Asset Pricing

Asset Pricing in the Dark: The Cross-Section of OTC Stocks, Andrew Ang, Assaf A. Shtauber, Paul C. Tetlock, 2013, Review of Financial Studies

More Than Words: Quantifying Language to Measure Firms' Fundamentals, PAUL C. TETLOCK, MAYTAL SAAR-TSECHANSKY, SOFUS MACSKASSY, 2008, The Journal of Finance

 

Corporate Finance

CEO facial width predicts firm financial policies, J Mills, 2014, SSRN - Financial Economics

Big Data: New Opportunities for M&A, Kurt Fanning, Emily Drogt, 2013, Journal of Corporate Accounting & Finance

Big Data: Implications for Financial Managers, Kurt Fanning, Rita Grant, 2013, Journal of Corporate Accounting & Finance

CEO Facial Structure and Corporate Risk  Taking, S Keck, W Tang, 2013, SSRN - Business Administration and Business Economics; Marketing; Accounting

A Face Only an Investor Could Love CEOs’Facial Structure Predicts Their Firms’ Financial Performance, Elaine M. Wong,Margaret E. Ormiston, Michael P. Haselhuhn, 2011, Psychological Science

 

High Frequency Trading

High-Frequency Trading and Extreme Price Movements, Jonathan Brogaard, Al Carrion, Thibaut Moyaert, Ryan Riordan, Andriy Shkilko, Konstantin Sokolov, 2015, Working Paper

High-frequency quoting, trading, and the efficiency of prices, Jennifer Conrada, Sunil Wahalb, Jin Xiang, 2015, Journal of Financial Economics

News releases and stock market volatility: Intraday evidence from Borsa Istanbul, MN Solakoglu, 2015, Handbook of HFT

High-Frequency News Flow and States of Asset Volatility, Kin-Yip Ho, Yanlin Shi, and Zhaoyong Zhang, 2015, Handbook of HFT

High-Frequency Trading and Price Discovery, Jonathan Brogaard, Terrence Hendershott, Ryan Riordan, 2014, Review of Financial Studies

OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE , Marc Hoffmann, Mauricio Labadie, Charles-Albert Lehalle, Gilles Page`s , Huyeˆn Pham, Mathieu Rosenbaum, 2014, Working Paper

Hawkes model for price and trades high-frequency dynamics, Emmanuel Bacrya, Jean-François Muzy, 2014, Quantitative Finance

Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets, Benjamin Myers, Austin Gerig, 2014, Financial Econometrics and Empirical Market Microstructure

Clustering of Trade Prices by High-Frequency and Non–High-Frequency Trading Firms, Ryan L. Davis, Bonnie F. Van Ness, Robert A. Van Ness, 2014, The Financial Review

Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data, Sobhesh Kumar Agarwalla, Joshy Jacob, Ajay Pandey, 2014, International Review of Financial Analysis

"Machine News and Volatility: The Dow Jones Industrial Average

and the TRNA Real-Time High-Frequency Sentiment Series, David E Allena, Michael McAleerb, Abhay K Singhc, 2014, Handbook of HFT"

Can High-Frequency Trading Drive the Stock Market Off a Cliff?, Wei Pan, Alex Sandy Pentland, Ren Cheng, Lisa Emsbo-Mattingly, 2013, MIT Sloan Management Review

When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions, Axel Groß-Klußmann, Nikolaus Hautsch, 2011, Journal of Empirical Finance

Quantifying high-frequency market reactions to real-time news sentiment announcements, Groß-Klußmann, Axel Hautsch, Nikolaus, 2009, working paper

 

Investor Behavior

Is News Sentiment More than Just Noise?, Simon Jonas Alfano, Stefan Feuerriegel, Dirk Neumann, 2015, SSRN- Financial Econimics

Investor Sentiment in News and the Calendar Anomaly -- New Evidence from a Large Textual Data, Katsuhiko Okada, Takahiro Yamasaki , 2014, SSRN- Financial Econimics

Quantifying the Semantics of Search Behavior Before Stock Market Moves, Chester Curme, Tobias Preis, H. Eugene Stanley, Helen Susannah Moat, 2014, National Acad Sciences

