototype for a real-time financial market mood and confidence index on RP 11 (ESR 11)

Dissemination plan
PhD Manuscripts submitted for doctoral degrees in WP 2
PhD Manuscripts submitted for doctoral degrees in WP 3
A report on the analysis of the structure and dynamics of volatility in financial markets with news arrivals

A report on the analysis of the structure and dynamics of volatility in financial markets with news arrivals on RP 7 (ESR 7)

Website published
Training Event: Textual data in finance

Training Event: Textual data in finance, tentatively in Slovenia

Compilation of training material
Final conference

Final conference, tentatively in the UK

Conference: Big Data in Finance

Conference: Big Data in Finance, tentatively in the UK

Winter School and Workshop: Complex networks in finance

Winter School and Workshop: Complex networks in finance, tentatively in Switzerland

Summer School: Introduction to econometrics and empirical modelling of financial markets

Summer School: Introduction to econometrics and empirical modelling of financial markets, tentatively in Denmark

Kick-off meeting: Data Science in Finance

Kick-off meeting: Data Science in Finance,tentatively in Finland

Publications

Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis

Auteurs: Martin Magris, Jiyeong Kim, Esa Rasanen, Juho Kanniainen
Publié dans: 2017
Éditeur: IEEE

Implied volatility smile dynamics in the presence of jumps

Auteurs: Martin Magris, Perttu Barholm, Juho Kanniainen
Publié dans: 2017
Éditeur: Cornell University Library

Tensor representation in high-frequency financial data for price change prediction

Auteurs: Dat Thanh Tran, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis
Publié dans: 2017 IEEE Symposium Series on Computational Intelligence (SSCI), 2017, Page(s) 1-7, ISBN 978-1-5386-2726-6
Éditeur: IEEE
DOI: 10.1109/ssci.2017.8280812

Impact of News Events on the Financial Markets

Auteurs: Torkar, M. and Mladenic, D.
Publié dans: SiKDD, 20th International Multiconference of Information Society, 2017
Éditeur: JSI

Real Implications of Quantitative Easing in the Euro Area: A Complex-Network Perspective

Auteurs: Chiara Perillo, Stefano Battiston
Publié dans: Complex Networks & Their Applications VI, Numéro Vol. 689, 2017, Page(s) 1162-1173
Éditeur: Springer International Publishing
DOI: 10.1007/978-3-319-72150-7_94

Humans, Jobs, and the Economy - The Future of Finance in the Age of Big Data

Auteurs: James Hodson
Publié dans: Proceedings of the 24th ACM SIGKDD International Conference on Knowledge Discovery & Data Mining - KDD '18, 2018, Page(s) 2871-2871, ISBN 9781-450355520
Éditeur: ACM Press
DOI: 10.1145/3219819.3227695

Benchmark dataset for mid-price forecasting of limit order book data with machine learning methods

Auteurs: Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis
Publié dans: Journal of Forecasting, Numéro 37/8, 2018, Page(s) 852-866, ISSN 0277-6693
Éditeur: John Wiley & Sons Inc.
DOI: 10.1002/for.2543

Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

Auteurs: Ioannis Anagnostou, Sumit Sourabh, Drona Kandhai
Publié dans: Complexity, Numéro 2018, 2018, Page(s) 1-15, ISSN 1076-2787
Éditeur: John Wiley & Sons Inc.
DOI: 10.1155/2018/6076173

Computational analysis of structural properties of economic and financial networks

Auteurs: Frank Emmert-Streib, Aliyu Musa, Kestutis Baltakys, Juho Kanniainen, Shailesh Tripathi, Olli Yli-Harja, Herbert Jodlbauer, Matthias Dehmer
Publié dans: The Journal of Network Theory in Finance, Numéro VOLUME 4, NUMBER 3 (SEPTEMBER 2018), 2018, Page(s) 1-32, ISSN 2055-7795
Éditeur: Risk.net
DOI: 10.21314/jntf.2018.043

Neighbors matter: Geographical distance and trade timing in the stock market

Auteurs: Kȩstutis Baltakys, Margarita Baltakienė, Hannu Kärkkäinen, Juho Kanniainen
Publié dans: Finance Research Letters, 2018, ISSN 1544-6123
Éditeur: Elsevier BV
DOI: 10.1016/j.frl.2018.11.013

Feature Engineering for Mid-Price Prediction With Deep Learning

Auteurs: Adamantios Ntakaris, Giorgio Mirone, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis
Publié dans: IEEE Access, Numéro 7, 2019, Page(s) 82390-82412, ISSN 2169-3536
Éditeur: Institute of Electrical and Electronics Engineers Inc.
DOI: 10.1109/access.2019.2924353

Learning from data streams using kernel least-mean-square with multiple kernel-sizes and adaptive step-size

Auteurs: Sergio Garcia-Vega, Xiao-Jun Zeng, John Keane
Publié dans: Neurocomputing, Numéro 339, 2019, Page(s) 105-115, ISSN 0925-2312
Éditeur: Elsevier BV
DOI: 10.1016/j.neucom.2019.01.055

Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model

Auteurs: Ioannis Anagnostou, Drona Kandhai
Publié dans: Risks, Numéro 7/2, 2019, Page(s) 66, ISSN 2227-9091
Éditeur: MDPI
DOI: 10.3390/risks7020066

Contagious defaults in a credit portfolio: a Bayesian network approach

Auteurs: Ioannis Anagnostou, Javier Sanchez Rivero, Sumit Sourabh, Drona Kandhai
Publié dans: Journal of Credit Risk, 2019, ISSN 1755-9723
Éditeur: Incisive Media Ltd.

