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. Kwang Soo Cheong issued this report. It is usually issued weekly.

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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 2021-10, Cattaneo University (LIUC).
• Marie Briere & Ariane Szafarz, 2021. "When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times," Working Papers CEB 21-002, ULB -- Universite Libre de Bruxelles.
• Lenka Nechvatalova, 2021. "Multi-Horizon Equity Returns Predictability via Machine Learning," Working Papers IES 2021/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2021.
• Kumar Yashaswi, 2021. "Deep Reinforcement Learning for Portfolio Optimization using Latent Feature State Space (LFSS) Module," Papers 2102.06233, arXiv.org.
• Zihao Zhang & Bryan Lim & Stefan Zohren, 2021. "Deep Learning for Market by Order Data," Papers 2102.08811, arXiv.org, revised Jul 2021.
• Friedhelm Victor & Andrea Marie Weintraud, 2021. "Detecting and Quantifying Wash Trading on Decentralized Cryptocurrency Exchanges," Papers 2102.07001, arXiv.org.
• T. Takaishi, 2021. "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers 2102.08187, arXiv.org.
• Alexis Stenfors & Masayuki Susai, 2021. "Stealth Trading in FX Markets," Working Papers in Economics & Finance 2021-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
• Oleg Szehr, 2021. "Hedging of Financial Derivative Contracts via Monte Carlo Tree Search," Papers 2102.06274, arXiv.org, 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 2021-01, University of Graz, Department of Economics.
• 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 2021/140, Magyar Nemzeti Bank (Central Bank of Hungary).
• 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 21/1009, Ghent University, Faculty of Economics and Business Administration.
• Riza Demirer & Rangan Gupta & He Li & Yu You, 2021. "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers 202112, University of Pretoria, Department of Economics.
• 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 DP21-1, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University.
• Oguzhan Cepni & Selcuk Gul & Muhammed Hasan Yilmaz & Brian Lucey, 2021. "The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve," Working Papers 2104, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.