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Report NEP-FMK-2020-02-10
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:
- Michael Junho Lee & Antoine Martin, 2020, "How Does Information Affect Liquidity in Over-the-Counter Markets?," Liberty Street Economics, Federal Reserve Bank of New York, number 20200113, Jan.
- Naji Massad & Jørgen Vitting Andersen, 2019, "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print, HAL, number halshs-02385901, Oct.
- Mehmet Caner & Marcelo Medeiros & Gabriel Vasconcelos, 2020, "Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models," Papers, arXiv.org, number 2002.01800, Feb, revised Feb 2022.
- Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2019, "A Mixed Frequency Approach for Stock Returns and Valuation Ratios," Discussion Paper Series, Department of Economics, University of Macedonia, number 2019_08, Nov, revised Nov 2019.
- Abootaleb Shirvani & Frank J. Fabozzi, 2020, "Choosing the Right Return Distribution and the Excess Volatility Puzzle," Papers, arXiv.org, number 2001.08865, Jan.
- Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019, "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp651, Dec.
- Sebastien Valeyre, 2020, "Refined model of the covariance/correlation matrix between securities," Papers, arXiv.org, number 2001.08911, Jan.
- Hans Buehler & Lukas Gonon & Josef Teichmann & Ben Wood & Baranidharan Mohan & Jonathan Kochems, 2019, "Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-80, May.
- Silvia Marchesi & Tania Masi, 2020, "The price of haircuts: private and official default," Development Working Papers, Centro Studi Luca d'Agliano, University of Milano, number 460, Feb, revised 06 Feb 2020.
- Sidra Mehtab & Jaydip Sen, 2020, "Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseries," Papers, arXiv.org, number 2001.09769, Jan.
- Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2019, "Winners and losers from Sovereign debt inflows: evidence from the stock market," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1693, Dec.
- Louis Abraham & Dominique Guegan, 2019, "The other side of the Coin: Risks of the Libra Blockchain," Post-Print, HAL, number halshs-02325808, Oct.
- Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020, "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2020-04, Jan.