Report NEP-FMK-2020-02-03

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:

• Valerio Volpati & Michael Benzaquen & Zoltan Eisler & Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2020. "Zooming In on Equity Factor Crowding," Papers 2001.04185, arXiv.org.
• Habib, Maurizio Michael & Stracca, Livio & Venditti, Fabrizio, 2020. "The fundamentals of safe assets," Working Paper Series 2355, European Central Bank.
• Alev Meral, 2019. "Comparison of various risk measures for an optimal portfolio," Papers 1912.09573, arXiv.org.
• Thomas Gomez & Giulia Piccillo, 2019. "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series 8003, CESifo.
• Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," NBER Working Papers 26586, National Bureau of Economic Research, Inc.
• Boyue Fang & Yutong Feng, 2019. "Design of High-Frequency Trading Algorithm Based on Machine Learning," Papers 1912.10343, arXiv.org.
• Thanasis Stengos & Theodore Panagiotidis & Orestis Vravosinos, 2020. "A principal component-guided sparse regression approach for the determination of bitcoin returns," Working Papers 2001, University of Guelph, Department of Economics and Finance.
• Ofelia Bonesini & Antoine Jacquier & Chloe Lacombe, 2020. "A theoretical analysis of Guyon's toy volatility model," Papers 2001.05248, arXiv.org, revised Nov 2022.
• Zineb Lanbouri & Saaid Achchab, 2020. "A new approach for trading based on Long Short Term Memory technique," Papers 2001.03333, arXiv.org.
• Jianhao Su, 2020. "Corporate Governance, Noise Trading and Liquidity of Stocks," Papers 2001.06275, arXiv.org.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2019. "The U.S. Public Debt Valuation Puzzle," NBER Working Papers 26583, National Bureau of Economic Research, Inc.
• Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020. "Oil price uncertainty as a predictor of stock market volatility," Essex Finance Centre Working Papers 26566, University of Essex, Essex Business School.
• Gifty Malhotra & R. Srivastava & H. C. Taneja, 2019. "Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model," Papers 1912.10640, arXiv.org.
• Joana Almeida & Raquel M. Gaspar, 2020. "Accuracy of European Stock Target Prices," Working Papers REM 2020/0115, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Tevdovski, Dragan & Stojkoski, Viktor, 2020. "What is behind extreme negative returns co-movement in the South Eastern European stock markets?," MPRA Paper 98227, University Library of Munich, Germany.
• Raphaëlle BELLANDO & Laura-Dona CAPOTA & Sébastien GALANTI, 2019. "The impact of return shocks on mutual funds’ flows: an empirical study of French bond mutual funds," LEO Working Papers / DR LEO 2730, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.