Digital Finance

2019 - 2024

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

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Special Issue on Artificial Intelligence, Machine Learning and Platform Innovation in Quantitative Finance (MathFinance Conference 2020/2021) pp. 207-208: Natalie Packham and Uwe Wystup
Accuracy of deep learning in calibrating HJM forward curves pp. 209-248: Fred Espen Benth, Nils Detering and Silvia Lavagnini
Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009 pp. 249-271: Vikram Ojha and JeongHoe Lee
Cryptocurrency volatility markets pp. 273-298: Fabian Woebbeking
Special issue on Financial Forensics and Fraud Investigation in the Era of Industry 4.0 pp. 299-300: Thomas K. Dasaklis and Veni Arakelian
A blockchain-based forensic model for financial crime investigation: the embezzlement scenario pp. 301-332: Lamprini Zarpala and Fran Casino
Modeling asset allocations and a new portfolio performance score pp. 333-371: Apostolos Chalkis, Emmanouil Christoforou, Ioannis Z. Emiris and Theodore Dalamagas
Correction to: Modeling asset allocations and a new portfolio performance score pp. 373-373: Apostolos Chalkis, Emmanouil Christoforou, Ioannis Z. Emiris and Theodore Dalamagas

Robo-advising: a dynamic mean-variance approach pp. 81-97: Min Dai, Hanqing Jin, Steven Kou and Yuhong Xu
CATE meets ML pp. 99-148: Daniel Jacob
Profitability of cryptocurrency Pump and Dump schemes pp. 149-167: Taro Tsuchiya
How to gauge investor behavior? A comparison of online investor sentiment measures pp. 169-204: Daniele Ballinari and Simon Behrendt
Correction to: Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009 pp. 205-205: Vikram Ojha and JeongHoe Lee

On cointegration and cryptocurrency dynamics pp. 1-23: Georg Keilbar and Yanfen Zhang
Contemporaneous financial intermediation pp. 25-44: Markus Merz
Evaluation of multi-asset investment strategies with digital assets pp. 45-79: Alla Petukhina and Erin Sprünken

Adaptive weights clustering of research papers pp. 169-187: Larisa Adamyan, Kirill Efimov, Cathy Y. Chen and Wolfgang Härdle
A comparison of modern deep neural network architectures for energy spot price forecasting pp. 189-210: F. Cordoni
Artificial intelligence for anti-money laundering: a review and extension pp. 211-239: Jingguang Han, Yuyun Huang, Sha Liu and Kieran Towey
Forecasting S&P 500 spikes: an SVM approach pp. 241-258: Theophilos Papadimitriou, Periklis Gogas and Athanasios Fotios Athanasiou
Effects of initial coin offering characteristics on cross-listing returns pp. 259-283: André Meyer and Lennart Ante

Sentiment analysis and machine learning in finance: a comparison of methods and models on one million messages pp. 1-13: Thomas Renault
Multi-objective optimization case study for algorithmic trading strategies in foreign exchange markets pp. 15-37: JeongHoe Lee and Navid Sabbaghi
Deep learning-based cryptocurrency sentiment construction pp. 39-67: Sergey Nasekin and Cathy Yi-Hsuan Chen
Forex exchange rate forecasting using deep recurrent neural networks pp. 69-96: Alexander Jakob Dautel, Wolfgang Härdle, Stefan Lessmann and Hsin-Vonn Seow
Neural networks and arbitrage in the VIX pp. 97-115: Joerg Osterrieder, Daniel Kucharczyk, Silas Rudolf and Daniel Wittwer
Could stock hedge Bitcoin risk(s) and vice versa? pp. 117-136: David Okorie
Correction to: Could stock hedge Bitcoin risk(s) and vice versa? pp. 137-142: David Okorie
Non-linear adjustment of the Bitcoin–US dollar exchange rate pp. 143-158: Wajdi Moussa, Nidhal Mgadmi, Rym Regaïeg and Abdelhafidh Othmani
COVID-19 contagion and digital finance pp. 159-167: Arianna Agosto and Paolo Giudici

Editorial on the Special Issue on Cryptocurrencies pp. 1-4: Jörg Osterrieder and Andrea Barletta
Cryptocurrency market structure: connecting emotions and economics pp. 5-21: Tomaso Aste
Model-based arbitrage in multi-exchange models for Bitcoin price dynamics pp. 23-46: Stefano Bistarelli, Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
Bitcoin and market-(in)efficiency: a systematic time series approach pp. 47-65: Nils Bundi and Marc Wildi
Blockchain analytics for intraday financial risk modeling pp. 67-89: Matthew F. Dixon, Cuneyt Gurcan Akcora, Yulia R. Gel and Murat Kantarcioglu
A probative value for authentication use case blockchain pp. 91-115: Dominique Guégan and Christophe Henot
Advanced model calibration on bitcoin options pp. 117-137: Dilip B. Madan, Sofie Reyners and Wim Schoutens
Price discovery on Bitcoin markets pp. 139-161: Paolo Pagnottoni and Thomas Dimpfl
Hedonic pricing of cryptocurrency tokens pp. 163-189: Jamsheed Shorish
Order flow analysis of cryptocurrency markets pp. 191-218: Eduard Silantyev