Frank McGroarty
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View article: Deep Learning for Bond Yield Forecasting: The <scp>LSTM</scp>‐<scp>LagLasso</scp>
Deep Learning for Bond Yield Forecasting: The <span>LSTM</span>‐<span>LagLasso</span> Open
We present long short‐term memory (LSTM)‐LagLasso, a novel explainable deep learning approach applied to bond yield forecasting. Our method involves feature selection from a large universe of potential features and forecasts bond yields us…
View article: Opinion Dynamics Explain Price Formation in Prediction Markets
Opinion Dynamics Explain Price Formation in Prediction Markets Open
Prediction markets are heralded as powerful forecasting tools, but models that describe them often fail to capture the full complexity of the underlying mechanisms that drive price dynamics. To address this issue, we propose a model in whi…
View article: Opinion Dynamics Explain Price Formation in Prediction Markets
Opinion Dynamics Explain Price Formation in Prediction Markets Open
Prediction markets are heralded as powerful forecasting tools, but models to describe them often fail to capture the full complexity of the underlying mechanisms that drive price dynamics. To address this issue, we propose a model in which…
View article: Does perfectionism influence individual financial risk tolerance and financial well-being? Evidence from an online survey data from the US
Does perfectionism influence individual financial risk tolerance and financial well-being? Evidence from an online survey data from the US Open
Perfectionism influences various aspects of our lives, such as academic study, music, athletics, and work. Perfectionism has two essential facets: striving and evaluative concerns. The effect of perfectionism on financial domain was rarely…
View article: Combining Internet of Things and Crowdsourcing for Pervasive Research and End-user Centric Experimental Infrastructures (IoT Lab)
Combining Internet of Things and Crowdsourcing for Pervasive Research and End-user Centric Experimental Infrastructures (IoT Lab) Open
The Internet of Things will be massive and pervasive. It will impact many and diverse application domains such as environmental monitoring, transportation, energy and water management, security and safety, assisted living, smart homes and …
View article: Catching Cheats: Detecting Strategic Manipulation in Distributed Optimisation of Electric Vehicle Aggregators (Extended Abstract)
Catching Cheats: Detecting Strategic Manipulation in Distributed Optimisation of Electric Vehicle Aggregators (Extended Abstract) Open
We consider a scenario where self-interested Electric Vehicle (EV) aggregators compete in the day-ahead electricity market in order to purchase the electricity needed to meet EV requirements. We propose a novel decentralised bidding coordi…
View article: Estimating the impact of the Internet of Things on productivity in Europe
Estimating the impact of the Internet of Things on productivity in Europe Open
The Internet of Things (IoT) refers to interconnected devices and objects that collect and transmit data via the Internet. The IoT is an evolving technology, promising to revolutionise industries, but also demanding far-reaching policy cha…
View article: Catching Cheats: Detecting Strategic Manipulation in Distributed Optimisation of Electric Vehicle Aggregators
Catching Cheats: Detecting Strategic Manipulation in Distributed Optimisation of Electric Vehicle Aggregators Open
Given the rapid rise of electric vehicles (EVs) worldwide, and the ambitious targets set for the near future, the management of large EV fleets must be seen as a priority. Specifically, we study a scenario where EV charging is managed thro…
View article: Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box
Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box Open
Modern decision-making in fixed income asset management benefits from intelligent systems, which involve the use of state-of-the-art machine learning models and appropriate methodologies. We conduct the first study of bond yield forecastin…
View article: Dataset for "Coordination Mechanisms for Electric Vehicle Aggregators"
Dataset for "Coordination Mechanisms for Electric Vehicle Aggregators" Open
This dataset supports Chapters 7 and 9 in the PhD thesis titled "Coordination Mechanisms for Electric Vehicle Aggregators". The data supporting the other chapters has been previously published with the following independent DOIs:- Dataset …
View article: Detecting Strategic Manipulation in Distributed Optimisation of Electric Vehicle Aggregators.
Detecting Strategic Manipulation in Distributed Optimisation of Electric Vehicle Aggregators. Open
Given the rapid rise of electric vehicles (EVs) worldwide, and the ambitious targets set for the near future, the management of large EV fleets must be seen as a priority. Specifically, we study a scenario where EV charging is managed thro…
View article: Catching Cheats: Detecting Strategic Manipulation in Distributed\n Optimisation of Electric Vehicle Aggregators
Catching Cheats: Detecting Strategic Manipulation in Distributed\n Optimisation of Electric Vehicle Aggregators Open
Given the rapid rise of electric vehicles (EVs) worldwide, and the ambitious\ntargets set for the near future, the management of large EV fleets must be seen\nas a priority. Specifically, we study a scenario where EV charging is managed\nt…
View article: Chronotype, Risk and Time Preferences, and Financial Behaviour
Chronotype, Risk and Time Preferences, and Financial Behaviour Open
This paper examines the effect of chronotype on the delinquent credit card payments and stock market participation through preference channels. Using an online survey of 455 individuals who have been working for 3 to 8 years in companies i…
View article: Chronotype, Risk and Time Preferences, and Financial Behaviours
Chronotype, Risk and Time Preferences, and Financial Behaviours Open
This paper examines the effect of chronotype on the delinquent credit card payments and stock market participation through preference channels. Using an online survey of 455 individuals who have been working for 3 to 8 years in companies i…
View article: High frequency trading strategies, market fragility and price spikes: an agent based model perspective
High frequency trading strategies, market fragility and price spikes: an agent based model perspective Open
Given recent requirements for ensuring the robustness of algorithmic trading strategies laid out in the Markets in Financial Instruments Directive II, this paper proposes a novel agent-based simulation for exploring algorithmic trading str…
View article: Decentralised coordination of electric vehicle aggregators
Decentralised coordination of electric vehicle aggregators Open
Given the rapid rise of electric vehicles (EVs) worldwide, and the ambitious targets set for the near future, the management of large EV fleets must be seen as a priority. Specifically, we study a scenario where EV charging is managed thro…
View article: Coordination of Electric Vehicle Aggregators: A Coalitional Approach
Coordination of Electric Vehicle Aggregators: A Coalitional Approach Open
Given the rapid rise of electric vehicles (EVs) worldwide, and the ambitious targets set for the near future, the smart charging of an EV fleet must be seen as a priority. Specifically, we study a scenario where EV charging is managed thro…
View article: Dataset for "Coordination of Electric Vehicle Aggregators: A Coalitional Approach"
Dataset for "Coordination of Electric Vehicle Aggregators: A Coalitional Approach" Open
A. Perez-Diaz, E. Gerding, F. McGroarty "Coordination of Electric Vehicle Aggregators: A Coalitional Approach" In 17th International Conference on Autonomous Agents and Multiagent Systems (AAMAS 2018). ACM. (In Press).The historical OMIE m…
View article: Business Models for Crowd-driven IoT Ecosystems: A Review
Business Models for Crowd-driven IoT Ecosystems: A Review Open
Today’s networked society is populated by complex business ecosystems that have moved away from the centralised firm-centric structure to a more distributed, crowd-driven ecosystem structure that adopts an open participatory value creation…
View article: Stylized facts of intraday precious metals
Stylized facts of intraday precious metals Open
This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as …