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Report NEP-FMK-2022-08-22
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:
- Dimitrios Vamvourellis & Mate Attila Toth & Dhruv Desai & Dhagash Mehta & Stefano Pasquali, 2022, "Learning Mutual Fund Categorization using Natural Language Processing," Papers, arXiv.org, number 2207.04959, Jul.
- Jimei Shen & Zhehu Yuan & Yifan Jin, 2022, "AlphaMLDigger: A Novel Machine Learning Solution to Explore Excess Return on Investment," Papers, arXiv.org, number 2206.11072, Jun, revised Dec 2022.
- Charl Maree & Christian W. Omlin, 2022, "Balancing Profit, Risk, and Sustainability for Portfolio Management," Papers, arXiv.org, number 2207.02134, Jun.
- Jungyu Ahn & Sungwoo Park & Jiwoon Kim & Ju-hong Lee, 2022, "Reinforcement Learning Portfolio Manager Framework with Monte Carlo Simulation," Papers, arXiv.org, number 2207.02458, Jul.
- Joseph Jerome & Gregory Palmer & Rahul Savani, 2022, "Market Making with Scaled Beta Policies," Papers, arXiv.org, number 2207.03352, Jul, revised Sep 2022.
- M. Shadmangohar & S. M. S. Movahed, 2022, "Clustering of Excursion Sets in Financial Market," Papers, arXiv.org, number 2207.03221, Jul.
- Dimitris Malliaropulos & Petros Migiakis, 2022, "A global monetary policy factor in sovereign bond yields," Working Papers, Bank of Greece, number 301, Jul, DOI: 10.52903/wp2022301.
- Neuhierl, Andreas & Tang, Xiaoxiao & Varneskov, Rasmus Tangsgaard & Zhou, Guofu, 2022, "Option characteristics as cross-sectional predictors," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 37.
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022, "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp730, Jun.
- Rodrigo Alfaro & Alejandra Inzunza, 2022, "Modeling S&P500 returns with GARCH models," Working Papers Central Bank of Chile, Central Bank of Chile, number 955, May.
- Federico Mecchia & Marcellino Gaudenzi, 2022, "The dynamics of the prices of the companies of the STOXX Europe 600 Index through the logit model and neural network," Papers, arXiv.org, number 2206.09899, Jun.