Working Papers by FinTech@Cornell Affiliates and Fellows
on AI for Finance, FinTech, Digital Economics, and Business Data Science. Updated September 2024
Author: Zhiheng He, Fred Sun
(Reverse chronological order by latest updates)
Growing the Efficient Frontier on Panel Trees
Lin William Cong, Gavin Feng, Jingyu He, & Xin He (Sep 2024)
Topics: Machine Learning, AI, Asset Pricing
Inflation Expectation and Cryptocurrency Investment
Lin William Cong, Pulak Ghosh, Jiasun Li, Qihong Ruan (Sep 2024)
Topics: Inflation Hedge, Expectations, Crypto Currency, FinTech
FinTech Platforms and Asymmetric Network Effects: Theory and Evidence from Marketplace Lending
Lin William Cong, Ke Tang, Danxia Xie, and Weiyi Zhao (Sep 2024)
Topics: FinTech, Multi-sided Platforms, P2P Lending
Blockchain-Induced Supply Chain Transparency and Firm Performance: The Role of Capacity Utilization
ShinWoo Lee, Jedson Pinto, Daniel Rabetti, Gil Sadka (Sep 2024)
Topics: Smart Contracts, Supply Chain, Blockchain
The Rise of E-Wallet Super-Apps and Buy-Now-Pay-Later: Payment Competition, Credit Expansion, and Consumer Behavior
Wenlong Bian, Lin William Cong, and Yang Ji (Aug 2024)
Topics: Consumer Credit, Digitization, Payment
Is Love Blind? AI-Powered Trading with Emotional Dividends
De-Rong Kong, Daniel Rabetti (Aug 2024)
Topics: Algo-Trading, NFT, Deep Learning
Maximal Extractable Value and Allocative Inefficiencies in Public Blockchains
Agostino Capponi, Ruizhe Jia, Ye Wang (Aug 2024)
Topics: Blockchain, MEV
Tokenomics: Monetary and Fee Policies
Urban Jermann, Haotian Xiang (Aug 2024)
Topics: Tokenomics, Monetary Policies, Fee Policies, Crypto Assets
Expected Returns and Large Language Models
Yifei Chen, Bryan Kelly, Dacheng Xiu (Aug 2024)
Topics: LLM, NLP, ChatGPT, Return Prediction
An Economic Model of a Decentralized Exchange with Concentrated Liquidity
Hasbrouck, Joel and Rivera, Thomas and Saleh, Fahad (Aug 2024)
Topics: Decentralized Exchange, Automated Market Makers, Concentrated Liquidity, Uniswap
Textual Factors: A Scalable, Interpretable, and Data-Driven Approach to Analyzing Unstructured Information
Lin William Cong, Tengyuan Liang, and Xiao Zhang (July 2024)
Topics: Textual Analysis, Topic Modeling, Data Analytics
Tech-Driven Intermediation in the Originate-to-Distribute Model
Zhiguo He, Sheila Jiang and Douglas Xu (July 2024)
Topics: Information Technology, CLOs
Price Discovery on Decentralized Exchanges
Agostino Capponi, Ruizhe Jia, Shihao Yu (July 2024)
Topics: Decentralized Exchange, Informed Traders
The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity
Agostino Capponi, Ruizhe Jia, and Brian Zhu (July 2024)
Topics: Decentralized Exchange
Machine Learning and the Implementable Efficient Frontier
Theis Ingerslev Jensen, Bryan Kelly, Semyon Malamud, Lasse Heje Pedersen (July 2024)
Topics: ML, Economic Significance, Transaction Cost
Blockchains, Smart Contracts, and Supply Chain Efficiency
Hongguang Ma, Yusen Xia, Baozhong Yang (July 2024)
Topics: Blockchain, Smart Contract, Supply Chain
Visual Information and AI Divide: Evidence from Corporate Executive Presentations
Sean Cao, Yichen Cheng, Meng Wang, Yusen Xia, Baozhong Yang (July 2024)
