refs.bib

%%%%%%%%%%%%%% PART DE ECONOMIA %%%%%%%%%%%%%%%%%%

%%%%%%%%%%%%%%%history%%%%%%%%%%
@misc{Dartmouth_workshop,
   author = "Wikipedia Dartmouth workshop",
   title = "{Dartmouth workshop} --- {W}ikipedia{,} The Free Encyclopedia",
   year = "2019",
   howpublished = {\url{http://en.wikipedia.org/w/index.php?title=Dartmouth\%20workshop&oldid=878151960}},
   note = "[Online; accessed 25-March-2019]"
 }

@book{expertsystems,
	title={Expert systems: the technology of knowledge management and decision making for the 21st century},
	author={Leondes, Cornelius T.}, 
	year={2002},
	pages={1–22}
}

@book{pamelamachines,
	title={Machines Who Think (2nd ed.)},
	author={McCorduck, Pamela}, 
	year={2004},
  publisher={A. K. Peters, Ltd.}
}

@article{AIboard,
  title={Artificial intelligence and machine learning in financial services. Market developments and financial stability implications},
  author={Financial Stability Board},
  pages={4-34},
  year={2017},
  publisher={Financial Stability Board (FSB)}
}

@article{HFTbank,
  title={High Frequency Trading and Price Discovery},
  author={Jonathan Brogaard, Terrence Hendershott and Ryan Riordan},
  pages={2-57},
  year={2013},
  publisher={European Central Bank},
journal={Working Paper Series}
}

@book{marketimpact,
	title={Quants turn to machine learning to model market impact},
	author={Sebastian Day}, 
	year={2017},
  publisher={RISK Magazine}
}

@article{HFT,
  title={Implications of high-frequency trading for security markets},
  author={Oliver Linton, Soheil Mahmoodzadeh},
  pages={1-24},
  year={2018},
  publisher={The Institute for Fiscal Studies, Department of Economics, UCL},
 journal={cemmap}
}

@book{machinelearning,
	title={Machine learning: Trends, perspectives, and prospects},
	author={Michael Jordan and Tom Mitchell}, 
	year={2015}
}

@book{biascredit,
	title={Weapons of Math Destruction: How Big Data Increases Inequality and Threatens Democracy},
	author={Cathy O’Neil}, 
	year={2016},
	publisher={London: Allen Lane}
}

@book{modeldef,
	title={Model Validation: For Elements of Determining the Accuracy of Your Model},
	author={Clayton Mitchell}, 
	year={2016},
	publisher={British Bankers Association}
}

@book{protrader,
	title={Protrader: An Expert System for Strock Trading},
	author={Liang Chen}, 
	year={1989}
}

@book{FinCENblanqueo,
	title={The FinCEN Artificial Intelligence Systems: Identifying Potential Money Laundering from Reports of Large Cash Transactions},
	author={Golberg, et. al.}, 
	year={1995}
}

@article{IOSCO,
  title={Research Report on Financial Technologies (Fintech)},
  author={International Organization of Securities Commissions},
  year={2017},
  publisher={IOSCO}
}

@article{black,
  title={The Dark Secret at the Heart of AI},
  author={Will Knight},
  year={2017},
  publisher={MIT Technology Review}
}

@article{smallbatch,
  title={Revisiting Small Batch Training for Deep Neural Networks},
  author={Dominic Masters, Carlo Luschi},
  year={2018},
  publisher={Cornell University}
}

@article{macro,
  title={Blame It on the Machines?},
  author={Carolyn Wilkins},
  year={2017},
  publisher={Toronto Region Board of Trade}
}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
@article{KPMG,
  title={Fintech: Innovación al servicio del cliente},
  author={KPMG y Funcas},
  pages={7},
  year={2017},
  publisher={KPMG}
}

@book{creditscoring1,
	title={Benchmarking state-of-the art classification algorithms for credit scoring: An update of research},
	author={Stefan Lessmann, Bart Baesens, Hsin-Vonn Seow, and Lyn Thomas}, 
	year={2015},
	pages={124-136},
	journal={European Journal of Operational Research 247}
}

