UCL Financial Computing and Analytics

Publications

  • Phillips, R. C., & Gorse, D. (2018). Cryptocurrency price drivers: Wavelet coherence analysis revisited. PLOS ONE, 13 (4), ARTN e0195200. doi:10.1371/journal.pone.0195200
  • Phillips, R. C., & Gorse, D. (2018). Predicting cryptocurrency price bubbles using social media data and epidemic modelling. 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings, 2018-January, 1-7. doi:10.1109/SSCI.2017.8280809
  • Christensen, A. P., Kenett, Y. N., Aste, T., Silvia, P. J., & Kwapil, T. R. (2018). Network structure of the Wisconsin Schizotypy Scales–Short Forms: Examining psychometric network filtering approaches. Behavior Research Methods, 1-20. doi:10.3758/s13428-018-1032-9
  • Lopez, F. A., Barucca, P., Fekom, M., & Coolen, A. C. C. (2018). Exactly solvable random graph ensemble with extensively many short cycles. JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL, 51 (8), ARTN 085101. doi:10.1088/1751-8121/aaa555
  • Letizia, E., Barucca, P., & Lillo, F. (2018). Resolution of ranking hierarchies in directed networks. PLOS ONE, 13 (2), ARTN e0191604. doi:10.1371/journal.pone.0191604
  • Barucca, P., Caldarelli, G., & Squartini, T. (2018). Tackling Information Asymmetry in Networks: A New Entropy-Based Ranking Index. Journal of Statistical Physics, 1-17. doi:10.1007/s10955-018-2076-z
  • Barucca, P., & Lillo, F. (2018). The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. Computational Management Science, 15 (1), 33-53. doi:10.1007/s10287-017-0293-6
  • Squartini, T., Gabrielli, A., Garlaschelli, D., Gili, T., Bifone, A., & Caccioli, F. (2018). Complexity in Neural and Financial Systems: From Time-Series to Networks. Complexity, 2018, 3132940. doi:10.1155/2018/3132940
  • Caccioli, F., Barucca, P., & Kobayashi, T. (2018). Network models of financial systemic risk: A review. Journal of Computational Social Science (2018) 1: 81-114. doi:10.1007/s42001-017-0008-3
  • Zloteanu, M., Harvey, N., Tuckett, D., & Livan, G. (2018). Digital Identity: The Effect of Trust and Reputation Information on User Judgement in the Sharing Economy. CoRR, abs/1803.03029.
  • Nava, N., Di Matteo, T., & Aste, T. (2018). Dynamic correlations at different time-scales with empirical mode decomposition. Physica A: Statistical Mechanics and its Applications, 502, 534-544. doi:10.1016/j.physa.2018.02.108
  • Shirley, M. K., Cole, T. J., Charoensiriwath, S., Treleaven, P., & Wells, J. C. K. (2018). Differential investment in body girths by sex: Evidence from 3D photonic scanning in a Thai cohort (vol 163, pg 696, 2017). AMERICAN JOURNAL OF PHYSICAL ANTHROPOLOGY, 165 (2), 409. doi:10.1002/ajpa.23359
  • Batrinca, B., Hesse, C. W., & Treleaven, P. C. (2018). Examining drivers of trading volume in European markets. International Journal of Finance and Economics, 23 (2), 134-154. doi:10.1002/ijfe.1608
  • Phelan, C. E., Marazzina, D., Fusai, G., & Germano, G. (2018). Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. ELSEVIER SCIENCE BV. doi:10.1016/j.ejor.2018.04.016
  • Caravelli, F., & Barucca, P. (2018). A mean-field model of memristive circuit interaction. EPL, 122 (4), ARTN 40008. doi:10.1209/0295-5075/122/40008
  • Grainger, M. J., Aramyan, L., Piras, S., Quested, T. E., Righi, S., Setti, M., . . . Stewart, G. B. (2018). Model selection and averaging in the assessment of the drivers of household food waste to reduce the probability of false positives. PLOS ONE, 13 (2), ARTN e0192075. doi:10.1371/journal.pone.0192075
  • Righi, S., & Takács, K. (2018). Social Closure and the Evolution of Cooperation via Indirect Reciprocity. Scientific reports, 8 (1), 11149. doi:10.1038/s41598-018-29290-0
  • Grainger, M. J., Aramyan, L., Logatcheva, K., Piras, S., Righi, S., Setti, M., . . . Stewart, G. B. (2018). The use of systems models to identify food waste drivers. GLOBAL FOOD SECURITY-AGRICULTURE POLICY ECONOMICS AND ENVIRONMENT, 16, 1-8. doi:10.1016/j.gfs.2017.12.005
  • Aste, T., Tasca, P., & Di Matteo, T. (2017). Blockchain Technologies: The Foreseeable Impact on Society and Industry. COMPUTER, 50 (9), 18-28. doi:10.1109/MC.2017.3571064
  • Treleaven, P., Brown, R. G., & Yang, D. (2017). Blockchain Technology in Finance. COMPUTER, 50 (9), 14-17. doi:10.1109/MC.2017.3571047
  • Phillips, R. C., & Gorse, D. (2017). Predicting Cryptocurrency Price Bubbles Using Social Media Data and Epidemic Modelling. 2017 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI), 394-400. IEEE.
