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Report NEP-FMK-2021-08-16
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:
- Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2021, "Momentum-managed equity factors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 317, DOI: 10.2139/ssrn.3423287.
- Xia Han & Bin Wang & Ruodu Wang & Qinyu Wu, 2021, "Risk Concentration and the Mean-Expected Shortfall Criterion," Papers, arXiv.org, number 2108.05066, Aug, revised Apr 2022.
- Yang Bai & Kuntara Pukthuanthong, 2021, "Machine Learning Classification and Portfolio Allocation: with Implications from Machine Uncertainty," Papers, arXiv.org, number 2108.02283, Aug, revised Jul 2025.
- Qinkai Chen & Christian-Yann Robert, 2021, "Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data," Papers, arXiv.org, number 2107.10941, Jul, revised Dec 2021.
- Häusler, Konstantin & Xia, Hongyu, 2021, "Indices on cryptocurrencies: An evaluation," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-014.
- Peter Akioyamen & Yi Zhou Tang & Hussien Hussien, 2021, "A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets," Papers, arXiv.org, number 2108.05801, Aug.
- Zhaolu Dong & Shan Huang & Simiao Ma & Yining Qian, 2021, "Factor Representation and Decision Making in Stock Markets Using Deep Reinforcement Learning," Papers, arXiv.org, number 2108.01758, Aug.
- Eghbal Rahimikia & Stefan Zohren & Ser-Huang Poon, 2021, "Realised Volatility Forecasting: Machine Learning via Financial Word Embedding," Papers, arXiv.org, number 2108.00480, Aug, revised Jan 2026.
- Stéphane Robin & Katerina Straznicka & Marie Claire Villeval, 2021, "Bubbles and incentives: an experiment on asset markets," Post-Print, HAL, number halshs-03033454, DOI: 10.1080/20954816.2020.1839158.
- Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021, "Lighting up the dark: Liquidity in the German corporate bond market," Discussion Papers, Deutsche Bundesbank, number 21/2021.
- Jaydip Sen & Sidra Mehtab, 2021, "Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market," Papers, arXiv.org, number 2107.11371, Jul.