Analysis on Stock Market Volatility with Collective Human Behaviors in Online Message Board, Yun Jung Lee, Hwan Gue Cho, Gyun Woo, 2014, Working Paper

Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market, George Kapetanios, Michael Neumann, George S. Skiadopoulos, 2014, SSRN - Financial Economics

Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media, Hailiang Chen, Prabuddha De, Yu (Jeffrey) Hu, Byoung-Hyoun Hwang, 2014, Review of Financial Studies

Anticipating Stock Market Movements with Google and Wikipedia, Helen Susannah Moat, Chester Curme, H. Eugene Stanley, Tobias Preis, 2014, Nonlinear Phenomena in Complex Systems: From Nano to Macro Scale

Using big data to predict collective behavior in the real world, Helen Susannah Moat, Tobias Preis, ChristopherY. Olivola, Chengwei Liu, Nick Chater, 2014, Behavioral and Brain Sciences 

Impact of News Articles on Stock Prices An Analysis using Machine Learning, Khadija Vakeel, Shubhamoy Dey, 2014, Proceedings of the 6th IBM Collaborative Academia Research Exchange Conference (I-CARE) on I-CARE 2014

Quantifying Trading Behavior in Financial Markets Using Google Trends, Tobias Preis , Helen Susannah Moat , H. Eugene Stanley , 2013, Scientific Reports

Quantifying Wikipedia Usage Patterns Before Stock Market Moves, Helen Susannah Moat, Chester Curme, Adam Avakian, Dror Y. Kenett, H. Eugene Stanley, Tobias Preis, 2013, Scientific Reports

Quantifying the Relationship between Financial News and the Stock Market, Merve Alanyali, Helen Susannah Moat, Tobias Preis, 2013, Scientific Reports

Efficient global portfolios: Big data and investment universes, JB Guerard, ST Rachev, BP Shao, 2013, IBM Journal of Research and Development

Global Stock Selection Modeling and Efficient Portfolio Construction and Management, John B. Guerard, Jr., Harry Markowitz, Ganlin Xu, 2013, Working Paper

News Sentiment And States of Stock Return Volatility: Evidence from Long Memory and Discrete Choice Models, Y. Shi, K.Y-. Ho, 2013, 20th International Congress on Modelling and Simulation

How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches, Kin-Yip Hoa, Yanlin Shia, Zhaoyong Zhang, 2013, The North American Journal of Economics and Finance

Web Search Queries Can Predict Stock Market Volumes, Ilaria Bordino, Stefano Battiston, Guido Caldarelli, Matthieu Cristelli , Antti Ukkonen, Ingmar Weber, 2012, PLOS One

Mining the Web for the Voice of the Herd to Track Stock Market Bubbles, Aaron Gerow , Mark T.Keane, 2012, Proceedings of the Twenty-Second international joint conference on Artificial Intelligence

Everyone's an Influencer Quantifying Influence on Twitter, Eytan Bakshy, Jake M.Hofman, Winter A.Mason , Duncan J.Watts, 2011, Proceedings of the fourth ACM international conference on Web search and data mining

The determinants of international investment and attention allocation: Using internet search query data, Jordi Mondriay, Thomas Wu, Yi Zhang, 2010, Journal of International Economics

Complex dynamics of our economic life on different scales: insights from search engine query data, Tobias Preis, Daniel Reith, H. Eugene Stanley, 2010, The Royal Society

Does Public Financial News Resolve Asymmetric Information?, Paul C. Tetlock, 2010, Does Public Financial News Resolve Asymmetric Information?

Giving Content to Investor Sentiment: The Role of Media in the Stock Market, PAUL C. TETLOCK, 2007, The Journal of Finance

 

Market Microstructure

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence, Torben G. Andersen, Oleg Bondarenko, 2015, Review of Finance

A big data approach to analyzing market volatility, Kesheng Wua, E. Wes Bethela, Ming Gub, David Leinwebera, and Oliver Rübela, 2013, Algorithmic Finance

Testing VPIN on Big Data – Response to 'Reflecting on the VPIN Dispute', Kesheng Wu, E. Wes Bethel, Ming Gu, David Leinweber, and Oliver Ruebel, 2013, SSRN

Comments on'Testing VPIN on Big Data-Response to Reflecting on the VPIN Dispute', Torben G. Andersen, Oleg Bondarenko, 2013, SSRN - Financial Economics

