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Content
December 2024, Volume 6, Issue 4
- 605-638 Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
by Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Härdle - 639-655 Forecasting volatility with machine learning and rough volatility: example from the crypto-winter
by Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou - 657-692 A mean field game model of green economy
by Jingguo Zhang & Lianhai Ren - 693-725 Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models
by Riu Naito & Toshihiro Yamada - 727-758 Deep PDE solution to BSDE
by Maxim Bichuch & Jiahao Hou
September 2024, Volume 6, Issue 3
- 341-377 Learning deep news sentiment representations for macro-finance
by Axel Groß-Klußmann - 379-426 Influencing cryptocurrency: analyzing celebrity sentiments on X (formerly Twitter) and their impact on bitcoin prices
by Takeshi Inuduka & Akihito Yokose & Shunsuke Managi - 427-439 Analyzing swings in Bitcoin returns: a comparative study of the LPPL and sentiment-informed random forest models
by José Parra-Moyano & Daniel Partida & Moritz Gessl & Somnath Mazumdar - 441-462 A mean field game model of staking system
by Jinyan Guo & Qevan Guo & Chenchen Mou & Jingguo Zhang - 463-499 Deep learning for quadratic hedging in incomplete jump market
by Nacira Agram & Bernt Øksendal & Jan Rems - 501-542 Improving credit risk assessment in P2P lending with explainable machine learning survival analysis
by Gero Friedrich Bone-Winkel & Felix Reichenbach - 543-571 A proposal for a layer-2 CBDC on a rollup
by Remo Nyffenegger - 573-604 Automated market makers and their implications for liquidity providers
by Werner Brönnimann & Pascal Egloff & Thomas Krabichler
June 2024, Volume 6, Issue 2
- 203-224 Cryptocurrency spillovers and correlations: inefficiency and co-movement
by Dirk G. Baur & Lai T. Hoang - 225-247 Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions
by Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant - 249-281 StockTwits classified sentiment and stock returns
by Marc-Aurèle Divernois & Damir Filipović - 283-318 Optimal trade execution in cryptocurrency markets
by Nils Bundi & Ching-Lin Wei & Khaldoun Khashanah - 319-340 Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis
by Parthajit Kayal & Sumanjay Dutta
March 2024, Volume 6, Issue 1
- 1-2 Fintech: finance, technologies, and the society
by Michele La Rocca - 3-22 A blockchain-based platform for trading weather derivatives
by Fernando Alves Silveira & Silvio Parodi de Oliveira Camilo - 23-54 Digitalisation promotes adoption of soft information in SME credit evaluation: the case of Indian banks
by Nimbark Hardik - 55-95 The technology of decentralized finance (DeFi)
by Raphael Auer & Bernhard Haslhofer & Stefan Kitzler & Pietro Saggese & Friedhelm Victor - 97-112 Modelling the assessment of taxpayer perception on the fiscal system by a hybrid approach for the analysis of challenging data structures
by Ioana-Florina Coita & Maria Iannario & Alfonso Iodice D’Enza & Codruţa Mare - 113-143 Clustering Uniswap v3 traders from their activity on multiple liquidity pools, via novel graph embeddings
by Deborah Miori & Mihai Cucuringu - 145-175 Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements
by Ewelina Osowska & Piotr Wójcik - 177-177 Correction: Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements
by Ewelina Osowska & Piotr Wójcik - 179-201 Does surveillance capitalism trigger the financial performance of information technology firms? A reflection from FAANG business models
by Ajithakumari Vijayappan Nair Biju & A. S. Aparna & Jency Treesa & N. K. Nikhil
December 2023, Volume 5, Issue 3
- 449-481 Dynamic and context-dependent stock price prediction using attention modules and news sentiment
by Nicole Königstein - 483-518 What drives cryptocurrency returns? A sparse statistical jump model approach
by Federico P. Cortese & Petter N. Kolm & Erik Lindström - 519-562 Market impact and efficiency in cryptoassets markets
by Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina - 563-580 Tokenizing assets with dividend payouts—a legally compliant and flexible design
by Efim Zhitomirskiy & Stefan Schmid & Martin Walther - 581-612 Exploring investor behavior in Bitcoin: a study of the disposition effect
by Jürgen E. Schatzmann & Bernhard Haslhofer - 613-641 Central bank digital currencies (CBDCs) and their potential impact on traditional banking and monetary policy: an initial analysis
by Christoph Wronka - 643-687 A primer on the insurability of decentralized finance (DeFi)
by Felix Bekemeier - 689-716 Fast approximation methods for credit portfolio risk calculations
