Report NEP-FMK-2019-05-06

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:

• Admati, Anat R., 2019. "Towards a Better Financial System," Research Papers 3765, Stanford University, Graduate School of Business.
• Markus K. Brunnermeier & Simon C. Rother & Isabel Schnabel, 2019. "Asset Price Bubbles and Systemic Risk," NBER Working Papers 25775, National Bureau of Economic Research, Inc.
• Hans-Martin von Gaudecker & Axel Wogrolly & Hans-Martin von Gaudecker, 2019. "The dynamics of households' stock market beliefs," CESifo Working Paper Series 7602, CESifo.
• Aydoğan Alti & Sheridan Titman, 2019. "A Dynamic Model of Characteristic-Based Return Predictability," NBER Working Papers 25777, National Bureau of Economic Research, Inc.
• Tetsuya Takaishi, 2019. "Rough volatility of Bitcoin," Papers 1904.12346, arXiv.org.
• Yu Zheng & Yongxin Yang & Bowei Chen, 2019. "Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction," Papers 1904.12834, arXiv.org, revised May 2021.
• Michael J. Fleming & Giang Nguyen & Francisco Ruela, 2019. "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Staff Reports 886, Federal Reserve Bank of New York.
• Saban Nazlioglu & Rangan Gupta & Elie Bouri, 2019. "Movements in International Bond Markets: The Role of Oil Prices," Working Papers 201935, University of Pretoria, Department of Economics.
• Hüser, Anne-Caroline & Kok, Christoffer, 2019. "Mapping bank securities across euro area sectors: comparing funding and exposure networks," Working Paper Series 2273, European Central Bank.
• Takuji Arai, 2019. "Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models," Papers 1904.12260, arXiv.org.