Digital Finance

2019 - 2025

Current editor(s): Wolfgang Karl Härdle, Steven Kou and Min Dai

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Volume 7, issue 1, 2025

Detecting Pump &Dump stock market manipulation from online forums pp. 1-20

D. Nam and D. B. Skillicorn

Correction: Digital business world and ethical dilemmas: a systematic literature review pp. 21-21

Melinda Timea Fülöp, Constantin Aurelian Ionescu and Dan Ioan Topor

Digital business world and ethical dilemmas: a systematic literature review pp. 23-41

Melinda Timea Fülöp, Constantin Aurelian Ionescu and Dan Ioan Topor

Block withholding resilience pp. 43-60

Cyril Grunspan and Ricardo Pérez-Marco

Predicting status of pre- and post-M&A deals using machine learning and deep learning techniques pp. 61-106

Tugce Karatas and Ali Hirsa

Regime switching forecasting for cryptocurrencies pp. 107-131

Ilyas Agakishiev, Wolfgang Karl Härdle, Denis Becker and Xiaorui Zuo

Volume 6, issue 4, 2024

Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data pp. 605-638

Danial Saef, Odett Nagy, Sergej Sizov and Wolfgang Karl Härdle

Forecasting volatility with machine learning and rough volatility: example from the crypto-winter pp. 639-655

Siu Hin Tang, Mathieu Rosenbaum and Chao Zhou

A mean field game model of green economy pp. 657-692

Jingguo Zhang and Lianhai Ren

Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models pp. 693-725

Riu Naito and Toshihiro Yamada

Deep PDE solution to BSDE pp. 727-758

Maxim Bichuch and Jiahao Hou

Volume 6, issue 3, 2024

Learning deep news sentiment representations for macro-finance pp. 341-377

Axel Groß-Klußmann

Influencing cryptocurrency: analyzing celebrity sentiments on X (formerly Twitter) and their impact on bitcoin prices pp. 379-426

Takeshi Inuduka, Akihito Yokose and Shunsuke Managi

Analyzing swings in Bitcoin returns: a comparative study of the LPPL and sentiment-informed random forest models pp. 427-439

José Parra-Moyano, Daniel Partida, Moritz Gessl and Somnath Mazumdar

A mean field game model of staking system pp. 441-462

Jinyan Guo, Qevan Guo, Chenchen Mou and Jingguo Zhang

Deep learning for quadratic hedging in incomplete jump market pp. 463-499

Nacira Agram, Bernt Øksendal and Jan Rems

Improving credit risk assessment in P2P lending with explainable machine learning survival analysis pp. 501-542

Gero Friedrich Bone-Winkel and Felix Reichenbach

A proposal for a layer-2 CBDC on a rollup pp. 543-571

Remo Nyffenegger

Automated market makers and their implications for liquidity providers pp. 573-604

Werner Brönnimann, Pascal Egloff and Thomas Krabichler

Volume 6, issue 2, 2024

Cryptocurrency spillovers and correlations: inefficiency and co-movement pp. 203-224

Dirk G. Baur and Lai T. Hoang

Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions pp. 225-247

Philippe Bergault, Louis Bertucci, David Bouba and Olivier Guéant

StockTwits classified sentiment and stock returns pp. 249-281

Marc-Aurèle Divernois and Damir Filipović

Optimal trade execution in cryptocurrency markets pp. 283-318

Nils Bundi, Ching-Lin Wei and Khaldoun Khashanah

Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis pp. 319-340

Parthajit Kayal and Sumanjay Dutta

Volume 6, issue 1, 2024

Fintech: finance, technologies, and the society pp. 1-2

Michele La Rocca

A blockchain-based platform for trading weather derivatives pp. 3-22

Fernando Alves Silveira and Silvio Parodi de Oliveira Camilo

Digitalisation promotes adoption of soft information in SME credit evaluation: the case of Indian banks pp. 23-54

