Report NEP-FMK-2019-07-22

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:

• Birru, Justin & Gokkaya, Sinan & Liu, Xi & Stulz, Rene M., 2019. "Are Analyst Trade Ideas Valuable?," Working Paper Series 2019-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Abhin Kakkad & Harsh Vasoya & Arnab K. Ray, 2019. "Regularities in stock markets," Papers 1907.00371, arXiv.org, revised Dec 2020.
• Carlo A. Favero & Alessandro Melone, 2019. "Asset Pricing vs Asset Expected Returning in Factor Models," Working Papers 651, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Ajit Mahata & Md Nurujjaman, 2019. "Time scales in stock markets," Papers 1906.05494, arXiv.org.
• Tim Leung & Brian Ward, 2019. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," Papers 1907.00293, arXiv.org.
• Ajit Mahata & Debi Prasad Bal & Md Nurujjaman, 2019. "Identification of short-term and long-term time scales in stock markets and effect of structural break," Papers 1907.03009, arXiv.org.
• Efthymios Pavlidis & Konstantinos Vasilopoulos, 2019. "Speculative Bubbles in Segmented Markets," Working Papers 268640661, Lancaster University Management School, Economics Department.
• Xinyi Li & Yinchuan Li & Yuancheng Zhan & Xiao-Yang Liu, 2019. "Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation," Papers 1907.01503, arXiv.org.
• Filippo Curti & Marco Migueis & Rob T. Stewart, 2019. "Benchmarking Operational Risk Stress Testing Models," Finance and Economics Discussion Series 2019-038, Board of Governors of the Federal Reserve System (U.S.).
• Matthias Feiler & Thibaut Ajdler, 2019. "Learning from Others in the Financial Market," Papers 1906.03201, arXiv.org, revised Aug 2019.
• Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & R. Kohn, 2019. "A Statistical Recurrent Stochastic Volatility Model for Stock Markets," Papers 1906.02884, arXiv.org, revised Jan 2022.
• Pierre-Alain Reigneron & Vincent Nguyen & Stefano Ciliberti & Philip Seager & Jean-Philippe Bouchaud, 2019. "The Case for Long-Only Agnostic Allocation Portfolios," Papers 1906.05187, arXiv.org.
• Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
• Wonse Kim & Junseok Lee & Kyungwon Kang, 2019. "The Effects of the Introduction of Bitcoin Futures on the Volatility of Bitcoin Returns," Papers 1906.03430, arXiv.org.
• Omar Masood & Manuela Tvaronavičienė & Kiran Javaria, 2019. "Impact of oil prices on stock return: evidence from G7 countries," Post-Print hal-02163013, HAL.
• A Itkin, 2019. "Deep learning calibration of option pricing models: some pitfalls and solutions," Papers 1906.03507, arXiv.org.
• Kenechukwu E. Anadu & James Bohn & Lina Lu & Matthew Pritsker & Andrei Zlate, 2019. "Reach for Yield by U.S. Public Pension Funds," Finance and Economics Discussion Series 2019-048, Board of Governors of the Federal Reserve System (U.S.).