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Report NEP-FMK-2024-11-04
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:
- Ruslan Goyenko & Bryan T. Kelly & Tobias J. Moskowitz & Yinan Su & Chao Zhang, 2024, "Trading Volume Alpha," NBER Working Papers, National Bureau of Economic Research, Inc, number 33037, Oct.
- Simon Levy & Maxime L. D. Nicolas, 2024, "Modern Portfolio Diversification with Arte-Blue Chip Index," Papers, arXiv.org, number 2409.18816, Sep.
- Konark Jain & Jean-Franc{c}ois Muzy & Jonathan Kochems & Emmanuel Bacry, 2024, "No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books," Papers, arXiv.org, number 2410.08744, Oct, revised Aug 2025.
- Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024, "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers, arXiv.org, number 2409.17182, Sep.
- Klodiana Istrefi & Florens Odendahl & Giulia Sestieri, 2024, "ECB communication and its impact on financial markets," Working Papers, Banco de España, number 2431, Oct, DOI: https://doi.org/10.53479/37792.
- Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta, 2024, "Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective," Working Papers, University of Pretoria, Department of Economics, number 202444, Oct.
- Japheth Torsar Jev, 2024, "Investigating the Impact of Sovereign Credit Rating Downgrade on the US Equity Market," Papers, arXiv.org, number 2409.18443, Sep.
- Sanjay Sathish & Charu C Sharma, 2024, "Leveraging RNNs and LSTMs for Synchronization Analysis in the Indian Stock Market: A Threshold-Based Classification Approach," Papers, arXiv.org, number 2409.06728, Aug.
- Berle, Erika & Jørgensen, Kjell & Ødegaard, Bernt Arne, 2024, "Is investment capital cheaper for green firms? Evidence from equity listings at Euronext - Oslo," UiS Working Papers in Economics and Finance, University of Stavanger, number 2024/1, Oct.