Report NEP-FMK-2014-05-17

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:

• Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
• Wenbin Zhang & Zhen Dai & Bindu Pan & Milan Djabirov, 2014. "A Multi-factor Adaptive Statistical Arbitrage Model," Papers 1405.2384, arXiv.org.
• Li-Xin Wang, 2014. "Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market," Papers 1405.2220, arXiv.org.
• Carlos Castro & Nini Johana Marin, 2014. "Stock return comovements and integration within the Latin American integrated market," Documentos de Trabajo 11082, Universidad del Rosario.