Report NEP-FMK-2025-06-30

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:

• Kirilenko, A. & Kraus, W. & Linton, O. B. & Xiao, M., 2025. "ETF (Mis)pricing," Cambridge Working Papers in Economics 2537, Faculty of Economics, University of Cambridge.
• Daniel Barth & Stacey L. Schreft, 2025. "Black Swans and Financial Stability: A Framework for Building Resilience," Finance and Economics Discussion Series 2025-043, Board of Governors of the Federal Reserve System (U.S.).
• Sukru Selim Calik & Andac Akyuz & Zeynep Hilal Kilimci & Kerem Colak, 2025. "Explainable-AI powered stock price prediction using time series transformers: A Case Study on BIST100," Papers 2506.06345, arXiv.org.
• Dangxing Chen, 2025. "Explaining Risks: Axiomatic Risk Attributions for Financial Models," Papers 2506.06653, arXiv.org.
• Carole Comerton-Forde & Billy Ford & Thierry Foucault & Simon Jurkatis, 2025. "Investors as a liquidity backstop in corporate bond markets," Bank of England working papers 1126, Bank of England.
• Cascino, Stefano & Széles, Máté & Veenman, David, 2025. "Does CEO inside debt really improve financial reporting quality?," LSE Research Online Documents on Economics 128078, London School of Economics and Political Science, LSE Library.
• Martijn Boermans, 2025. "Hedging against inflation: International evidence on investor clientele effects in the bond market," Working Papers 838, DNB.
• Zheng Cao & Wanchaloem Wunkaew & Helyette Geman, 2025. "The Hype Index: an NLP-driven Measure of Market News Attention," Papers 2506.06329, arXiv.org.
• Mihai Cucuringu & Kang Li & Chao Zhang, 2025. "Forecasting Intraday Volume in Equity Markets with Machine Learning," Papers 2505.08180, arXiv.org.
• Duy-Minh Dang & Chang Chen, 2025. "Multi-period Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization," Papers 2505.22121, arXiv.org, revised Jun 2025.
• Cristian Chica & Yinglong Guo & Gilad Lerman, 2025. "Competition and Collusion in Two-Sided Markets with an Outside Option," Papers 2505.06109, arXiv.org.
• Tsvetelina Nenova & Andreas Schrimpf & Hyun Song Shin, 2025. "Global portfolio investments and FX derivatives," BIS Working Papers 1273, Bank for International Settlements.
• Eleni Gousgounis & Scott Mixon & Tugkan Tuzun & Clara Vega, 2025. "Market Liquidity in Treasury Futures Market During March 2020," Finance and Economics Discussion Series 2025-038, Board of Governors of the Federal Reserve System (U.S.).