The ups and downs of a PhD project: Big Data Finance
Read here the success story of ESR5 Chiara Perillo and ESR12 Vladimir Petrov. The article is published in the Graduate Campus News Letter, University of Zurich.
Sonja Kokkonen
Posts from Sonja Kokkonen
Listening to the financial heartbeat with agent-based models
Time, as they say, is of essence in the financial world. Every second counts. But the reality is that the economic system in which the finance sector operates is not constricted by our traditional perceptions of time, nor is it a black-and-white world where price monitoring only can keep you afloat. In this article, Vladimir […]
Portfolio credit risk: standard models won’t hit the mark in capturing default dependence
Portfolio credit risk models are concerned with potential losses due to defaults or deteriorations in credit quality. These models have applications ranging from regulatory and economic capital measurement to portfolio management and risk-adjusted pricing. Incorrectly specified models translate to insufficient capital buffers which, in turn, leave the financial system crisis-prone and in need of regular […]
Using news for finding firm relations and implications on financial markets
Finding correlations between publicly traded companies is a topic of interest for a variety of actors on the financial markets. Many financial institutions use it to predict asset returns, while the regulators want to the know how the risk of default will spread through the market in times of crises. The classical approach towards building […]
An introduction to sentiment analyses
The general idea behind sentiment analyses in finance is the existence of relevant but hard to quantify information in the textual data in addition to the objective statements of facts. This information could influence the sentiment of market participants which in turn could influence their actions. Therefore, quantifying sentiment is important to the extent that […]
Financial Data Analysis: Machine Learning and Interconnections Between Stock Markets
Financial markets are complex, interconnected and deterministically chaotic systems in which the price of a stock may be influenced by the economic factors of other stock markets. Thus, a variety of methods that aim to analyze future market behavior have been developed. For example, technical analysis aims to identify, model, extrapolate and combine financial market […]
Smart beta investing – How can big data help?
Smart beta is a relatively new term that has became ubiquitous in finance in the last few years, but the concepts behind it have been known for decades. It has its roots in factor investing, going back to the 1960s when risk factors were identified as the primary drivers of equity returns. Essentially, factors are […]
Call for Papers
Please visit https://bigdatafinance.eu/events/data-science-in-finance-conference/
Large, Unstructured, Noisy Data in Finance
Large, unstructured, and noisy textual data sources have become readily available as the web has grown and become a household commodity. Millions of product reviews, resumes, legal and corporate filings, blogs, news articles, governmental releases, (and more) may be freely downloaded and offer tremendous opportunities for unlocking new business value, enabling more effective communities, and […]
Seeking Postdocs for Data Science in Finance
Would you like to get desired and prestigious EU funding for your Post-Doc? We are seeking talented data scientists and/or researchers in quantitative finance for hosting and coaching them for EU-funding with the goal to provide 2-3 year postdoc positions at research group on Financial Engineering, Faculty of Information Technology and Communication Sciences, Tampere University, Finland. Salary for funded […]
PhD dissertation of Giorgio Mirone
BigDataFinance Early stage Researcher Giorgio Mirone defended his PhD dissertation entitled “Measurement, assessment and forecast of integrated variance” on Friday 23 November 2018. Giorgio Mirone has been enrolled in the PhD programme in Economics and Business Economics. Professor Kim Christensen has been his supervisor and Professor Asger Lunde has been his co-supervisor. The dissertation can […]
Big Data Finance: PhD Thesis in Three Minutes
BigDataFinance Early Stage Research Vladimir Petrov, based at University of Zürich, has made a video to introduce his research topic “High Frequency Trading Risk Management Tools Based on Scaling Law” and the Marie Skłodowska-Curie programme.
Volatility seasonality of Bitcoin prices
“Learning properties of Bitcoin and other cryptocurrencies and confronting them to the features of traditional markets we contribute to the world where “finance” is a synonym of “democracy”.” BigDataFinance Early Stage Reasearch Vladimir Petrov, based at Univeristy of Zürich, and Anton Golub, Co-founder and Chief Science Officer at Lykke Corp, discuss Bitcoin’s seasonal volatility in their article […]
BigDataFinance protagonist at the 6th Lindau Meeting in Economic Sciences
ESR Chiara Perillo from University of Zurich shared the stage with Nobel Prize Laureates Prescott, Diamond and Sims joining the panel discussion on new conditions for monetary and fiscal policy at the 6th Lindau Meeting on Economic Sciences by Sari Törmälä On 23-26 August 2017, the 6th Lindau Meeting on Economic Sciences took place in […]