@article{privacy,
  title={Information Technology and Financial Services: The Central Bank’s perspective},
  author={Haruhiko Kuroda},
  year={2016}
}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
@article{saha2016,
  title={Predicting the direction of stock market prices using random forest},
  author={Luckyson Khaidem, Snehanshu Saha, Sudeepa Roy Dey},
  journal={To appear in Applied Mathematical Finance},
  pages={21},
  year={2016},
  publisher={Snehanshu Saha}
}

@article{aimodern,
  title = {Artificial Intelligence. Modern approach},
  author = {Stuart Russel, Peter Norvig},
  year = {1995}, 
  journal = {New Jersey: Prentice Hall, Englewood Cliffs}
}

@article{kim2003,
  title={Financial time series forecasting using support vector machines},
  author={Kyoung-jae Kim},
  journal={Neurocomputing 55 (2003)},
  pages={307 – 319},
  year={2003},
url={https://ac.els-cdn.com/S0925231203003722/1-s2.0-S0925231203003722-main.pdf?_tid=ec7d432b-e65c-434eb695-6d2035ff9829&acdnat=1545911976_ef14d01ea7992160caa0d8b4aa7c13aa}
}

@article{Tsaih1998,
  title={Forecasting S&P 500 stock index futures with a hybrid AI system},
  author={Ray Tsaih, Yenshan Hsu, Charles C. Lai},
  journal={Decision Support Systems, 23 (1998)},
  pages={161-174},
  year={1998},
url={https://ac.els-cdn.com/S0167923698000281/1-s2.0-S0167923698000281-main.pdf_tid=5c0465f0-1321-4ffd-920b-4ff50ab6fd3b&acdnat=1545912698_86722ea4bbc2cf26a7590b8bdfeab92d}
}

@article{Chen,
  title={Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock Index},
  author={An-Sing Chena, Mark T. Leungb, Hazem Daoukc},
  journal={Computers & Operations Research, 30 (6) (2003)},
  pages={901-923},
  year={2003},
url={https://ac.els-cdn.com/S0305054802000370/1-s2.0-S0305054802000370-main.pdf?_tid=a9ff1500-f141-436c-9298f0bf19d9c5c0&acdnat=1545913123_1b0ff6cdd7d647a8c5e9891ad3f6ea65}
}

@article{Huang,
  title={A hybrid SOFM-SVR with a filter-based feature selection for stock market forecasting},
  author={C.L. Huang, C.Y. Tsai},
  journal={Expert Systems with Applications, 36 (2) (2009)},
  pages={1529-1539},
  year={2009},
url={https://ac.els-cdn.com/S0957417407006069/1-s2.0-S0957417407006069-main.pdf?_tid=ffd2e07d-4100-4d76bc64-653d8ae68de7&acdnat=1545913369_ce2c3b4a4eb42518498e95713c23e5c3}
}

@article{ManishKumar,
  title={Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest},
  author={Manish Kumar, M. Thenmozhi},
  journal={Indian Institute of Capital Markets 9th Capital Markets Conference Paper},
  year={2006},
url={https://papers.ssrn.com/sol3/papers.cfm?abstract_id=876544}
}

@article{Huang2,
  title={Forecasting stock market movement direction with support vector machine},
  author={Y. Nakamori, W. Huang, S.Y. Wang},
  journal={Computers & Operations Research, 32 (10)},
  pages={2513–2522},
  year={2005}
}

@article{zichao,
  title={Data and text mining of financial markets using news and social media},
  author={Zhichao Han},
  pages={1-102},
  year={2012},
  publisher={Zhichao Han},
url = {https://studentnet.cs.manchester.ac.uk/resources/library/thesis_abstracts/MSc12/FullText/Han-Zhichao-fulltext.pdf}
}

@article{yakupkara,
  title={Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange},
 author={Yakup Kara, Melek Acar Boyacioglu, Ömer Kaan Baykan},
 year={2011},
pages={5311-5319},
  journal={Expert Systems with Applications},
 publisher={Elsevier},
url = {https://ac.els-cdn.com/S0957417410011711/1-s2.0-S0957417410011711-main.pdf?_tid=e5e12593-4a56-4db0-9d5f ff9784196726&acdnat=1545074291_d05308f34977383caaff6ae009a6acf5}
}

@article{LSTMteoria,
  title={Understanding LSTM Networks},
 author={Christopher Olah},
 year={2015},
url = {http://colah.github.io/posts/2015-08-Understanding-LSTMs/}
}


