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Report NEP-FMK-2023-08-28
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:
- Bryan T. Kelly & Dacheng Xiu, 2023, "Financial Machine Learning," NBER Working Papers, National Bureau of Economic Research, Inc, number 31502, Jul.
- Jana P. Fidrmuc & Tereza Tykvova, 2023, "Are Acquirer Shareholders Happier when Their Industries Are Unhappy?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-52, Jun.
- Francesco D'Ercole & Alexander F. Wagner, 2023, "Green Stocks and the 2023 Banking Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-58, Jul.
- Thorsten Hens & Ester Trutwin, 2023, "Modelling Sustainable Investing in the CAPM," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-56, Jun.
- Ivan Letteri, 2023, "VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning," Papers, arXiv.org, number 2307.13422, Jul, revised Aug 2023.
- Dong Huang & William N. Goetzmann, 2023, "Selection-Neglect in the NFT Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 31498, Jul.
- Damian Ślusarczyk & Robert Ślepaczuk, 2023, "Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-17.
- Francesco Mandelli & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023, "Reinforcement Learning for Credit Index Option Hedging," Papers, arXiv.org, number 2307.09844, Jul.
- Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023, "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports, Federal Reserve Bank of New York, number 1070, Aug, DOI: 10.59576/sr.1070.
- Varun Sangwan & Vishesh Kumar Singh & Bibin Christopher V, 2023, "Contrasting the efficiency of stock price prediction models using various types of LSTM models aided with sentiment analysis," Papers, arXiv.org, number 2307.07868, Jul.
- Willem THORBECKE, 2023, "The Impact of Monetary Policy on the U.S. Stock Market since the Pandemic," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 23054, Jul.
- Jabir Sandhu & Rishi Vala, 2023, "Do hedge funds support liquidity in the Government of Canada bond market?," Staff Analytical Notes, Bank of Canada, number 2023-11, Jul, DOI: 10.34989/san-2023-11.
- Philippe Loyson & Rianne Luijendijk & Sweder van Wijnbergen, 2023, "The pricing of climate transition risk in Europe’s equity market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-041/IV, Jul.