Report NEP-FMK-2022-07-18

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:

• Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
• Giorgio Costa & Garud N. Iyengar, 2022. "Distributionally Robust End-to-End Portfolio Construction," Papers 2206.05134, arXiv.org.
• Naz Koont & Yiming Ma & Lubos Pastor & Yao Zeng, 2022. "Steering a Ship in Illiquid Waters: Active Management of Passive Funds," NBER Working Papers 30039, National Bureau of Economic Research, Inc.
• Huifang Huang & Ting Gao & Yi Gui & Jin Guo & Peng Zhang, 2022. "Stock Trading Optimization through Model-based Reinforcement Learning with Resistance Support Relative Strength," Papers 2205.15056, arXiv.org.
• Damian Kisiel & Denise Gorse, 2022. "Portfolio Transformer for Attention-Based Asset Allocation," Papers 2206.03246, arXiv.org.
• Luciano Somoza & Antoine Didisheim, 2022. "The End of the Crypto-Diversification Myth," Swiss Finance Institute Research Paper Series 22-53, Swiss Finance Institute.
• Afees A. Salisu & Riza Demirer & Rangan Gupta, 2022. "Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality," Working Papers 202232, University of Pretoria, Department of Economics.
• David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
• Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2022. "The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys," NBER Working Papers 30089, National Bureau of Economic Research, Inc.