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Report NEP-FMK-2019-08-19
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Tomohiro Ando & Jushan Bai & Mitohide Nishimura & Jun Yu, 2019, "A Quantile-based Asset Pricing Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 15-2019, Jul.
- Thomas Conlon & John Cotter & Chenglu Jin, 2019, "Co-skewness across Return Horizons," Working Papers, Geary Institute, University College Dublin, number 201910, Jul.
- Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019, "The Value of Intermediation in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 26147, Aug.
- Alvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2019, "Hedging Non-Tradable Risks with Transaction Costs and Price Impact," Papers, arXiv.org, number 1908.00054, Jul, revised Mar 2020.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019, "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers, University of Graz, Department of Economics, number 2019-06, Aug.
- Xinyi Li & Yinchuan Li & Xiao-Yang Liu & Christina Dan Wang, 2019, "Risk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm Stock Prediction," Papers, arXiv.org, number 1908.01112, Aug.
- Philippe Bracke & Anupam Datta & Carsten Jung & Shayak Sen, 2019, "Machine learning explainability in finance: an application to default risk analysis," Bank of England working papers, Bank of England, number 816, Aug.
- Corsetti, G. & Lafarguette, R. & Mehl, A., 2019, "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1970, Aug.
- Milo Bianchi & Philippe Jehiel, 2019, "Bundling, Belief Dispersion, and Mispricing in Financial Markets," PSE Working Papers, HAL, number halshs-02183306, Jul.
- Elias Cavalcante-Filho, Fernando Chague, Rodrigo De Losso, Bruno Giovannetti, 2019, "US Risk Premia under Emerging Markets Constraints," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_28, Jul.
- David Mallaburn & Matt Roberts-Sklar & Laura Silvestri, 2019, "Resilience of trading networks: evidence from the sterling corporate bond market," Bank of England working papers, Bank of England, number 813, Aug.
- Jean-Sébastien Fontaine & Jabir Sandhu & Adrian Walton, 2019, "Relative Value of Government of Canada Bonds," Staff Analytical Notes, Bank of Canada, number 2019-23, Aug, DOI: 10.34989/san-2019-23.
- Camilleri, Silvio John & Galea, Francelle, 2019, "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper, University Library of Munich, Germany, number 95298.
- Breunig, Christoph & Huck, Steffen & Schmidt, Tobias & Weizsäcker, Georg, 2019, "The Standard Portfolio Choice Problem in Germany," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 171, Jul.
- Yang Mestre-Zhou, 2019, "Reforms’ Effects on Chinese stock markets world integration - An Empirical analysis with t-DCCGARCH model," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 19-06, Aug.