Report NEP-FMK-2014-02-08This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Durham, J. Benson, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
- Yavni Bar-Yam & Marcus A. M. de Aguiar & Yaneer Bar-Yam, 2014. "The $500.00 AAPL close: Manipulation or hedging? A quantitative analysis," Papers 1402.0910, arXiv.org.
- Ovidiu Racorean, 2014. "Crossing Stocks and the Positive Grassmannian I: The Geometry behind Stock Market," Papers 1402.1281, arXiv.org, revised Feb 2014.
- Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Pricing Default Risk: The Good, The Bad, and The Anomaly," MPRA Paper 53373, University Library of Munich, Germany.
- Sebastian Poledna & Stefan Thurner, 2014. "Elimination of systemic risk in financial networks by means of a systemic risk transaction tax," Papers 1401.8026, arXiv.org, revised Feb 2016.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
- Durham, J. Benson, 2013. "More on U.S. Treasury term premiums: spot and expected measures," Staff Reports 658, Federal Reserve Bank of New York, revised 01 May 2014.
- Enrico Onali & John Goddard, 2014. "Are European equity markets efficient? New evidence from fractal analysis," Papers 1402.1440, arXiv.org.
- F. Y. Ouyang & B. Zheng & X. F. Jiang, 2014. "Spatial and temporal structures of four financial markets in Greater China," Papers 1402.1046, arXiv.org.
- El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
- Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.