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Report NEP-FMK-2022-11-07
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:
- Ashby, M. & Linton, O. B., 2022, "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2259, Oct.
- António Afonso & Krzysztof Beck & Karen Jackson, 2022, "Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting," CESifo Working Paper Series, CESifo, number 9956.
- Marshall R. McCraw, 2022, "Multiclass Sentiment Prediction for Stock Trading," Papers, arXiv.org, number 2210.00870, Sep.
- Mariia Kosar & Sergei Mikhalishchev, 2022, "Inattentive Price Discovery in ETFs," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp735, Sep.
- Fornari, Fabio & Zaghini, Andrea, 2022, "It’s not time to make a change: sovereign fragility and the corporate credit risk," Working Paper Series, European Central Bank, number 2740, Oct.
- Naseh Majidi & Mahdi Shamsi & Farokh Marvasti, 2022, "Algorithmic Trading Using Continuous Action Space Deep Reinforcement Learning," Papers, arXiv.org, number 2210.03469, Oct.
- Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2022, "Stock Volatility Prediction using Time Series and Deep Learning Approach," Papers, arXiv.org, number 2210.02126, Oct.
- Ivan Letteri & Giuseppe Della Penna & Giovanni De Gasperis & Abeer Dyoub, 2022, "DNN-ForwardTesting: A New Trading Strategy Validation using Statistical Timeseries Analysis and Deep Neural Networks," Papers, arXiv.org, number 2210.11532, Oct.
- Hui Niu & Siyuan Li & Jian Li, 2022, "MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization," Papers, arXiv.org, number 2210.01774, Sep.
- Miguel Sarmiento, 2022, "Sudden Yield Reversals and Financial Intermediation in Emerging Markets," Borradores de Economia, Banco de la Republica de Colombia, number 1210, Oct, DOI: 10.32468/be.1210.
- Helena Chuliá & Jorge A. Muñoz-Mendoza & Jorge M. Uribe, 2022, ""Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202216, Oct, revised Oct 2022.
- Ozili, Peterson K, 2022, "Decentralised finance and cryptocurrency activity in Africa," MPRA Paper, University Library of Munich, Germany, number 114710, Sep.