A multiplex financial network approach to policy evaluation: the case of euro area Quantitative Easing

Auteurs: Chiara Perillo, Stefano Battiston
Publié dans: Applied Network Science, Numéro 3/1, 2018, Page(s) 49, ISSN 2364-8228
Éditeur: Springer International Publishing
DOI: 10.1007/s41109-018-0098-8

Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

Auteurs: Vladimir Petrov, Anton Golub, Richard Olsen
Publié dans: Journal of Risk and Financial Management, Numéro 12/2, 2019, Page(s) 54, ISSN 1911-8074
Éditeur: MDPI
DOI: 10.3390/jrfm12020054

Multilayer Aggregation with Statistical Validation: Application to Investor Networks

Auteurs: Kęstutis Baltakys, Juho Kanniainen, Frank Emmert-Streib
Publié dans: Scientific Reports, Numéro 8/1, 2018, ISSN 2045-2322
Éditeur: Nature Publishing Group
DOI: 10.1038/s41598-018-26575-2

Agent-Based Model in Directional-Change Intrinsic Time

Auteurs: Vladimir Petrov, Anton Golub, Richard B. Olsen
Publié dans: SSRN Electronic Journal, 2018, ISSN 1556-5068
Éditeur: Social Science Research Network
DOI: 10.2139/ssrn.3240456

Facebook drives behavior of passive households in stock markets

Auteurs: Milla Siikanen, Kęstutis Baltakys, Juho Kanniainen, Ravi Vatrapu, Raghava Mukkamala, Abid Hussain
Publié dans: Finance Research Letters, Numéro 27, 2018, Page(s) 208-213, ISSN 1544-6123
Éditeur: Elsevier BV
DOI: 10.1016/j.frl.2018.03.020

Machine Learning for Forecasting Mid-Price Movements Using Limit Order Book Data

Auteurs: Paraskevi Nousi, Avraam Tsantekidis, Nikolaos Passalis, Adamantios Ntakaris, Juho Kanniainen, Anastasios Tefas, Moncef Gabbouj, Alexandros Iosifidis
Publié dans: IEEE Access, Numéro 7, 2019, Page(s) 64722-64736, ISSN 2169-3536
Éditeur: Institute of Electrical and Electronics Engineers Inc.
DOI: 10.1109/access.2019.2916793

Inference from the futures: ranking the noise cancelling accuracy of realized measures

Auteurs: Giorgio Mirone
Publié dans: CREATES Research Papers, Numéro 2017-24, 2017
Éditeur: Institut for Økonomi, Aarhus Universitet

Cross-sectional noise reduction and more efficient estimation of Integrated Variance

Auteurs: Giorgio Mirone
Publié dans: CREATES Research Papers, 2018, Page(s) 40
Éditeur: Institut for Økonomi, Aarhus University

A Vine-copula extension for the HAR model

Auteurs: Magris, Martin
Publié dans: 2019
Éditeur: Cornell University

A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing

Auteurs: Fons, Elizabeth; Dawson, Paula; Yau, Jeffrey; Zeng, Xiao-jun; Keane, John
Publié dans: Numéro 10, 2019
Éditeur: Cornell University

Maximum entropy approach to link prediction in bipartite networks

Auteurs: Baltakiene, M.; Baltakys, K.; Cardamone, D.; Parisi, F.; Radicioni, T.; Torricelli, M.; de Jeude, J. A. van Lidth; Saracco, F.
Publié dans: Numéro 11, 2018
Éditeur: SSRN

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

Auteurs: Ntakaris, Adamantios; Kanniainen, Juho; Gabbouj, Moncef; Iosifidis, Alexandros
Publié dans: Numéro 5, 2018
Éditeur: SSRN

Intrinsic Time Directional-Change Methodology in Higher Dimensions

Auteurs: Vladimir Petrov, Anton Golub, Richard B. Olsen
Publié dans: 2019
Éditeur: SSRN

Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks

Auteurs: Georgios Moysiadis, Ioannis Anagnostou, Drona Kandhai
Publié dans: ECML PKDD 2018 Workshops - MIDAS 2018 and PAP 2018, Dublin, Ireland, September 10-14, 2018, Proceedings, Numéro 11054, 2019, Page(s) 23-36, ISBN 978-3-030-13462-4
Éditeur: Springer International Publishing
DOI: 10.1007/978-3-030-13463-1_2

Clusters of investors around initial public offering

Auteurs: Margarita Baltakienė, Kęstutis Baltakys, Juho Kanniainen, Dino Pedreschi, Fabrizio Lillo
Publié dans: Palgrave Communications, Numéro 5/1, 2019, ISSN 2055-1045
Éditeur: Palgrave Macmillan
DOI: 10.1057/s41599-019-0342-6

Aggregation Effect in Stale News

Auteurs: Anastassia Fedyk, James Hodson
Publié dans: SSRN Electronic Journal, 2019, ISSN 1556-5068
Éditeur: SSRN
DOI: 10.2139/ssrn.2433234

Trading on Talent: Human Capital and Firm Performance

Auteurs: Anastassia Fedyk, James Hodson
Publié dans: SSRN Electronic Journal, 2019, ISSN 1556-5068
Éditeur: SSRN
DOI: 10.2139/ssrn.3017559

Stock Price Prediction Using Kernel Adaptive Filtering Within a Stock Market Interdependence Approach

Auteurs: Sergio Garcia-Vega, Xiao-Jun Zeng, John Keane
Publié dans: SSRN Electronic Journal, 2019, ISSN 1556-5068
Éditeur: SSRN Electronic Journal
DOI: 10.2139/ssrn.3306250

Droits de propriété intellectuelle

System and method for computational disambiguation and prediction of dynamic hierarchical data structures

Numéro de demande/publication: 20 1715696067
Date: 2017-09-05
Demandeur(s): INSTITUT JOZEF STEFAN

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