@misc{CART,
   author = "Jason Brownlee",
   title = "Classification And Regression Trees for Machine Learning",
   year = "2016",
journal = "Understand Machine Learning Algorithms",
   howpublished = {\url{https://machinelearningmastery.com/classification-and-regression-trees-for-machine-learning/}},
   note = "[Online; accessed 25-June-2019]"
 }



@article{najeb,
  title={Predicting Direction of Stock Prices IndexMovement Using Artificial Neural Networks:The Case of Libyan Financial Market},
 author={Najeb Masoud},
 year={2014},
pages={597-619},
  journal={British Journal of Economics, Management & Trade},
 publisher={SCIENCEDOMAIN international}
}

@article{comodities,
  title={Commodities(now called Futures)},
 author={Donald Lambert},
 year={1980}
}

@article{ATR,
  title={New concepts in technical trading systems},
 author={J.W. Wilder},
 year={1978},
  journal={Trend Research Greensboro, North Carolina}
}
%%%%%%%%%%%%%%%%%%%%%% R PACKAGES AND MARKDOWN DOCU
  @Manual{keras,
    title = {keras: R Interface to 'Keras'},
    author = {JJ Allaire and François Chollet},
    year = {2019},
    note = {R package version 2.2.4.1},
    url = {https://CRAN.R-project.org/package=keras},
  }



@Manual{quantmodR,
    title = {quantmod: Quantitative Financial Modelling Framework},
    author = {Jeffrey A. Ryan and Joshua M. Ulrich},
    year = {2018},
    note = {R package version 0.4-13},
    url = {https://CRAN.R-project.org/package=quantmod},
}

@Manual{YihuiRMarkdown,
  title={R Markdown: The Definitive Guide},
  author={Yihui Xie, J. J. Allaire, Garrett Grolemund},
  year={2018},
  url = {https://bookdown.org/yihui/rmarkdown/},
}

@Manual{TTR,
    title = {TTR: Technical Trading Rules},
    author = {Joshua Ulrich},
    year = {2018},
    note = {R package version 0.23-4},
    url = {https://CRAN.R-project.org/package=TTR},
  }

  @article{RF,
    title = {Classification and Regression by randomForest},
    author = {Andy Liaw and Matthew Wiener},
    journal = {R News},
    year = {2002},
    volume = {2},
    number = {3},
    pages = {18-22},
    url = {https://www.r-project.org/doc/Rnews/Rnews_2002-3.pdf}
  }

@article{tuningRF,
title={Hyperparameters and Tuning Strategies for Random Forest},
author={ Philipp Probst, Marvin Wright and Anne-Laure Boulesteix},
 year = {2018},
    url = {https://arxiv.org/pdf/1804.03515.pdf}
}

@article{ensemble,
title={Ensemble Methods in Machine Learning},
author={Thomas G. Dietterich},
url = {http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.34.4718rep=rep1type=pdf},
publisher={Oregon State University, Corvallis, Oregon, USA}
}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

@article{CoVMike,
  title={The Coefficient of Variation for assessing forecastability},
  author={Mike Gilliland},
  journal={The Business Forecasting Deal},
  year={2009}
}

@misc{warrenbuffet,
  title = {Warren Buffett : Latest Portfolio},
  howpublished = {\url{http://warrenbuffettstockportfolio.com/}},
  note = {Accessed: 01/01/2019}
}

%market boom
@article{stockboomJermann,
  title={Stock market boom and the productivity gains of the 1990s},
  author={Urban Jermann, Vincenzo Quadrini},
  year={2003}
}

%referencias a la crisis
@article{crisisreasons,
  title={Cross-country causes and consequences of the 2008 crisis: Early warning},
  author={Andrew K. Rose, Mark M. Spiegel},
  journal={Japan and the World Economy},
  year={2011}
}

@article{crisisreasons2,
  title={The financial crisis of 2007–2009: understanding its causes, consequences—and its possible cures},
  author={J. Bradford DeLong},
  journal={MTI-CSC Economics Speaker Series Lecture},
  year={2009}
}

@article{crisisreasons3,
  title={The cross-country incidence of the global crisis},
  author={P.R. Lane, G.M. Milesi-Ferretti},
  journal={IMF Economic Review},
  volume={59},
  pages={77-110},
  year={2011}
}