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A FINancial supervision and TECHnology compliance training programme

Deliverables

Research and development environment

The creation of a coding technical infrastructure that is scalable and extendable in a modular approach. The basis for the infrastructure will be open-source projects like R which gives access to developed machine learning projects like Tensorflow, PyTorch, MXNet and H2O. These research and development environments will be made available in a dedicated cloud server environment to manage the code, scripts, GUIs, models, users’ access rights, software interaction and workflows.

Establishment of website and social media channels.

Establishment of website and social media channels.

Network Establishment

Establishment of the FIN-TECH network and of the Advisory Board;

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Publications

Network Based Scoring Models to Improve Credit Risk Management in Peer to Peer Lending Platforms

Author(s): Paolo Giudici, Branka Hadji-Misheva, Alessandro Spelta
Published in: Frontiers in Artificial Intelligence, Issue 2, 2019, ISSN 2624-8212
DOI: 10.3389/frai.2019.00003

High Frequency Price Change Spillovers in Bitcoin Markets

Author(s): Giudici, Pagnottoni
Published in: Risks, Issue 7/4, 2019, Page(s) 111, ISSN 2227-9091
DOI: 10.3390/risks7040111

Sentiment Analysis of European Bonds 2016–2018

Author(s): Peter Schwendner, Martin Schüle, Martin Hillebrand
Published in: Frontiers in Artificial Intelligence, Issue 2, 2019, ISSN 2624-8212
DOI: 10.3389/frai.2019.00020

Fintech Risk Management: A Research Challenge for Artificial Intelligence in Finance

Author(s): Paolo Giudici
Published in: Frontiers in Artificial Intelligence, Issue 1, 2018, ISSN 2624-8212
DOI: 10.3389/frai.2018.00001

Lead Behaviour in Bitcoin Markets

Author(s): Ying Chen, Paolo Giudici, Branka Hadji Misheva, Simon Trimborn
Published in: Risks, Issue 8/1, 2020, Page(s) 4, ISSN 2227-9091
DOI: 10.3390/risks8010004

Spatial Regression Models to Improve P2P Credit Risk Management

Author(s): Arianna Agosto, Paolo Giudici, Tom Leach
Published in: Frontiers in Artificial Intelligence, Issue 2, 2019, ISSN 2624-8212
DOI: 10.3389/frai.2019.00006

Can Cryptocurrencies Preserve Privacy and Comply With Regulations?

Author(s): Geoff Goodell, Tomaso Aste
Published in: Frontiers in Blockchain, Issue 2, 2019, ISSN 2624-7852
DOI: 10.3389/fbloc.2019.00004

Factorial Network Models to Improve P2P Credit Risk Management

Author(s): Daniel Felix Ahelegbey, Paolo Giudici, Branka Hadji-Misheva
Published in: Frontiers in Artificial Intelligence, Issue 2, 2019, ISSN 2624-8212
DOI: 10.3389/frai.2019.00008

Cryptocurrency market structure: connecting emotions and economics

Author(s): Tomaso Aste
Published in: Digital Finance, Issue 1/1-4, 2019, Page(s) 5-21, ISSN 2524-6984
DOI: 10.1007/s42521-019-00008-9

A Decentralised Digital Identity Architecture

Author(s): Goodell, Geoff; Aste, Tomaso
Published in: Frontiers in Blockchain , 2 , Article 17. (2019), Issue 1, 2019, ISSN 2624-7852
DOI: 10.3389/fbloc.2019.00017

Crypto price discovery through correlation networks

Author(s): Paolo Giudici, Gloria Polinesi
Published in: Annals of Operations Research, 2019, ISSN 0254-5330
DOI: 10.1007/s10479-019-03282-3

Latent factor models for credit scoring in P2P systems

Author(s): Daniel Felix Ahelegbey, Paolo Giudici, Branka Hadji-Misheva
Published in: Physica A: Statistical Mechanics and its Applications, Issue 522, 2019, Page(s) 112-121, ISSN 0378-4371
DOI: 10.1016/j.physa.2019.01.130

Network based credit risk models

Author(s): Paolo Giudici, Branka Hadji-Misheva, Alessandro Spelta
Published in: Quality Engineering, 2019, Page(s) 1-13, ISSN 0898-2112
DOI: 10.1080/08982112.2019.1655159

Analysing Social Media Forums to Discover Potential Causes of Phasic Shifts in Cryptocurrency Price Series

Author(s): Andrew Burnie, Emine Yilmaz, Tomaso Aste
Published in: Frontiers in Blockchain, Issue 3, 2020, ISSN 2624-7852
DOI: 10.3389/fbloc.2020.00001

Initial Coin Offerings: Risk or Opportunity?

