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Report NEP-FMK-2020-01-13
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:
- Rodrigo De-Losso & Elias Cavalcante Filho, José Carlos de Souza Santos, 2019, "What are the risk factors relevant to investors? Evidence from the Brazilian Funds Market," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_52, Dec.
- Naji Massad & Jørgen Vitting Andersen, 2019, "Defining an intrinsic "stickiness" parameter of stock price returns," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19028, Oct.
- Rohan Arora & Sébastien Betermier & Guillaume Ouellet Leblanc & Adriano Palumbo & Ryan Shotlander, 2019, "Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash," Staff Analytical Notes, Bank of Canada, number 2019-34, Dec, DOI: 10.34989/san-2019-34.
- Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019, "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers, arXiv.org, number 1912.06426, Dec.
- Aditya Maheshwari & Traian Pirvu, 2019, "Portfolio Optimization under Correlation Constraint," Papers, arXiv.org, number 1912.12521, Dec.
- Nick James & Max Menzies & Jennifer Chan, 2019, "Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19," Papers, arXiv.org, number 1912.06193, Dec, revised Nov 2020.
- Abootaleb Shirvani & Frank J. Fabozzi & Stoyan V. Stoyanov, 2020, "Option Pricing in an Investment Risk-Return Setting," Papers, arXiv.org, number 2001.00737, Jan.
- Somayeh Kokabisaghi & Mohammadesmaeil Ezazi & Reza Tehrani & Nourmohammad Yaghoubi, 2019, "Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices," Papers, arXiv.org, number 1912.04015, Dec, revised Sep 2020.
- Aniruddha Dutta & Saket Kumar & Meheli Basu, 2019, "A Gated Recurrent Unit Approach to Bitcoin Price Prediction," Papers, arXiv.org, number 1912.11166, Dec.
- Rodrigo Barbone Gonzalez & Dmitry Khametshin & RJose-Luis Peydro & Andrea Polo, 2019, "Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit and Global Financial Cycles," BIS Working Papers, Bank for International Settlements, number 832, Dec.
- Leonardo Gambacorta & Yiping Huang & Han Qiu & Jingyi Wang, 2019, "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," BIS Working Papers, Bank for International Settlements, number 834, Dec.
- Raffaele Gallo, 2019, "The loan cost advantage of public firms and financial market conditions: evidence from the European syndicated loan market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1255, Dec.
- Tharinee Pongsupatt & Apichat Pongsupatt, 2019, "Factors Affecting Stock Price: The Case of Thailand Stock Exchange SET 100 Index," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 9711711, Oct.