Ioannis Anagnostou, Javier Sanchez Rivero, Sumit Sourabh, Drona Kandhai (2019), “Contagious defaults in a credit portfolio: a Bayesian network approach”

Ioannis Anagnostou, Drona Kandhai (2019), “Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model”

Georgios Moysiadis, Ioannis Anagnostou, Drona Kandhai (2019), “Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks”

Sergio Garcia-Vega, Xiao-Jun Zeng, John Keane (2019), “Learning from data streams using kernel least-mean-square with multiple kernel-sizes and adaptive step-size”

A. Ntakaris, G. Mirone, J. Kanniainen, M. Gabbouj, A. Iosifidis (2019), “Feature Engineering for Mid-Price Prediction With Deep Learning”

Vladimir Petrov, Anton Golub, Richard Olsen (2019), “Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time”, to appear in Quantitive Finance Journal

Chiara Perillo, Stefano Battiston (2019), “A multiplex financial network approach to policy evaluation: the case of euro area Quantitative Easing”

Vladimir Petrov, Anton Golub, Richard Olsen (2018), “Agent-Based Model in Directional-Change Intrinsic Time”, to appear in Quantitive Finance Journal

Ioannis Anagnostou, Sumit Sourabh, Drona Kandhai (2018), “Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory”, Complexity

Emmert-Streib, F., A. Musa, K. Baltakys, J. Kanniainen, S. Tripathi, O Yli-Harja, H. Jodlbauer and M. Dehmer, “Computational Analysis of the structural properties of Economic and Financial Networks”, to appear in Journal of Network Theory in Finance

Giorgio Mirone (2018) “Cross-sectional noise reduction and more efficient estimation of Integrated Variance”

A. Ntakaris, M.  Magris, J. Kanniainen, M. Gabbouj, A. Iosifidis (2018), “Benchmark Dataset for Mid-Price Prediction of Limit Order Book Data”, to appear in Journal of Forecasting

Baltakys, K., J.  Kanniainen, F.  Emmert-Streib, (2018), “Multilayer Aggregation with Statistical Validation: Application to Investor Networks”, to appear in Scientific Reports (Nature Publishing Group)

Siikanen, M. K.  Baltakys, R. Vatrapu, R. Mukkamala, A. Hussain, J. Kanniainen (2017), “Facebook drives behavior of passive households in stock markets”, to appear in Finance Research Letters

Baltakys, K., M. Baltakiene, H. Kärkkäinen, J. Kanniainen (2018), “Neighbors Matter: Geographical Distance and Trade Timing in the Stock Market”, SSRN Working Paper

M. Siikanen, K. Baltakys, H. Kärkkäinen, J. Jussila, R. Vatrapu, R. Mukkamala, A. Hussein, J. Kanniainen (2017) “How Facebook drives investor behavior”

C. Perillo, S. Battiston (2017), “Real Implications of Quantitative Easing in the Euro Area: A Complex-Network Perspective”
“This is a pre-print of a contribution published in Cherifi C., Cherifi H., Karsai M., Musolesi M. (eds) Complex Networks & Their Applications VI, published by Springer, Cham. The final authenticated version is available online at:

Miha Torkar, Dunja Mladenic (2017), Impact of News Events on the Financial Markets

Martin Magris, Perttu Barholm, Juho Kanniainen (2017), Implied volatility smile dynamics in the presence of jumps

Giorgio Mirone (2017), Inference from the futures: ranking the noise cancelling accuracy of realized measures

Martin Magris, Jiyeong Kim, Esa Rasanen, Juho Kanniainen (2017), Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis

Dat Thanh Tran, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis (2017), Tensor Representation in High-Frequency Financial Data for Price Change Prediction 



D1.2 “A report and software on a real-time learning method to update decentralized models and address financial
market velocity” by Sergio Garcia-Vega
D1.3 “A report and software on data sampling techniques“ by Adamantios Ntakaris
D1.4 “A report and software on a verified and validated knowledge extraction prototype with different data sources” by James Hodson

D2.2 “A report on an analysis of the behavioural differences between institutional and individual investors and ownership diversity during the recent financial crisis” by Kęstutis Baltakys
D2.3 “A report on a model to define and measure systemic risk in financial networks and its empirical analysis” by Chiara Perillo

D3.2 “A report on a new model augmented with news data sources” by Ye Zeng
D3.3 “A report on the analysis of the structure and dynamics of volatility in financial markets” by Giorgio Mirone
D3.4 “A report of statistical analyses on the order book dynamics with ultra-high frequency data” by Martin Magris
D3.5 “A report on an extended approach to characterise financial markets from an event-driven perspective” by Miha Torkar

D4.2 “A report on a tested and assessed prototype for a real-time financial market mood and confidence index” by Rytis Simanaitis
D4.3 “A report on back-tested, validated risk management and portfolio construction tools to monitor risks in smart beta investing” by Elizabeth Fons
D4.4 “A report on a tested and validated risk management tool based on scaling laws for FX markets” by Vladimir Petrov
D4.5 ” A report on a tested and validated system for risk management with real data and simulated stressed scenarios by Ioannis Anagnostou

D5.2 Kick-off meeting: Data Science in Finance
D5.3 Summer School: Introduction to econometrics and empirical modelling of financial markets
D5.4 Winter School and Workshop: Complex networks in finance
D5.5 Conference: Big Data in Finance
D5.6 Training Event: Textual data in finance

D6.5 Dissemination plan

D7.1 Project website published