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Report NEP-FMK-2021-03-15
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:
- Jacky Lin & Genevieve C. Selden & John B. Shoven & Clemens Sialm, 2021, "Replicating the Dow Jones Industrial Average," NBER Working Papers, National Bureau of Economic Research, Inc, number 28528, Mar.
- Di Muzio, Tim, 2021, "GameStop Capitalism. Wall Street vs. The Reddit Rally (Part I)," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 229951.
- Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021, "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers, Bank for International Settlements, number 921, Jan.
- Nassim Dehouche, 2021, "Scale matters: The daily, weekly and monthly volatility and predictability of Bitcoin, Gold, and the S&P 500," Papers, arXiv.org, number 2103.00395, Feb.
- Tobias Dieler & Loriano Mancini & Norman Schürhoff, 2021, "(In)efficient repo markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-10, Feb.
- M. Avellaneda & T. N. Li & A. Papanicolaou & G. Wang, 2021, "Trading Signals In VIX Futures," Papers, arXiv.org, number 2103.02016, Mar, revised Nov 2021.
- Charles Smith & Peter Van Tassel, 2021, "The Law of One Price in Equity Volatility Markets," Liberty Street Economics, Federal Reserve Bank of New York, number 20210201, Feb.
- Geoffrey Ducournau, 2021, "Stock market's physical properties description based on Stokes law," Papers, arXiv.org, number 2103.00721, Feb.
- Henri Fraisse & Matthias Laporte, 2021, "Return on Investment on AI: The Case of Capital Requirement," Working papers, Banque de France, number 809.
- Charles Smith & Peter Van Tassel, 2021, "Equity Volatility Term Premia," Liberty Street Economics, Federal Reserve Bank of New York, number 20210203, Feb.
- Spilak, Bruno & Härdle, Wolfgang Karl, 2020, "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-015.
- Philippe van der Beck & Coralie Jaunin, 2021, "The Equity Market Implications of the Retail Investment Boom," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-12, Feb.
- Jérémy Fouliard & Michael Howell & Hélène Rey, 2021, "Answering the Queen: Machine learning and financial crises," BIS Working Papers, Bank for International Settlements, number 926, Feb.
- Ateeb Akhter Shah Syed & Kaneez Fatima, 2021, "The Impact of COVID-19 on Stock Market Volatility in Pakistan," Papers, arXiv.org, number 2103.03219, Feb.