Topics: AI/ML, Image Analysis, Textual Analysis
CBDCs, Payment Firms, and Geopolitics
Tobias Berg, Jan Keil, and Felix Martini, Manju Puri (July 2024)
Topics: Cryptocurrencies, CBDCs
The Evolution of Decentralized Exchange: Risks, Benefits, and Oversight
Campbell R. Harvey, Joel Hasbrouck, Fahad Saleh (June 2024)
Topics: Decentralized Exchange, Smart Contract
Regulatory Uncertainty and FinTech Innovation
Lin William Cong, Murillo Campello, Diemo Dietrich (June 2024)
Topics: Financial Innovation, Regulation
Data Union and Regulation in a Data Economy
Lin William Cong, Simon Mayer (June 2024)
Topics: Data Sharing, Open Banking, Digital Economy
Machine Forecast Disagreement
Turan G. Bali, Bryan Kelly, Mathis Moerke (May 2024)
Topics: ML, Analyst Forecast, Mispricing
Microstructure and Market Dynamics in Crypto Markets
David Easley, Maureen O’Hara, Songshan Yang, and Zhibai Zhang (May 2024)
Topics: Crypto, Market Quality, Machine Learning
Fragmentation and optimal liquidity supply on decentralized exchanges
Alfred Lehar, Christine Parlour, and Marius Zoican (May 2024)
Topics: Decentralized exchanges, Liquidity
The Crumbling Wall between Crypto and Non-crypto Markets: Risk Transmission through Stablecoins
Yiping Huang, Yang Ji, Juan Lin, and Wang Sun (May 2024)
Topics: Stablecoins, Cryptocurrencies
Economics of NFTs: The Value of Creator Royalties
Hemenway Falk, Brett and Tsoukalas, Gerry and Zhang, Niuniu (May 2024)
Topics: NFT
Information and Market Power in DeFi Intermediation
Pablo Azar, Adrian Casillas, Maryam Farboodi (May 2024)
Topics: DeFi, Ethereum, Private Information
AlphaManager: A Data-Driven-Robust-Control Approach to Corporate Finance
Murillo Campello, Lin William Cong, Luofeng Zhou (Apr 2024)
Topics: AI/ML, Reinforcement Learning, Transfer Learning
Large Language Models and Return Prediction in China
Lin Tan, Huihang Wu, Xiaoyan Zhang (Apr 2024)
Topics: LLM, Return Prediction
Tax Avoidance with DeFi Lending
Lisa De Simone, Peiyi Jin, Daniel Rabetti (Apr 2024)
Topics: DeFi Lending, Liquidation, Tax
Real-time Machine Learning in the Cross-Section of Stock Returns
Alberto Rossi, Bin Li, Xueming (Sterling) Yan and Lingling Zheng (Apr 2024)
Topics: Machine Learning, Investment Strategy
FinTech Lending, Banking, and Information Portability
Marcus Brunnermeier and Jonathan Payne (Apr 2024)
Topics: Token, Smart Contracts, Platform
The Use and Disuse of FinTech Credit: When Buy-Now-Pay-Later Meets Credit Reporting
Yanfei Dong, Jiayin Hu, Yiping Huang, Han Qiu (Apr 2024)
Topics: FinTech lending, BNPL
Balancing Power in Decentralized Governance: Quadratic Voting under Imperfect Information
Benhaim, Alon and Hemenway Falk, Brett and Tsoukalas, Gerry (Apr 2024)
Topics: decentralized governance, blockchain, dApps
Generative AI and Asset Management
Jinfei Sheng, Zheng Sun, Baozhong Yang, Alan L. Zhang (Apr 2024)
Topics: Generative AI, ChatGPT
Can Machines Understand Human Skills? Insights from Analyst Selection
Sean Cao, Norman Guo, Houping Xiao, Baozhong Yang (Apr 2024)
Topics: ML, AI, Analyst Forecast
Economics of Ethereum
Kose John, Barnabe Monnot, Peter Mueller, Fahad Saleh, Caspar Schwarz-Schilling (Apr 2024)