  • Buonocore, R. J., Aste, T., & Di Matteo, T. (2017). Asymptotic scaling properties and estimation of the generalized Hurst exponents in financial data. PHYSICAL REVIEW E, 95 (4), ARTN 042311. doi:10.1103/PhysRevE.95.042311
  • Massara, G. P., Matteo, T. D., & Aste, T. (2017). Network Filtering for Big Data: Triangulated Maximally Filtered Graph. J. Complex Networks, 5, 161-178. doi:10.1093/comnet/cnw015
  • Aste, T., & Di Matteo, T. (2017). Sparse Causality Network Retrieval from Short Time Series. COMPLEXITY, ARTN 4518429. doi:10.1155/2017/4518429
  • Musmeci, N., Nicosia, V., Aste, T., Di Matteo, T., & Latora, V. (2017). The Multiplex Dependency Structure of Financial Markets. COMPLEXITY, ARTN 9586064. doi:10.1155/2017/9586064
  • Phelan, C. E., Marazzina, D., Fusai, G., & Germano, G. (2017). Hilbert transform, spectral filters and option pricing.
  • Barucca, P., Lillo, F., Mazzarisi, P., & Tantari, D. (2017). Detectability thresholds in networks with dynamic link and community structure. CoRR, abs/1701.05804.
  • Barucca, P. (2017). Spectral partitioning in equitable graphs. PHYSICAL REVIEW E, 95 (6), ARTN 062310. doi:10.1103/PhysRevE.95.062310
  • Bardoscia, M., Livan, G., & Marsili, M. (2017). Statistical mechanics of complex economies. JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, ARTN 043401. doi:10.1088/1742-5468/aa6688
  • Kolchyna, O., Treleaven, P. C., Souza, T. T. P., & Aste, T. (2017). A Framework for Twitter Events Detection, Differentiation and its Application for Retail Brands. PROCEEDINGS OF 2016 FUTURE TECHNOLOGIES CONFERENCE (FTC), 323-331. IEEE.
  • Kolchyna, O., Treleaven, P. C., Souza, T. T. P., & Aste, T. (2017). A Framework for Twitter Events Detection, Differentiation and its Application for Retail Brands. PROCEEDINGS OF 2016 FUTURE TECHNOLOGIES CONFERENCE (FTC), 323-331. IEEE.
  • Livan, G., Caccioli, F., & Aste, T. (2017). Excess reciprocity distorts reputation in online social networks. Sci Rep, 7 (1), 3551. doi:10.1038/s41598-017-03481-7
  • Mann, A. D., & Gorse, D. (2017). A new methodology to exploit predictive power in (open, high, low, close) data. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 10614 LNCS, 495-502. doi:10.1007/978-3-319-68612-7_56
  • Mann, A. D., & Gorse, D. (2017). Deep Candlestick Mining. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 10635 LNCS, 913-921. doi:10.1007/978-3-319-70096-0_93
  • Cui, Y., Rollin, S. D. B., & Germano, G. (2017). Full and fast calibration of the Heston stochastic volatility model. European Journal of Operational Research. doi:10.1016/j.ejor.2017.05.018
  • Barucca, P., & Lillo, F. (2017). Behind the price: on the role of agent’s reflexivity in financial market microstructure. Studies in Applied Philosophy, Epistemology and Rational Ethics (pp. 51-61). doi:10.1007/978-3-319-49872-0_3
  • Kondor, I., Papp, G., & Caccioli, F. (2017). Analytic solution to variance optimization with no short positions. JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, ARTN 123402. doi:10.1088/1742-5468/aa9684
  • Bardoscia, M., Battiston, S., Caccioli, F., & Caldarelli, G. (2017). Pathways towards instability in financial networks. Nature Communications, 8. doi:10.1038/ncomms14416
  • Biondi, Y., & Righi, S. (2017). Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time. Journal of Economic Interaction and Coordination, 1-30. doi:10.1007/s11403-017-0201-8
  • Coniglio, A., Pica Ciamarra, M., & Aste, T. (2017). Universal behaviour of the glass and the jamming transitions in finite dimensions for hard spheres. Soft Matter. doi:10.1039/c7sm01481c
  • Shirley, M. K., Cole, T. J., Charoensiriwath, S., Treleaven, P., & Wells, J. C. K. (2017). Differential investment in body girths by sex: evidence from 3D photonic scanning in a Thai cohort. American Journal of Physical Anthropology. doi:10.1002/ajpa.23238
  • Righi, S., & Takacs, K. (2017). The miracle of peer review and development in science: an agent-based model. SCIENTOMETRICS, 113 (1), 587-607. doi:10.1007/s11192-017-2244-y
  • Righi, S., & Takacs, K. (2017). Blind vs. embedded indirect reciprocity and the evolution of cooperation. Proceedings of the 31st European Conference on Modelling and Simulation, 60-66. European Conference on Modelling and Simulation. doi:10.7148/2017-0060