Machine learning in finance has been on the rise in the past decade. The applications of machine learning have become a promising methodological advancement. The paper's central goal is to use a metadata-based systematic literature review to map the current state of neural networks and machine...

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility are crucial for bitcoin investors' decision-making analysis and risk management. However, most previous studies of bitcoin volatility were founded on econometric models. Research...

Risk management has been a topic of great interest to Michael McAleer. Even as recent as 2020, his paper on risk management for COVID-19 was published. In his memory, this article is focused on bankruptcy risk in financial firms. For financial institutions in particular, banks are considered...

A constant in the business world is the frequent movement of customers joining or abandoning companies' services and products. The customer is one of the company's most important assets. Reducing the customer abandonment rate has become a matter of survival and, at the same time, the most...

Unintended bias against protected groups has become a key obstacle to the widespread adoption of machine learning methods. This work presents a modeling procedure that carefully builds models around protected class information in order to make sure that the final machine learning model is...

Historically, exchange rate forecasting models have exhibited poor out-of-sample performances and were inferior to the random walk model. Monthly panel data from 1973 to 2014 for ten currency pairs of OECD countries are used to make out-of sample forecasts with artificial neural networks and...

Financial data are expensive and highly sensitive with limited access. We aim to generate abundant datasets given the original prices while preserving the original statistical features. We introduce the Wasserstein Generative Adversarial Network with Gradient Penalty (WGAN-GP) into the field of...

This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...

Building on an economic model of rational Bitcoin mining, we measured the carbon footprint of Bitcoin mining power consumption using feed-forward neural networks. We found associated carbon footprints of 2.77, 16.08 and 14.99 MtCO2e for 2017, 2018 and 2019 based on a novel bottom-up approach,...

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...