Author(s): Anca Mirela Toma, Paola Cerchiello
Published in: Frontiers in Artificial Intelligence, Issue 3, 2020, ISSN 2624-8212
DOI: 10.3389/frai.2020.00018

The Leaders, the Laggers, and the “Vulnerables”

Author(s): Veni Arakelian, Shatha Qamhieh Hashem
Published in: Risks, Issue 8/1, 2020, Page(s) 26, ISSN 2227-9091
DOI: 10.3390/risks8010026

Dominance-Based Decision Rules for Pension Fund Selection under Different Distributional Assumptions

Author(s): Audrius Kabašinskas, Kristina Šutienė, Miloš Kopa, Kęstutis Lukšys, Kazimieras Bagdonas
Published in: Mathematics, Issue 8/5, 2020, Page(s) 719, ISSN 2227-7390
DOI: 10.3390/math8050719

Explainability of a Machine Learning Granting Scoring Model in Peer-to-Peer Lending

Author(s): Miller Janny Ariza-Garzon, Javier Arroyo, Antonio Caparrini, Maria-Jesus Segovia-Vargas
Published in: IEEE Access, Issue 8, 2020, Page(s) 64873-64890, ISSN 2169-3536
DOI: 10.1109/access.2020.2984412

Assessment of Machine Learning Performance for Decision Support in Venture Capital Investments

Author(s): Javier Arroyo, Francesco Corea, Guillermo Jimenez-Diaz, Juan A. Recio-Garcia
Published in: IEEE Access, Issue 7, 2019, Page(s) 124233-124243, ISSN 2169-3536
DOI: 10.1109/access.2019.2938659

Financial contagion through space-time point processes


Published in: ISSN 1618-2510
DOI: 10.1007/s10260-020-00538-2

Default count-based network models for credit contagion

Author(s): Arianna Agosto, Daniel Felix Ahelegbey
Published in: Journal of the Operational Research Society, 2020, Page(s) 1-14, ISSN 0160-5682
DOI: 10.1080/01605682.2020.1776169

A hidden Markov model to detect regime changes in cryptoasset markets


Published in: ISSN 0748-8017
DOI: 10.1002/qre.2673

Explainable AI in Fintech Risk Management

Author(s): Niklas Bussmann, Paolo Giudici, Dimitri Marinelli, Jochen Papenbrock
Published in: Frontiers in Artificial Intelligence, Issue 3, 2020, ISSN 2624-8212
DOI: 10.3389/frai.2020.00026

Fin vs. tech: are trust and knowledge creation key ingredients in fintech start-up emergence and financing?

Author(s): Theodor Florian Cojoianu, Gordon L. Clark, Andreas G. F. Hoepner, Vladimir Pažitka, Dariusz Wójcik
Published in: Small Business Economics, 2020, ISSN 0921-898X
DOI: 10.1007/s11187-020-00367-3

Using clustering ensemble to identify banking business models

Author(s): Bernardo P. Marques, Carlos F. Alves
Published in: Intelligent Systems in Accounting, Finance and Management, Issue 27/2, 2020, Page(s) 66-94, ISSN 1055-615X
DOI: 10.1002/isaf.1471

A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics

Author(s): Arianna Agosto, Paolo Giudici
Published in: Risks, Issue 8/3, 2020, Page(s) 77, ISSN 2227-9091
DOI: 10.3390/risks8030077

Peer-to-peer loan acceptance and default prediction with artificial intelligence

Author(s): J. D. Turiel, T. Aste
Published in: Royal Society Open Science, Issue 7/6, 2020, Page(s) 191649, ISSN 2054-5703
DOI: 10.1098/rsos.191649

On the Improvement of Default Forecast Through Textual Analysis

Author(s): Paola Cerchiello, Roberta Scaramozzino
Published in: Frontiers in Artificial Intelligence, Issue 3, 2020, ISSN 2624-8212
DOI: 10.3389/frai.2020.00016

Network Models to Enhance Automated Cryptocurrency Portfolio Management

Author(s): Paolo Giudici, Paolo Pagnottoni, Gloria Polinesi
Published in: Frontiers in Artificial Intelligence, Issue 3, 2020, ISSN 2624-8212
DOI: 10.3389/frai.2020.00022

Tree networks to assess financial contagion

Author(s): Arianna Agosto, Daniel Felix Ahelegbey, Paolo Giudici
Published in: Economic Modelling, Issue 85, 2020, Page(s) 349-366, ISSN 0264-9993
DOI: 10.1016/j.econmod.2019.11.005

Explainable AI in Credit Risk Management

Author(s): Niklas Bussmann, Paolo Giudici, Dimitri Marinelli, Jochen Papenbrock
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068
DOI: 10.2139/ssrn.3506274

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies.

