Quantitative Finance, Volume 19, Issue 9 (2019)

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Quantitative Finance, Volume 19, Issue 9 (2019)

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Machine Learning and AI

Features

Article
Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value
Yaojie Zhang, Yu Wei & Li Liu
Pages: 1425-1438
Published online: 11 Apr 2019
AbstractforImproving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value | Full Text | References | PDF (774.1 KB) | EPUB
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Book review

Book Review
Financial Engineering: Selected Works of Alexander Lipton
by Alexander Lipton, World Scientific (2018). Hardback. ISBN 978-9813209152.
Jessica James
Pages: 1439-1440
Published online: 08 Aug 2019
CitationforFinancial Engineering: Selected Works of Alexander Lipton | Full Text | PDF (370 KB) | EPUB
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Free Access

Calendar

Calendar
Calendar
Page: 1441
Published online: 08 Aug 2019
CitationforCalendar | Full Text | PDF (1.3 MB) | EPUB
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Editors' foreword

Introduction
Editors' foreword
Germán G. Creamer, Gary Kazantsev & Tomaso Aste
Pages: 1445-1448
Published online: 08 Aug 2019
First Page PreviewforEditors' foreword | Full Text | References | PDF (443.8 KB) | EPUB
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Special Issue Papers

Article
Universal features of price formation in financial markets: perspectives from deep learning
Justin Sirignano & Rama Cont
Pages: 1449-1459
Published online: 09 Jul 2019
AbstractforUniversal features of price formation in financial markets: perspectives from deep learning | Full Text | References | PDF (1.2 MB) | EPUB
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Article
Far from the madding crowd: collective wisdom in prediction markets
G. Bottazzi & D. Giachini
Pages: 1461-1471
Published online: 09 Jul 2019
AbstractforFar from the madding crowd: collective wisdom in prediction markets | Full Text | References | PDF (1.1 MB) | EPUB
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Article
Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
Ying Chen, Wee Song Chua & Wolfgang Karl Härdle
Pages: 1473-1489
Published online: 09 Jul 2019
AbstractforForecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics | Full Text | References | PDF (1.2 MB) | EPUB
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Article
Forecasting market states
Pier Francesco Procacci & Tomaso Aste
Pages: 1491-1498
Published online: 09 Jul 2019
AbstractforForecasting market states | Full Text | References | PDF (853.9 KB) | EPUB
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Article
Encoding of high-frequency order information and prediction of short-term stock price by deep learning
Daigo Tashiro, Hiroyasu Matsushima, Kiyoshi Izumi & Hiroki Sakaji
Pages: 1499-1506
Published online: 09 Jul 2019
AbstractforEncoding of high-frequency order information and prediction of short-term stock price by deep learning | Full Text | References | PDF (1.5 MB) | EPUB
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Article
Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction
Shun Chen & Lei Ge
Pages: 1507-1515
Published online: 09 Jul 2019
AbstractforExploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction | Full Text | References | PDF (1,017.1 KB) | EPUB
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Article
Learning multi-market microstructure from order book data
Geonhwan Ju, Kyoung-Kuk Kim & Dong-Young Lim
Pages: 1517-1529
Published online: 10 Jul 2019
AbstractforLearning multi-market microstructure from order book data | Full Text | References | PDF (2.3 MB) | EPUB
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Article
A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
Germán G. Creamer & Chihoon Lee
Pages: 1531-1542
Published online: 10 Jul 2019
AbstractforA multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures | Full Text | References | PDF (2.3 MB) | EPUB
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Article
The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
Igor Halperin
Pages: 1543-1553
Published online: 10 Jul 2019
AbstractforThe QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios | Full Text | References | PDF (1.6 MB) | EPUB
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Article
Detection of false investment strategies using unsupervised learning methods
Marcos López de Prado & Michael J. Lewis
Pages: 1555-1565
Published online: 10 Jul 2019
AbstractforDetection of false investment strategies using unsupervised learning methods | Full Text | References | PDF (818.4 KB) | EPUB
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Research Papers

Article
Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
Salim Lahmiri & Stelios Bekiros
Pages: 1569-1577
Published online: 12 Apr 2019
AbstractforCan machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design | Full Text | References | PDF (236.2 KB) | EPUB
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Article
Estimation of risk contributions with MCMC
Takaaki Koike & Mihoko Minami
Pages: 1579-1597
Published online: 17 Apr 2019
AbstractforEstimation of risk contributions with MCMC | Full Text | References | PDF (1.6 MB) | EPUB
  • 495 Views
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