A Big Data Study of Microstructural Volatility in Futures Markets, Kesheng Wu, E. Wes Bethel, Ming Gu, David Leinweber, Oliver Ru ̈bel, 2013, SSRN - Financial Economics

Flow Toxicity and Liquidity in a High Frequency World, David Easley, Marcos Lopez de Prado, Maureen O'Hara, 2012, Review of Financial Studies

 

Market Prediction

A hybrid model for high-frequency stock market forecasting, Ricardo de A. Araújoa, Adriano L.I. Oliveirab, Silvio Meira, 2015, Expert Systems with Applications

Mining microblogging data to model and forecast stock market behavior, Oliveira, Nuno Miguel da Rocha, 2015,

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies, Gonzalo Camba-Mendez, George Kapetanios, Fotis Papailias, Martin R. Weale, 2014, Quantf research Working Paper

Coupling news sentiment with web browsing data predicts intra-day stock prices, Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti, Guido Caldarelli, Fabrizio Lillo, Michele Treccani, 2014, Working Paper

The face says it all: CEOs, gender, and predicting corporate performance, Julianna Pillemer, Elizabeth R. Grahama, Deborah M. Burke, 2014, The Leadership Quarterly

Should Macroeconomic Forecasters Use Daily Financial Data and How?, Elena Andreoua, Eric Ghyselsbc, Andros Kourtellos, 2013, Journal of Business & Economic Statistics

A novel text mining approach to financial time series forecasting, B Wang, H Huang, X Wang, 2012, Neurocomputing

Data Mining in Social Media for Stock Market Prediction, Feifei Xu, 2012,

A Preprocessing Method of Internet Search Data for Prediction Improvement:Application to Chinese Stock Market, Ying Liu, Benfu Lv, Geng Peng, Qingyu Yuan, 2012, Proceedings of the Data Mining and Intelligent Knowledge Management Workshop

Internet Search Behavior as an Economic Forecasting Tool: The Case of Inflation Expectations, Giselle Guzman, 2011, The Journal of Economic and Social Measurement

News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons, Xilong Chen, Eric Ghysels, 2011, Review of Financial Studies

Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data, Huina Mao, Scott Counts, Johan Bollen, 2011, Working Paper

Can Facebook Predict Stock Market Activity, Yigitcan Karabulut, 2011, Working Paper

Twitter mood predicts the stock market, Johan Bollen, Huina Mao, Xiao-Jun Zeng, 2010, Journal of Computational Science

運用文字探勘於日內股價漲跌趨勢預測, 鍾任明, 李維平, 吳澤民, 2007, 中華管理評論

Application of Machine Learning to Short-Term Equity Return Prediction, Robert Yan, John Nuttall, Charles X. Ling, 2006, SSRN

The use of data mining and neural networks for forecasting stock market returns, David Enke , Suraphan Thawornwong, 2005, Expert Systems wuth Applications

Forecasting Intraday stock price trends with text mining techniques, MA Mittermayer, 2004, System Sciences

Stock prediction Integrating text mining approach using real-time news, GPC Fung, JX Yu, W Lam, 2003, Computational Intelligence for Financial Engineering

 

Risk Management

Risk and Risk Management in the Credit Card Industry, Florentin Butaru, Qingqing Chen, Brian Clark, Sanmay Das, Andrew W. Lo, Akhtar R. Siddique, 2015, SSRN - Financial Economics

Risk Classification's Big Data (R)evolution, Rick Swedloff, 2014, Connecticut Insurance Law Journal

Financial big data analysis for the estimation of systemic risks, Paola Cerchiello, Paolo Giudici, 2014, Working Paper

Can Google Trends search queries contribute to risk diversification?, Ladislav Kristoufek, 2013, Scientific Reports

Constructing credit auditing and control & management model with data mining technique, SC Chen, MY Huang, 2011, Expert Systems with Applications

Detection of financial statment fraud and feature selection using data mining techniques, P,Ravisankar , V.Ravi , G.Raghava Rao , I,Bose, 2011, Decision Support Systems

Credit scoring with a data mining approach based on support vector machines, CL Huang, MC Chen, CJ Wang, 2007, Expert systems with applications


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