Topics: Ethereum, Proof-of-Stake
Equilibrium in a DeFi Lending Market
Rivera, Thomas and Saleh, Fahad and Vandeweyer, Quentin (Apr 2024)
Topics: Decentralized Finance, Protocol for Loanable Funds
Production, Trade, and Cross-Border Data Flows
Qing Chang, Lin William Cong, Liyong Wang, and Longtian Zhang (Mar 2024)
Topics: Big Data, General Equilibrium, International Economics
ChatGPT and Corporate Policies
Manish Jha, Jialin Qian, Michael Weber, Baozhong Yang (Feb 2024)
Topics: ChatGPT, LLM, Corporate Investment
A Macro Finance Model for Proof-of-Stake Ethereum
Urban Jermann (Feb 2024)
Topics: Ethereum, Proof-of-Stake, Macro Finance Model, Money Supply, Staking
Proposer-Builder Separation, Payment for Order Flows, and Centralization in Blockchain
Agostino Capponi, Ruizhe Jia, Sveinn Olafsson (Feb 2024)
Topics: PFOF, Blockchain centralization
Customer Data Access and Fintech Entry: Early Evidence from Open Banking
Tania Babina, Saleem Bahaj, Greg Buchak, Filippo De Marco, Angus Foulis, Will Gornall, Francesco Mazzola, Tong Yu (Jan 2024)
Topics: Open Banking, FinTech, Regulation
Financial and Informational Integration Through Oracle Networks
Lin William Cong, Eswar Prasad, and Daniel Rabetti (Jan 2024)
Topics: DeFi, Information Economics, International Economics
The Rise of Factor Investing: “Passive” Security Design and Market Implications
Lin William Cong, Shiyang Huang, Douglas Xu (Jan 2024)
Topics: Asset Pricing, Financial Innovation, Market Microstructure, Security Design
When Bayes-Stein Meets Machine Learning: A Generalized Approach for Portfolio Optimization
Dimitrios Gounopoulos, Emmanouil Platanakis, Gerry Tsoukalas, Haoran Wu
Topics: ML, Portfolio Optimization
Uniswap Daily Transaction Indices by Network
Nir Chemaya, Lin William Cong, Emma Jorgensen, Dingyue Liu, Luyao Zhang (Dec 2023)
Topics: Cryptography and Security, Layer 2
Crypto Wash Trading: Direct vs. Indirect Estimation
Brett Hemenway Falk, Gerry Tsoukalas, Niuniu Zhang (Dec 2023)
Topics: Cryptocurrency, Wash Trading, Non-Fungible Tokens (NFTs)
Decentralized Finance: Protocols, Risks, and Governance
Agostino Capponi, Garud Iyengar, Jay Sethuraman (Dec 2023)
Topics: DeFi, Smart Contract
Surviving the Fintech Disruption
Wei Jiang, Yuehua Tang, Rachel Xiao, Vincent Yao (Dec 2023)
Topics: Fintech, Employment, Wages, Innovation, Talent Reallocation
Pricing Control and Regulation on Online Service Platforms
Gerard P Cachon, Tolga Dizdarer, Gerry Tsoukalas (Dec 2023)
Topics: Blockchain, Gig Economy, Smart Contract
The Market for Crypto Zombies: Under-Collateralization in DeFi Lending
Murillo Campello, Peiyi Jin, Daniel Rabetti, Fahad Saleh (Nov 2023)
Topics: Decentralized Finance, Zombie Lending, P2P Lending
The Tokenomics of Staking
Lin William Cong, Zhiheng He, Ke Tang (Nov 2023)
Topics: Proof-of-Stake, Crypto Carry
Buyer-Optimal Algorithmic Consumption
Shota Ichihashi, Alex Smolin (Nov 2023)
Topics: Recommendation Algorithm, Information Technology, Bilateral Trade Platform
Decentralization, Blockchain, Artificial Intelligence (AI): Challenges and Opportunities
Xiang Hui, Catherine E. Tucker (Nov 2023)
Topics: Decentralization, AI