by Kevin Jakob & Johannes Churt & Matthias Fischer & Kim Nolte & Yarema Okhrin & Dirk Sondermann & Stefan Wilke & Thomas Worbs
June 2023, Volume 5, Issue 2
- 231-260 Time-varying higher moments in Bitcoin
by Leonardo Ieracitano Vieira & Márcio Poletti Laurini - 261-293 Determinants of liquidity in cryptocurrency markets
by J. Christopher Westland - 295-365 Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors
by Ioannis Chalkiadakis & Gareth W. Peters & Matthew Ames - 367-387 Replicating market makers
by Guillermo Angeris & Alex Evans & Tarun Chitra - 389-420 Heterogeneous tail generalized common factor modeling
by Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak - 421-448 Financial recommendations on Reddit, stock returns and cumulative prospect theory
by Felix Reichenbach & Martin Walther
March 2023, Volume 5, Issue 1
- 1-2 Deep Learning in Finance
by Weinan E & Ruimeng Hu & Shige Peng - 3-28 Convolutional signature for sequential data
by Ming Min & Tomoyuki Ichiba - 29-56 DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks
by Georgios Fatouros & Georgios Makridis & Dimitrios Kotios & John Soldatos & Michael Filippakis & Dimosthenis Kyriazis - 57-90 Forecasting the term structure of commodities future prices using machine learning
by Mario Figueiredo & Yuri F. Saporito - 91-111 Deep stochastic optimization in finance
by A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette - 113-147 Deep learning algorithms for hedging with frictions
by Xiaofei Shi & Daran Xu & Zhanhao Zhang - 149-182 Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?
by Huei-Wen Teng & Yu-Hsien Li - 183-229 Differential learning methods for solving fully nonlinear PDEs
by William Lefebvre & Grégoire Loeper & Huyên Pham
December 2022, Volume 4, Issue 4
- 263-264 SI women in Fintech and AI
by Galena Pisoni & Alessia Paccagnini & Claudia Tarantola & Alessandra Tanda & Albulena Shala & Kherbouche Meriem - 265-273 Green FinTech: sustainability of Bitcoin
by Esra Kabaklarlı - 275-290 Is the future of bitcoin safe? A triangulation approach in the reality of BTC market through a sentiments analysis
by A. V. Biju & Aparna Merin Mathew & P. P. Nithi Krishna & M. P. Akhil - 291-311 Predicting interest rate distributions using PCA & quantile regression
by Rita Pimentel & Morten Risstad & Sjur Westgaard - 313-340 The impact of corporate governance on the digitalization process: empirical evidence for the Romanian companies
by Monica Violeta Achim & Viorela-Ligia Văidean & Andrada-Ioana Sabău Popa & Lavinia-Ioana Safta - 341-374 Persistence in daily returns of stocks with highest market capitalization in the Indian market
by Rupel Nargunam & Ananya Lahiri
September 2022, Volume 4, Issue 2
- 109-125 Programmable money: next-generation blockchain-based conditional payments
by Ingo Weber & Mark Staples - 127-131 Discussion on: “Programmable money: next generation blockchain-based conditional payments” by Ingo Weber and Mark Staples
by Michael C. Burda - 133-134 Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
by Olivija Filipovska - 135-135 Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
by Audrius Kabasinskas - 137-138 Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
by Joerg Osterrieder - 139-140 Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
by Valerio Poti - 141-142 Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
by Andre Martins Rodrigues & Ruimeng Hu - 143-147 Rejoinder for the discussed paper “Programmable money: next-generation blockchain-based conditional payments”
by Ingo Weber & Mark Staples - 149-167 Indices on cryptocurrencies: an evaluation
by Konstantin Häusler & Hongyu Xia - 169-185 Democratic (crypto-)currency issuance
by Hans Gersbach - 187-216 Analysis of cryptocurrency connectedness based on network to transaction volume ratios
by Christian M. Hafner & Sabrine Majeri - 217-239 Cryptocurrencies and stablecoins: a high-frequency analysis
by Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina - 241-262 Reinforcement learning with intrinsic affinity for personalized prosperity management
by Charl Maree & Christian W. Omlin
March 2022, Volume 4, Issue 1
- 1-15 Delta force: option pricing with differential machine learning
by Magnus Grønnegaard Frandsen & Tobias Cramer Pedersen & Rolf Poulsen - 17-61 COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic
by Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy - 63-88 Machine learning for financial forecasting, planning and analysis: recent developments and pitfalls
by Helmut Wasserbacher & Martin Spindler - 89-108 Adaptive order flow forecasting with multiplicative error models
by Andrija Mihoci & Christopher Hian-Ann Ting & Meng-Jou Lu & Kainat Khowaja
