Printed from https://ideas.repec.org/n/nep-fmk/2021-06-28.html
Report NEP-FMK-2021-06-28
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:
- Bo Becker & Efraim Benmelech, 2021, "The Resilience of the U.S. Corporate Bond Market During Financial Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 28868, May.
- Ahmet Goncu, 2021, "Effects of Covid-19 Pandemic on Chinese Commodity Futures Markets," Papers, arXiv.org, number 2106.09250, Jun.
- Kamaladdin Fataliyev & Aneesh Chivukula & Mukesh Prasad & Wei Liu, 2021, "Stock Market Analysis with Text Data: A Review," Papers, arXiv.org, number 2106.12985, Jun, revised Jul 2021.
- Jaydip Sen & Sidra Mehtab, 2021, "Design and Analysis of Robust Deep Learning Models for Stock Price Prediction," Papers, arXiv.org, number 2106.09664, Jun.
- Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021, "On the "mementum" of Meme Stocks," Papers, arXiv.org, number 2106.03691, Jun.
- Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021, "Diversified reward-risk parity in portfolio construction," Papers, arXiv.org, number 2106.09055, Jun, revised Sep 2022.
- Anders D. Sleire & B{aa}rd St{o}ve & H{aa}kon Otneim & Geir Drage Berentsen & Dag Tj{o}stheim & Sverre Hauso Haugen, 2021, "Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations," Papers, arXiv.org, number 2106.12425, Jun.
- Samuel Palmer & Serkan Sahin & Rodrigo Hernandez & Samuel Mugel & Roman Orus, 2021, "Quantum Portfolio Optimization with Investment Bands and Target Volatility," Papers, arXiv.org, number 2106.06735, Jun, revised Aug 2021.
- Liao Zhu & Haoxuan Wu & Martin T. Wells, 2021, "A News-based Machine Learning Model for Adaptive Asset Pricing," Papers, arXiv.org, number 2106.07103, Jun.
- Luca Merlo & Lea Petrella & Valentina Raponi, 2021, "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers, arXiv.org, number 2106.06518, Jun.
- Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021, "The link between Bitcoin and Google Trends attention," Papers, arXiv.org, number 2106.07104, Jun.
- Liping Yang, 2021, "Next-Day Bitcoin Price Forecast Based on Artificial intelligence Methods," Papers, arXiv.org, number 2106.12961, Jun.
- Roberto Mota Navarro & Paulino Monroy Castillero & Francois Leyvraz, 2021, "Time-dependent relations between gaps and returns in a Bitcoin order book," Papers, arXiv.org, number 2106.02187, Jun, revised Jun 2021.
- Beatrice Bertelli & Gianna Boero & Costanza Torricelli, 2021, "The market price of greenness A factor pricing approach for Green Bonds," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0083, Jun.
- Hengxu Lin & Dong Zhou & Weiqing Liu & Jiang Bian, 2021, "Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport," Papers, arXiv.org, number 2106.12950, Jun, revised Jun 2021.
- Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021, "Algorithmic market making in dealer markets with hedging and market impact," Papers, arXiv.org, number 2106.06974, Jun, revised Dec 2022.
- Katsafados, Apostolos G. & Leledakis, George N. & Pyrgiotakis, Emmanouil G. & Androutsopoulos, Ion & Fergadiotis, Manos, 2021, "Machine Learning in U.S. Bank Merger Prediction: A Text-Based Approach," MPRA Paper, University Library of Munich, Germany, number 108272, Jun.
- Sriya Anbil & Alyssa G. Anderson & Zeynep Senyuz, 2021, "Are Repo Markets Fragile? Evidence from September 2019," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-028, Apr, DOI: 10.17016/FEDS.2021.028.