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Report NEP-FMK-2020-02-03
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:
- Valerio Volpati & Michael Benzaquen & Zoltan Eisler & Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2020, "Zooming In on Equity Factor Crowding," Papers, arXiv.org, number 2001.04185, Jan.
- Habib, Maurizio Michael & Stracca, Livio & Venditti, Fabrizio, 2020, "The fundamentals of safe assets," Working Paper Series, European Central Bank, number 2355, Jan.
- Alev Meral, 2019, "Comparison of various risk measures for an optimal portfolio," Papers, arXiv.org, number 1912.09573, Dec.
- Thomas Gomez & Giulia Piccillo, 2019, "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series, CESifo, number 8003.
- Ian Martin & Stefan Nagel, 2019, "Market Efficiency in the Age of Big Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 26586, Dec.
- Boyue Fang & Yutong Feng, 2019, "Design of High-Frequency Trading Algorithm Based on Machine Learning," Papers, arXiv.org, number 1912.10343, Dec.
- Thanasis Stengos & Theodore Panagiotidis & Orestis Vravosinos, 2020, "A principal component-guided sparse regression approach for the determination of bitcoin returns," Working Papers, University of Guelph, Department of Economics and Finance, number 2001.
- Ofelia Bonesini & Antoine Jacquier & Chloe Lacombe, 2020, "A theoretical analysis of Guyon's toy volatility model," Papers, arXiv.org, number 2001.05248, Jan, revised Nov 2022.
- Zineb Lanbouri & Saaid Achchab, 2020, "A new approach for trading based on Long Short Term Memory technique," Papers, arXiv.org, number 2001.03333, Jan.
- Jianhao Su, 2020, "Corporate Governance, Noise Trading and Liquidity of Stocks," Papers, arXiv.org, number 2001.06275, Jan.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2019, "The U.S. Public Debt Valuation Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 26583, Dec.
- Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020, "Oil price uncertainty as a predictor of stock market volatility," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 26566, Jan.
- Gifty Malhotra & R. Srivastava & H. C. Taneja, 2019, "Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model," Papers, arXiv.org, number 1912.10640, Dec.
- Joana Almeida & Raquel M. Gaspar, 2020, "Accuracy of European Stock Target Prices," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2020/0115, Jan.
- Tevdovski, Dragan & Stojkoski, Viktor, 2020, "What is behind extreme negative returns co-movement in the South Eastern European stock markets?," MPRA Paper, University Library of Munich, Germany, number 98227, Jan.
- Raphaëlle BELLANDO & Laura-Dona CAPOTA & Sébastien GALANTI, 2019, "The impact of return shocks on mutual funds’ flows: an empirical study of French bond mutual funds," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2730.