Report NEP-FMK-2025-09-15

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:

• Mateusz Wilinski & Juho Kanniainen, 2025. "Prospects of Imitating Trading Agents in the Stock Market," Papers 2509.00982, arXiv.org.
• Luo, Wenwen & Paczos, Wojtek, 2025. "The Impact of China's Zero-COVID Policy on Stock Returns," Cardiff Economics Working Papers E2025/16, Cardiff University, Cardiff Business School, Economics Section.
• Philippe Bergault & S'ebastien Bieber & Olivier Gu'eant & Wenkai Zhang, 2025. "Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market," Papers 2509.03964, arXiv.org.
• Vassilios Babalos & Geoffrey M. Ngene & Rangan Gupta & Elie Bouri, 2025. "Herding Spillover Effects in US REIT Sectors," Working Papers 202531, University of Pretoria, Department of Economics.
• Sourish Das, 2025. "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers 2506.17549, arXiv.org.
• Maciej Wysocki, 2025. "Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options," Papers 2508.16598, arXiv.org.
• Igor Halperin, 2025. "Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers," Papers 2509.02941, arXiv.org.
• Ayca Topaloglu-Bozkurt & Tuba Pelin Sumer & Suheyla Ozyildirim, 2025. "Banks’ Cross-Border Borrowing and Currency Shock: Evidence from an Emerging Economy," Working Papers 2513, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Jonas Heim & Thomas Nitschka, 2025. "On the carbon premium in Swiss stock returns," Working Papers 2025-13, Swiss National Bank.
• Chandradew Sharma, 2025. "Multi Scale Analysis of Nifty 50 Return Characteristics Valuation Dynamics and Market Complexity 1990 to 2024," Papers 2509.00697, arXiv.org.
• Paulo Andr'e Lima de Castro, 2025. "AlphaX: An AI-Based Value Investing Strategy for the Brazilian Stock Market," Papers 2508.13429, arXiv.org.