How Can Robot Investment Assistant Help: Collecting Information or Providing Advice? Evidence from China
Huimin Ge, Lin Tan, Huihang Wu, Xiaoyan Zhang (Nov 2023)
Topics: Robot Investment Assistant, Trading Behavior
Automated Market Makers and the Value of Adaptive Fees
David Cao, Brett Hemenway Falk, Gerry Tsoukalas (Oct 2023)
Topics: automated market makers, decentralized exchanges
Investing in Lending Technology: IT Spending in Banking
Zhiguo He, Sheila Jiang, Douglas Xu, and Xiao Yin (Oct 2023)
Topics: Lending Technology, Fintech
The Economics of Non-Fungible Tokens
Nicola Borri, Yukun Liu, and Aleh Tsyvinski (Oct 2023)
Topics: Non-Fungible Tokens, Digital Economics
Integrated Intermediation and Fintech Market Power
Greg Buchak, Vera Chau, and Adam (Sep 2023)
Topics: FinTech, intermediation
Equilibrium Staking Levels in a Proof-of-Stake Blockchain
John, Kose and Rivera, Thomas and Saleh, Fahad (Sep 2023)
Topics: Blockchain, Proof-of-Stake, Staking, Block Rewards
On the Rise of "Buy Now, Pay Later": A Merchant’s Perspective
Tobias Berg, Valentin Burg, and Jan Keil, Manju Puri (Aug 2023)
Topics: BNPL, E-commerce
Initial Coin Offerings: A Review
Evgeny Lyandres and Daniel Rabetti (Aug 2023)
Topics: ICO, review
Will Central Bank Digital Currency Disintermediate Banks?
Toni Whited, Yufeng Wu, and Kairong Xiao (Jun 2023)
Topics: CBDC
Uncommon Factors and Asset Heterogeneity in the Cross Section and Time Series
Lin William Cong, Guanhao Feng, Jingyu He, and Junye Li (Jun 2023)
Topics: AI, Asset Pricing, Bayesian, Heterogeneity, Machine Learning, Structural Break
Anatomy of a Run: The Terra Luna Crash
Liu, Jiageng, Igor Makarov, and Antoinette Schoar (Jun 2023)
Topics: Cryptocurrency, Runs, Systemic Risk
Blockchains, Smart Contracts and Connected Sensors: Enforceable Execution vs Better Information
Bakos, Yannis and Halaburda, Hanna (May 2023)
Topics: Block Chain, Smart Contract
Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem
Lin William Cong, Ke Tang, Yanxin Wang, & Xi Zhao (May 2023)
Topics: FinTech, Blockchains, DeFi, Digital Economy
An Economic Model of Consensus on Distributed Ledgers
Hanna Halaburda, Zhiguo He, and Jiasun Li (May 2023)
Topics: Blockchain, Byzantine fault tolerance, Distributed consensus
Does FinTech Reduce Human Biases? Evidence from Two Quasi-Exeriments
Yanting Chen, Yingwei Dong, Jiayin Hu, and Yiping Huang (Apr 2023)
Topics: FinTech, Algorithm
The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume
Hasbrouck, Joel and Rivera, Thomas and Saleh, Fahad (Apr 2023)
Topics: Decentralized Exchange, Automated Market Makers
Battle of the Bots: Flash Loans, Miner Extractable Value and Efficient Settlement
Alfred Lehar and Christine A. Parlour (Mar 2023)
Topics: Blockchain, Miner Extractable Value
Accounting for Cryptocurrency Value
Yukun Liu, Aleh Tsyvinski, Xi Wu (Mar 2023)
Topics: Cryptocurrency, Digital Markets
Bitcoin Mining Meets Wall Street: A Study of Publicly Traded Crypto Mining Companies
Hanna Halaburda and David Yermack (Feb 2023)
Topics: Cryptocurrency, Bitcoin
How Costly are Cultural Biases? Evidence from FinTech
Francesco D'Acunto, Pulak Ghosh, Alberto G. Rossi (Feb 2023)
