249 citations · 586 across the 43 of their papers we have counts for
9 papers · 1 filter
Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis
Dat Thanh Tran, Alexandros Iosifidis, Juho Kanniainen +1
Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), fore…
Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
Martin Magris, Jiyeong Kim, Esa Rasanen +1
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high freque…
Implied volatility smile dynamics in the presence of jumps
Martin Magris, Perttu Barholm, Juho Kanniainen
The main purpose of this work is to examine the behavior of the implied volatility smiles around jumps, contributing to the literature with a high-frequency analysis of the smile d…
Computational Analysis of the structural properties of Economic and Financial Networks
Frank Emmert-Streib, Aliyu Musa, Kestutis Baltakys +5
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among ec…
Facebook drives behavior of passive households in stock markets
Milla Siikanen, Kęstutis Baltakys, Juho Kanniainen +3
Recent studies using data on social media and stock markets have mainly focused on predicting stock returns. Instead of predicting stock price movements, we examine the relation be…
Tensor Representation in High-Frequency Financial Data for Price Change Prediction
Dat Thanh Tran, Martin Magris, Juho Kanniainen +2
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders…
Dynamics of Investor Spanning Trees Around Dot-Com Bubble
Sindhuja Ranganathan, Mikko Kivelä, Juho Kanniainen
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around d…
Multilayer Aggregation with Statistical Validation: Application to Investor Networks
Kęstutis Baltakys, Juho Kanniainen, Frank Emmert-Streib
Multilayer networks are attracting growing attention in many fields, including finance. In this paper, we develop a new tractable procedure for multilayer aggregation based on stat…
Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods
Adamantios Ntakaris, Martin Magris, Juho Kanniainen +2
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the i…