Report NEP-FMK-2025-09-01

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:

• Orhan Erdem & Ragavi Pobbathi Ashok, 2025. "Artificial Finance: How AI Thinks About Money," Papers 2507.10933, arXiv.org.
• Paul Glasserman & Kriste Krstovski & Paul Laliberte & Harry Mamaysky, 2025. "Does Overnight News Explain Overnight Returns?," Papers 2507.04481, arXiv.org.
• Guilherme V. Moura & Andr'e P. Santos & Hudson S. Torrent, 2025. "Variable selection for minimum-variance portfolios," Papers 2508.14986, arXiv.org.
• Tianjiao Zhao & Jingrao Lyu & Stokes Jones & Harrison Garber & Stefano Pasquali & Dhagash Mehta, 2025. "AlphaAgents: Large Language Model based Multi-Agents for Equity Portfolio Constructions," Papers 2508.11152, arXiv.org.
• Can Gao & Brandon Yueyang Han, 2025. "When No News is Good News: Multidimensional Heterogeneous Beliefs in Financial Markets," Swiss Finance Institute Research Paper Series 25-61, Swiss Finance Institute.
• Rehim Kılıç, 2025. "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series 2025-061, Board of Governors of the Federal Reserve System (U.S.).
• Qizhao Chen, 2025. "Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies," Papers 2508.16378, arXiv.org.
• Theodore Kapopoulos & Dimitrios Anastasiou & Steven Ongena & Athanasios Sakkas, 2025. "Geopolitical Risk and Domestic Bank Deposits," Swiss Finance Institute Research Paper Series 25-64, Swiss Finance Institute.
• Ivan Letteri, 2025. "A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books," Papers 2507.14960, arXiv.org.
• Ca' Zorzi, Michele & Manu, Ana-Simona & Lopardo, Gianluigi, 2025. "Verba volant, transcripta manent: what corporate earnings calls reveal about the AI stock rally," Working Paper Series 3093, European Central Bank.
• Biswarup Chakraborty, 2025. "Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy," Papers 2508.03704, arXiv.org.
• Philippe Bacchetta & J. Scott Davis & Eric van Wincoop, 2025. "Dollar Funding Fragility and non-US Global Banks," Swiss Finance Institute Research Paper Series 25-65, Swiss Finance Institute.
• Diego Vallarino, 2025. "Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting," Papers 2508.02686, arXiv.org.