Using news for finding firm relations and implications on financial markets

14.08.2019

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

12.08.2019

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

07.08.2019

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?

31.05.2019

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 […]

Large, Unstructured, Noisy Data in Finance

09.04.2019

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 […]

BigData analysis of financial interconnectedness: the new challenge to prevent contagion

15.01.2018

The following blog article is based on the opening statements delivered by Chiara Perillo at the panel discussion on “New Conditions for Monetary and Fiscal Policy” with Martin F. Hellwig, Edward C. Prescott, Peter A. Diamond, Christopher A. Sims, 6th Lindau Nobel Laureate Meeting on Economic Sciences, Lindau, August 2017. The last decades have witnessed […]

The Order Book: A Challenge For Tomorrow’s Econometrics

26.11.2017

The modeling of the order book is certainly one of the major chal- lenges for the contemporary econometrics. The constant and fast grow on a world-level of the electronic platforms and the associated increasing number of traders, led to a market of extreme complexity. The traditional trading based on human traders has been rapidly substituted […]

A brief introduction to Big Data and Signal Processing

13.11.2017

The chaotic nature of financial big datasets requires in depth analysis of their properties. These properties vary from past information and signal filtering to statistical inference and arbitrage identification. There are some general approaches that one should take into consideration when dealing with big chunks of data. To capitalize on the Big Data, information has […]

Ubiquitous Scaling Laws and Irrelevant Time

19.07.2017

“Who owns the information, he owns the world”. This phrase became famous in 1815 when Rothschild family managed to earn about 3 billion British Pounds and became the owners of a large part of the British economy in one day, simply by having a bit more information about results of the famous Waterloo battle than […]

A Brief Discussion About Utilizing High-Frequency News Data In Finance

10.07.2017

In the last two decades a lot of endeavors have been made to develop tools in analyzing high-frequency financial data (e.g., transactions and quotes, or TAQ data). The outcome include a series of econometric models which enable us to analyze microstructure of the market, to estimate and forecast volatility on a high-frequency basis, to scrutinize […]

Complex Networks in Financial Markets

31.05.2017

In most natural and engineered systems, a set of entities interact with each other in complicated patterns that can involve multiple types of relationships, change in time and include multiple layers of connectivity. In order to gain understanding in such complex systems it is important to consider such features. A network simply put, is a […]

An introduction to BigData in Finance: the econometric point of view

13.04.2017

Ultra-high-frequency data are probably the perfect representative for the financial markets of the advent of BigData. It is well known that over the last decade the availability of high-frequency data has rapidly disrupted the financial industry as we knew it. What might be less known is the impact from an econometric point of view. In […]

Blog introduction

11.04.2017

People in modern societies are leaving behind a vast amount of data that can be analysed and exploited in new and unprecedented ways to understand and model financial markets for better risk management. These data sets of high-volume, high-velocity, and high-variety information, directly relevant to the financial sector, arise from various sources. The sources include […]