Training for Big Data in Financial Research and Risk Management

Informations projet

BigDataFinance

N° de convention de subvention: 675044

DOI

10.3030/675044

Projet clôturé

Date de signature de la CE 28 Juillet 2015

Date de début 1 Octobre 2015

Date de fin 30 Septembre 2019

Financé au titre de

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Coût total

€ 3 463 286,40

Contribution de l’UE

€ 3 463 286,40

Coordonné par

TAMPEREEN KORKEAKOULUSAATIO SR
Finland

CORDIS fournit des liens vers les livrables publics et les publications des projets HORIZON.

Les liens vers les livrables et les publications des projets du 7e PC, ainsi que les liens vers certains types de résultats spécifiques tels que les jeux de données et les logiciels, sont récupérés dynamiquement sur OpenAIRE .

Livrables

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

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

Peer reviewed articles (14)

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

Other (7)

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

Book chapters (1)

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

Non-peer reviewed articles (4)

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

Patent (1)

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