December 2021, Volume 3, Issue 3
- 207-208 Special Issue on Artificial Intelligence, Machine Learning and Platform Innovation in Quantitative Finance (MathFinance Conference 2020/2021)
by Natalie Packham & Uwe Wystup - 209-248 Accuracy of deep learning in calibrating HJM forward curves
by Fred Espen Benth & Nils Detering & Silvia Lavagnini - 249-271 Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009
by Vikram Ojha & JeongHoe Lee - 273-298 Cryptocurrency volatility markets
by Fabian Woebbeking - 299-300 Special issue on Financial Forensics and Fraud Investigation in the Era of Industry 4.0
by Thomas K. Dasaklis & Veni Arakelian - 301-332 A blockchain-based forensic model for financial crime investigation: the embezzlement scenario
by Lamprini Zarpala & Fran Casino - 333-371 Modeling asset allocations and a new portfolio performance score
by Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas - 373-373 Correction to: Modeling asset allocations and a new portfolio performance score
by Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas
June 2021, Volume 3, Issue 2
- 81-97 Robo-advising: a dynamic mean-variance approach
by Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu - 99-148 CATE meets ML
by Daniel Jacob - 149-167 Profitability of cryptocurrency Pump and Dump schemes
by Taro Tsuchiya - 169-204 How to gauge investor behavior? A comparison of online investor sentiment measures
by Daniele Ballinari & Simon Behrendt - 205-205 Correction to: Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009
by Vikram Ojha & JeongHoe Lee
March 2021, Volume 3, Issue 1
- 1-23 On cointegration and cryptocurrency dynamics
by Georg Keilbar & Yanfen Zhang - 25-44 Contemporaneous financial intermediation
by Markus Merz - 45-79 Evaluation of multi-asset investment strategies with digital assets
by Alla Petukhina & Erin Sprünken
December 2020, Volume 2, Issue 3
- 169-187 Adaptive weights clustering of research papers
by Larisa Adamyan & Kirill Efimov & Cathy Y. Chen & Wolfgang K. Härdle - 189-210 A comparison of modern deep neural network architectures for energy spot price forecasting
by F. Cordoni - 211-239 Artificial intelligence for anti-money laundering: a review and extension
by Jingguang Han & Yuyun Huang & Sha Liu & Kieran Towey - 241-258 Forecasting S&P 500 spikes: an SVM approach
by Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou - 259-283 Effects of initial coin offering characteristics on cross-listing returns
by André Meyer & Lennart Ante
September 2020, Volume 2, Issue 1
- 1-13 Sentiment analysis and machine learning in finance: a comparison of methods and models on one million messages
by Thomas Renault - 15-37 Multi-objective optimization case study for algorithmic trading strategies in foreign exchange markets
by JeongHoe Lee & Navid Sabbaghi - 39-67 Deep learning-based cryptocurrency sentiment construction
by Sergey Nasekin & Cathy Yi-Hsuan Chen - 69-96 Forex exchange rate forecasting using deep recurrent neural networks
by Alexander Jakob Dautel & Wolfgang Karl Härdle & Stefan Lessmann & Hsin-Vonn Seow - 97-115 Neural networks and arbitrage in the VIX
by Joerg Osterrieder & Daniel Kucharczyk & Silas Rudolf & Daniel Wittwer - 117-136 Could stock hedge Bitcoin risk(s) and vice versa?
by David Iheke Okorie - 137-142 Correction to: Could stock hedge Bitcoin risk(s) and vice versa?
by David Iheke Okorie - 143-158 Non-linear adjustment of the Bitcoin–US dollar exchange rate
by Wajdi Moussa & Nidhal Mgadmi & Rym Regaïeg & Abdelhafidh Othmani - 159-167 COVID-19 contagion and digital finance
by Arianna Agosto & Paolo Giudici
November 2019, Volume 1, Issue 1
- 1-4 Editorial on the Special Issue on Cryptocurrencies
by Jörg Osterrieder & Andrea Barletta - 5-21 Cryptocurrency market structure: connecting emotions and economics
by Tomaso Aste - 23-46 Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
by Stefano Bistarelli & Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca - 47-65 Bitcoin and market-(in)efficiency: a systematic time series approach
by Nils Bundi & Marc Wildi - 67-89 Blockchain analytics for intraday financial risk modeling
by Matthew F. Dixon & Cuneyt Gurcan Akcora & Yulia R. Gel & Murat Kantarcioglu - 91-115 A probative value for authentication use case blockchain
by Dominique Guégan & Christophe Henot - 117-137 Advanced model calibration on bitcoin options
by Dilip B. Madan & Sofie Reyners & Wim Schoutens - 139-161 Price discovery on Bitcoin markets
by Paolo Pagnottoni & Thomas Dimpfl - 163-189 Hedonic pricing of cryptocurrency tokens
by Jamsheed Shorish - 191-218 Order flow analysis of cryptocurrency markets
by Eduard Silantyev