This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high-frequency data of the S&P 500 constituents from January 2014 to December 2015. The established trading framework predicts future financial markets using Factorization Machines, which...

As a response to multiple financial shocks, international standards have disappointed. Consensus-seeking has stifled innovation, perpetuating outdated regulatory concepts at a time of rapid market change. Different forces are at work now. Markets are complex and idiosyncratic; they may not be...

An important aspect of electronic commerce is the potential for market participants to automate transaction processing fully, from the point of trade to final settlement. Such 'straight-through processing' could make wholesale financial markets more efficient, and lower the costs and risks that...

In this paper, we examine how the emergence of voluntary disclosure standards can alter the nature of information available to capital market participants. Using industry-specific dictionaries of sustainability terms contained in voluntary disclosure standards developed by the Sustainability...