Topics: Robo-Advising, Cultural Finance
Miner Collusion and the BitCoin Protocol
Lehar, Alfred and Parlour, Christine A. (Oct 2022)
Topics: Bitcoin, Transaction Cost, Decentralized Finance
Economic Implications of Scaling Blockchains: Why the Consensus Protocol Matters
Kose John, Thomas J Rivera, Fahad Saleh (Oct 2022)
Topics: Proof-of-Stake, Proof-of-Work, Security
The Coming Battle of Digital Currencies
Lin William Cong, Simon Mayer (Sep 2022)
Topics: CBDC, Currency Competition, Tokenomics
Systemic Fragility in Decentralized Markets
Alfred Lehar and Christine A. Parlour (July 2022)
Topics: Decentralized Exchange
Value Premium, Network Adoption, and Factor Pricing of Crypto-Assets
Lin William Cong, Andrew Karolyi, Ke Tang, and Weiyi Zhao (May 2022)
Topics: Asset Pricing, Cryptocurrencies, International Finance
Blockchain Economics
Joseph Abadi, Markus Brunnermeier (May 2022)
Topics: Blockchain, Cryptocurrency, Mechanism Design
FinTech in Sub-Saharan Africa: What Has Worked Well, and What Hasn't
David Yermack (May 2022)
Topics: FinTech, Emerging Markets
NFTs for Art and Collectables: Primer and Outlook
S. Allen, A. Juels, T. Kell, M. Khaire, S. Shrivastava (Apr 2022)
Topics: NFTs
Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking
Ye Li, Simon Mayer (Apr 2022)
Topics: Decentralized Finance, Stability, Stablecoins
AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI
Lin William Cong, Ke Tang, Jingyuan Wang, and Yang Zhang (Mar 2022)
Topics: AI, Portfolio Theory, Reinforcement Learning
FinTech as a Financial Liberator
Greg Buchak, Jiayin Hu, Shang-Jin Wei (Nov 2021)
Topics: Fintech Regulation
The Adoption of Blockchain-based Decentralized Exchanges
Agostino Capponi, Ruizhe Jia (July 2021)
Topics: Decentralized Exchange, AMM
Selecting Mutual Funds From the Stocks They Hold: a Machine Learning Approach
Bin Li and Alberto Rossi (Feb 2021)
Topics: Machine Learning, Stock Choice
Fintech Credit Risk Assessment for SMEs: Evidence from China
Yiping Huang, Longmei Zhang, Zhenhua Li, Han Qiu, Tao Sun, Xue Wang (Oct 2020)
Topics: FinTech, Credit rating
Design Choices for Central Bank Digital Currency: Policy and Technical Considerations
S. Allen, S. Capkun, I. Eyal, G. Fanti, B. Ford, J. Grimmelmann, A. Juels, K. Kostianinen, S. Meiklejohn, A. Miller, E. Prasad, K. Wüst, and F. Zhang
Brookings Institute Working Paper (July 2020)
Topics: Cryptocurrency, Financial Institutions, Monetary Policy
Funding New Ventures with Digital Tokens: Due Diligence and Token Tradability
Hanna Halaburda and Yannis Bakos (Mar 2020)
Topics: Digital Cryptographic Tokens, Economics of Crowdfunding
How Do Machine Learning and Non-Traditional Data Affect Credit Scoring? New Evidence from a Chinese Fintech Firm
Leonardo Gambacorta, Yiping Huang, Han Qiu, Jingyi Wang (Jan 2020)
Topics: FinTech, Credit rating
When Do Smart Contracts and IoT Improve Efficiency? Automated Execution vs. Increased Information
Hanna Halaburda and Yannis Bakos (Jan 2019)
Topics: Smart contracts, Blockchain, Digital Economics
Central Banking in a Digital Age: Stock-Taking and Preliminary Thoughts
Eswar Prasad (Apr 2018)
Topics: Digital Currency, Financial Institutions, Digital Economy
