Report NEP-FMK-2018-07-09

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:

• Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
• Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018. "Volatility-of-volatility risk," SAFE Working Paper Series 210, Leibniz Institute for Financial Research SAFE.
• XingYu Fu & JinHong Du & YiFeng Guo & MingWen Liu & Tao Dong & XiuWen Duan, 2018. "A Machine Learning Framework for Stock Selection," Papers 1806.01743, arXiv.org, revised Aug 2018.
• Ludovico Latmiral, 2018. "Weak Correlations of Stocks Future Returns," Papers 1806.05160, arXiv.org, revised Sep 2018.
• Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2018. "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers 18-4, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jun 2021.
• Blake C. Stacey & Yaneer Bar-Yam, 2018. "The Stock Market Has Grown Unstable Since February 2018," Papers 1806.00529, arXiv.org.
• Daniel Roberts & Asani Sarkar & Or Shachar, 2018. "Liquidity Regulations, Bank Lending, and Fire-Sale Risk," Staff Reports 852, Federal Reserve Bank of New York.
• Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
• Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.