Author(s): Petukhina, Alla and Reule, Raphael C. G. and Härdle, Wolfgang K.
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068

FRM Financial Risk Meter

Author(s): Mihoci, Andrija and Althof, Michael and Chen, Cathy Yi‐Hsuan and Härdle, Wolfgang K.
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068

Lapse risk in life insurance contracts

Author(s): E. Barucci, T. Colozza, D. Marazzina and E.Rroji
Published in: European Actuarial Journal, 2020, ISSN 2190-9733

Neural Network Middle-Term Probabilistic Forecasting of Daily Power Consumption

Author(s): M.Azzone, R.Baviera
Published in: ArXiv, 2020, ISSN 2331-8422

A Statistical Classification of Cryptocurrencies

Author(s): Pele, D.T., Wesselhöfft, N., Härdle, W.K., Kolossiatis, M., Yatracos, Y.
Published in: Journal of Empirical Finance, Issue 5 per year, 2020, Page(s) under review to this journal, ISSN 0927-5398

Will they repay their debt? Identification of borrowers likely to be charged off


Published in: ISSN 2069-8887

Libra or Librae? Basket Based Stablecoins to Mitigate Foreign Exchange Volatility Spillovers

Author(s): Paolo Giudici, Thomas Leach, Paolo Pagnottoni
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068
DOI: 10.2139/ssrn.3546779

Stablecoins as a crypto safe haven? Not all of them!

Author(s): Baumohl E., T. Vyrost
Published in: 2020

Wisdom of Crowds Detects COVID-19 Severity Ahead of Officially Available Data

Author(s): Jeremy Turiel, Delmiro Fernandez-Reyes, Tomaso Aste
Published in: arXiv, 2020, ISSN 2331-8422

Deep Learning modeling of Limit Order Book: a comparative perspective

Author(s): Antonio Briola, Jeremy Turiel, Tomaso Aste
Published in: arXiv, 2020, ISSN 2331-8422

Investing With Cryptocurrencies – Evaluating the Potential of Portfolio Allocation Strategies

Author(s): Alla Petukhina, Simon Trimborn, Wolfgang K. Härdle, Hermann Elendner
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
DOI: 10.2139/ssrn.3274193

An Expectile Factor Model for Day-ahead Wind Power Forecasting

Author(s): Awdesch Melzer, Wolfgang K. Härdle, Brenda López Cabrera
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
DOI: 10.2139/ssrn.3363164

VCRIX - A Volatility Index for Crypto-Currencies

Author(s): Alisa Kim, Simon Trimborn, Wolfgang K. Härdle
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068
DOI: 10.2139/ssrn.3480348

Benefits of sectoral cryptocurrency portfolio optimization

Author(s): Maria Culjak, Bojan Tomic, Sasa Zikovic
Published in: SSRN, 2020, ISSN 1556-5068

Factorisable Multitask Quantile Regression

Author(s): Shih-Kang Chao, Wolfgang K. Härdle, Ming Yuan
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068
DOI: 10.2139/ssrn.3521887

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Author(s): Hou, Ai Jun and Wang, Weining and Chen, Cathy Yi‐Hsuan and Härdle, Wolfgang K.,
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068

Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Author(s): Hu, J., Härdle, W. K., and Kuo, W
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068

Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting

Author(s): Li, Xinjue and Zboňáková, Lenka and Wang, Weining and Härdle, Wolfgang K.
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068

Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function

Author(s): Kim, Kun Ho and Chao, Shih-Kang and Härdle, Wolfgang K.
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068

Media-expressed tone, Option Characteristics, and Stock Return Predictability

Author(s): Chen, Cathy Yi‐Hsuan and Fengler, Matthias R. and Härdle, Wolfgang K. and Liu, Yanchu,
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068

SONIC: SOcial Network with Influencers and Communities

Author(s): Chen, Cathy Yi‐Hsuan and Härdle, Wolfgang K. and Klochkov, Yegor,
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068

A Dynamic Network Perspective on the Latent Group Structure of Cryptocurrencies

Author(s): Li Guo, Yubo Tao, Wolfgang K. HHrdle
Published in: SSRN Electronic Journal, 2020, ISSN 1556-5068
DOI: 10.2139/ssrn.3185594

Understanding Cryptocurrencies

Author(s): Wolfgang K. Härdle, Campbell R. Harvey, Raphael C. G. Reule
Published in: SSRN Electronic Journal, 2019, ISSN 1556-5068
DOI: 10.2139/ssrn.3360304

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Author(s): Erin D. Sprünken, Alla Petukhina
Published in: SSRN, 2020, ISSN 1556-5068

Default or Profit Scoring Credit Systems? Evidence from an Emerging High-Risk P2P Loan Market

Author(s): Stefan Lyocsa and Petra Vašaničová
Published in: SSRN Electronic Journal, 2020, Page(s) 42