Nimbark Hardik

The technology of decentralized finance (DeFi) pp. 55-95

Raphael Auer, Bernhard Haslhofer, Stefan Kitzler, Pietro Saggese and Friedhelm Victor

Modelling the assessment of taxpayer perception on the fiscal system by a hybrid approach for the analysis of challenging data structures pp. 97-112

Ioana-Florina Coita, Maria Iannario, Alfonso Iodice D’Enza and Codruţa Mare

Clustering Uniswap v3 traders from their activity on multiple liquidity pools, via novel graph embeddings pp. 113-143

Deborah Miori and Mihai Cucuringu

Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements pp. 145-175

Ewelina Osowska and Piotr Wójcik

Correction: Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements pp. 177-177

Ewelina Osowska and Piotr Wójcik

Does surveillance capitalism trigger the financial performance of information technology firms? A reflection from FAANG business models pp. 179-201

Ajithakumari Vijayappan Nair Biju, A. S. Aparna, Jency Treesa and N. K. Nikhil

Volume 5, issue 3, 2023

Dynamic and context-dependent stock price prediction using attention modules and news sentiment pp. 449-481

Nicole Königstein

What drives cryptocurrency returns? A sparse statistical jump model approach pp. 483-518

Federico P. Cortese, Petter N. Kolm and Erik Lindström

Market impact and efficiency in cryptoassets markets pp. 519-562

Emilio Barucci, Giancarlo Giuffra Moncayo and Daniele Marazzina

Tokenizing assets with dividend payouts—a legally compliant and flexible design pp. 563-580

Efim Zhitomirskiy, Stefan Schmid and Martin Walther

Exploring investor behavior in Bitcoin: a study of the disposition effect pp. 581-612

Jürgen E. Schatzmann and Bernhard Haslhofer

Central bank digital currencies (CBDCs) and their potential impact on traditional banking and monetary policy: an initial analysis pp. 613-641

Christoph Wronka

A primer on the insurability of decentralized finance (DeFi) pp. 643-687

Felix Bekemeier

Fast approximation methods for credit portfolio risk calculations pp. 689-716

Kevin Jakob, Johannes Churt, Matthias Fischer, Kim Nolte, Yarema Okhrin, Dirk Sondermann, Stefan Wilke and Thomas Worbs

Volume 5, issue 2, 2023

Time-varying higher moments in Bitcoin pp. 231-260

Leonardo Ieracitano Vieira and Márcio Laurini

Determinants of liquidity in cryptocurrency markets pp. 261-293

J. Christopher Westland

Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors pp. 295-365

Ioannis Chalkiadakis, Gareth W. Peters and Matthew Ames

Replicating market makers pp. 367-387

Guillermo Angeris, Alex Evans and Tarun Chitra

Heterogeneous tail generalized common factor modeling pp. 389-420

Simon Hediger, Jeffrey Näf, Marc S. Paolella and Paweł Polak

Financial recommendations on Reddit, stock returns and cumulative prospect theory pp. 421-448

Felix Reichenbach and Martin Walther

Volume 5, issue 1, 2023

Deep Learning in Finance pp. 1-2

Weinan E, Ruimeng Hu and Shige Peng

Convolutional signature for sequential data pp. 3-28

Ming Min and Tomoyuki Ichiba

DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks pp. 29-56

Georgios Fatouros, Georgios Makridis, Dimitrios Kotios, John Soldatos, Michael Filippakis and Dimosthenis Kyriazis

Forecasting the term structure of commodities future prices using machine learning pp. 57-90

Mario Figueiredo and Yuri F. Saporito

Deep stochastic optimization in finance pp. 91-111

A. Max Reppen, H. Mete Soner and Valentin Tissot-Daguette

Deep learning algorithms for hedging with frictions pp. 113-147

Xiaofei Shi, Daran Xu and Zhanhao Zhang

Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors? pp. 149-182

Huei-Wen Teng and Yu-Hsien Li

Differential learning methods for solving fully nonlinear PDEs pp. 183-229

William Lefebvre, Grégoire Loeper and Huyên Pham