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Report NEP-FMK-2021-02-22
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:
- Marcello Esposito, 2021, "Stock marketsas a network: from description to inference," LIUC Papers in Economics, Cattaneo University (LIUC), number 2021-10, Feb.
- Marie Briere & Ariane Szafarz, 2021, "When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 21-002, Feb.
- Lenka Nechvatalova, 2021, "Multi-Horizon Equity Returns Predictability via Machine Learning," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/02, Feb, revised Feb 2021.
- Kumar Yashaswi, 2021, "Deep Reinforcement Learning for Portfolio Optimization using Latent Feature State Space (LFSS) Module," Papers, arXiv.org, number 2102.06233, Feb.
- Zihao Zhang & Bryan Lim & Stefan Zohren, 2021, "Deep Learning for Market by Order Data," Papers, arXiv.org, number 2102.08811, Feb, revised Jul 2021.
- Friedhelm Victor & Andrea Marie Weintraud, 2021, "Detecting and Quantifying Wash Trading on Decentralized Cryptocurrency Exchanges," Papers, arXiv.org, number 2102.07001, Feb.
- T. Takaishi, 2021, "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers, arXiv.org, number 2102.08187, Feb.
- Alexis Stenfors & Masayuki Susai, 2021, "Stealth Trading in FX Markets," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2021-02, Feb.
- Oleg Szehr, 2021, "Hedging of Financial Derivative Contracts via Monte Carlo Tree Search," Papers, arXiv.org, number 2102.06274, Feb, revised Apr 2021.
- Julia Kielmann & Hans Manner & Aleksey Min, 2021, "Stock Market Returns and Oil Price Shocks: A CoVaR Analysis based on Dynamic Vine Copula Models," Graz Economics Papers, University of Graz, Department of Economics, number 2021-01, Jan.
- Mark Antal & Lorant Kaszab, 2021, "Spillover Effects of the European Central Bank's Expanded Asset Purchase Program to Non-eurozone Countries in Central and Eastern Europe," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2021/140.
- Mathieu Simoens & Rudi Vander Vennet, 2021, "Does diversification protect European banks' market valuation in a pandemic?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1009, Feb.
- Riza Demirer & Rangan Gupta & He Li & Yu You, 2021, "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers, University of Pretoria, Department of Economics, number 202112, Feb.
- Linh, Nguyen Thuy, 2021, "The Impact of the Bank of Japan’s Exchange Traded Fund and Corporate Bond Purchases on Firms’ Capital Structure," RCESR Discussion Paper Series, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University, number DP21-1, Jan.
- Oguzhan Cepni & Selcuk Gul & Muhammed Hasan Yilmaz & Brian Lucey, 2021, "The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2104.