Training for Big Data in Financial Research and Risk Management

Project Information

BigDataFinance

Grant agreement ID: 675044

DOI

10.3030/675044

Project closed

EC signature date 28 July 2015

Start date 1 October 2015

End date 30 September 2019

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 3 463 286,40

EU contribution

€ 3 463 286,40

Coordinated by

TAMPEREEN KORKEAKOULUSAATIO SR
Finland

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Deliverables

Documents, reports (19)

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)

Other (8)

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

Conference proceedings (6)

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

Author(s): Martin Magris, Jiyeong Kim, Esa Rasanen, Juho Kanniainen
Published in: 2017
Publisher: IEEE

Implied volatility smile dynamics in the presence of jumps

Author(s): Martin Magris, Perttu Barholm, Juho Kanniainen
Published in: 2017
Publisher: Cornell University Library

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

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

Impact of News Events on the Financial Markets

Author(s): Torkar, M. and Mladenic, D.
Published in: SiKDD, 20th International Multiconference of Information Society, 2017
Publisher: JSI

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

Author(s): Chiara Perillo, Stefano Battiston
Published in: Complex Networks & Their Applications VI, Issue Vol. 689, 2017, Page(s) 1162-1173
Publisher: 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

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

Peer reviewed articles (14)

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

Author(s): Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis
Published in: Journal of Forecasting, Issue 37/8, 2018, Page(s) 852-866, ISSN 0277-6693
Publisher: John Wiley & Sons Inc.
DOI: 10.1002/for.2543

Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

Author(s): Ioannis Anagnostou, Sumit Sourabh, Drona Kandhai
Published in: Complexity, Issue 2018, 2018, Page(s) 1-15, ISSN 1076-2787
Publisher: John Wiley & Sons Inc.
DOI: 10.1155/2018/6076173

Computational analysis of structural properties of economic and financial networks

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

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

Author(s): Kȩstutis Baltakys, Margarita Baltakienė, Hannu Kärkkäinen, Juho Kanniainen
Published in: Finance Research Letters, 2018, ISSN 1544-6123
Publisher: Elsevier BV
DOI: 10.1016/j.frl.2018.11.013

Feature Engineering for Mid-Price Prediction With Deep Learning

Author(s): Adamantios Ntakaris, Giorgio Mirone, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis
Published in: IEEE Access, Issue 7, 2019, Page(s) 82390-82412, ISSN 2169-3536
Publisher: 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

Author(s): Sergio Garcia-Vega, Xiao-Jun Zeng, John Keane
Published in: Neurocomputing, Issue 339, 2019, Page(s) 105-115, ISSN 0925-2312
Publisher: Elsevier BV
DOI: 10.1016/j.neucom.2019.01.055

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

Author(s): Ioannis Anagnostou, Drona Kandhai
Published in: Risks, Issue 7/2, 2019, Page(s) 66, ISSN 2227-9091
Publisher: MDPI
DOI: 10.3390/risks7020066

Contagious defaults in a credit portfolio: a Bayesian network approach

Author(s): Ioannis Anagnostou, Javier Sanchez Rivero, Sumit Sourabh, Drona Kandhai
Published in: Journal of Credit Risk, 2019, ISSN 1755-9723
Publisher: Incisive Media Ltd.

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

Author(s): Chiara Perillo, Stefano Battiston
Published in: Applied Network Science, Issue 3/1, 2018, Page(s) 49, ISSN 2364-8228
Publisher: Springer International Publishing
DOI: 10.1007/s41109-018-0098-8

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

Author(s): Vladimir Petrov, Anton Golub, Richard Olsen
Published in: Journal of Risk and Financial Management, Issue 12/2, 2019, Page(s) 54, ISSN 1911-8074
Publisher: MDPI
DOI: 10.3390/jrfm12020054

Multilayer Aggregation with Statistical Validation: Application to Investor Networks

Author(s): Kęstutis Baltakys, Juho Kanniainen, Frank Emmert-Streib
Published in: Scientific Reports, Issue 8/1, 2018, ISSN 2045-2322
Publisher: Nature Publishing Group
DOI: 10.1038/s41598-018-26575-2

Agent-Based Model in Directional-Change Intrinsic Time

Author(s): Vladimir Petrov, Anton Golub, Richard B. Olsen
Published in: SSRN Electronic Journal, 2018, ISSN 1556-5068
Publisher: Social Science Research Network
DOI: 10.2139/ssrn.3240456

Facebook drives behavior of passive households in stock markets

Author(s): Milla Siikanen, Kęstutis Baltakys, Juho Kanniainen, Ravi Vatrapu, Raghava Mukkamala, Abid Hussain
Published in: Finance Research Letters, Issue 27, 2018, Page(s) 208-213, ISSN 1544-6123
Publisher: Elsevier BV
DOI: 10.1016/j.frl.2018.03.020

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

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

Other (7)

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

Author(s): Giorgio Mirone
Published in: CREATES Research Papers, Issue 2017-24, 2017
Publisher: Institut for Økonomi, Aarhus Universitet

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

Author(s): Giorgio Mirone
Published in: CREATES Research Papers, 2018, Page(s) 40
Publisher: Institut for Økonomi, Aarhus University

A Vine-copula extension for the HAR model

Author(s): Magris, Martin
Published in: 2019
Publisher: Cornell University

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

Author(s): Fons, Elizabeth; Dawson, Paula; Yau, Jeffrey; Zeng, Xiao-jun; Keane, John
Published in: Issue 10, 2019
Publisher: Cornell University

Maximum entropy approach to link prediction in bipartite networks

Author(s): Baltakiene, M.; Baltakys, K.; Cardamone, D.; Parisi, F.; Radicioni, T.; Torricelli, M.; de Jeude, J. A. van Lidth; Saracco, F.
Published in: Issue 11, 2018
Publisher: SSRN

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

Author(s): Ntakaris, Adamantios; Kanniainen, Juho; Gabbouj, Moncef; Iosifidis, Alexandros
Published in: Issue 5, 2018
Publisher: SSRN

Intrinsic Time Directional-Change Methodology in Higher Dimensions

Author(s): Vladimir Petrov, Anton Golub, Richard B. Olsen
Published in: 2019
Publisher: SSRN

Book chapters (1)

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

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

Non-peer reviewed articles (4)

Clusters of investors around initial public offering

Author(s): Margarita Baltakienė, Kęstutis Baltakys, Juho Kanniainen, Dino Pedreschi, Fabrizio Lillo
Published in: Palgrave Communications, Issue 5/1, 2019, ISSN 2055-1045
Publisher: Palgrave Macmillan
DOI: 10.1057/s41599-019-0342-6

Aggregation Effect in Stale News

Author(s): Anastassia Fedyk, James Hodson
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
Publisher: SSRN
DOI: 10.2139/ssrn.2433234

Trading on Talent: Human Capital and Firm Performance

Author(s): Anastassia Fedyk, James Hodson
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
Publisher: SSRN
DOI: 10.2139/ssrn.3017559

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

Author(s): Sergio Garcia-Vega, Xiao-Jun Zeng, John Keane
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
Publisher: SSRN Electronic Journal
DOI: 10.2139/ssrn.3306250

Intellectual Property Rights

Patent (1)

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

Application/Publication number: 20 1715696067
Date: 2017-09-05
Applicant(s): INSTITUT JOZEF STEFAN