Printed from https://ideas.repec.org/n/nep-fmk/2022-03-07.html
Report NEP-FMK-2022-03-07
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:
- Taylan Kabbani & Fatih Enes Usta, 2022, "Predicting The Stock Trend Using News Sentiment Analysis and Technical Indicators in Spark," Papers, arXiv.org, number 2201.12283, Jan.
- Ron Kaniel & Zihan Lin & Markus Pelger & Stijn Van Nieuwerburgh, 2022, "Machine-Learning the Skill of Mutual Fund Managers," NBER Working Papers, National Bureau of Economic Research, Inc, number 29723, Feb.
- Carmina Fjellstrom, 2022, "Long Short-Term Memory Neural Network for Financial Time Series," Papers, arXiv.org, number 2201.08218, Jan.
- Nikolas Michael & Mihai Cucuringu & Sam Howison, 2022, "Option Volume Imbalance as a predictor for equity market returns," Papers, arXiv.org, number 2201.09319, Jan.
- Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier, 2022, "Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes," Papers, arXiv.org, number 2202.00793, Feb.
- Jan Rosenzweig, 2022, "Fat Tails and Optimal Liability Driven Portfolios," Papers, arXiv.org, number 2201.10846, Jan, revised Apr 2023.
- Ivan Letteri & Giuseppe Della Penna & Giovanni De Gasperis & Abeer Dyoub, 2022, "A Stock Trading System for a Medium Volatile Asset using Multi Layer Perceptron," Papers, arXiv.org, number 2201.12286, Jan.
- Minheng Xiao, 2022, "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers, arXiv.org, number 2201.09434, Jan, revised Dec 2024.
- Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022, "Global production linkages and stock market co-movement," BIS Working Papers, Bank for International Settlements, number 1003, Feb.
- Item repec:pri:econom:2021-5 is not listed on IDEAS anymore
- Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2022, "Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Model," Papers, arXiv.org, number 2202.02723, Feb.
- Jaydip Sen & Sidra Mehtab & Abhishek Dutta & Saikat Mondal, 2022, "Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks," Papers, arXiv.org, number 2202.02728, Feb.
- Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022, "Tail Risk of Electricity Futures," Papers, arXiv.org, number 2202.01732, Feb.