Report NEP-FMK-2019-08-19

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:

• Ando, Tomohiro & Bai, Jushan & Nishimura, Mitohide & Yu, Jun, 2019. "A Quantile-based Asset Pricing Model," Economics and Statistics Working Papers 15-2019, Singapore Management University, School of Economics.
• Thomas Conlon & John Cotter & Chenglu Jin, 2019. "Co-skewness across Return Horizons," Working Papers 201910, Geary Institute, University College Dublin.
• Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019. "The Value of Intermediation in the Stock Market," NBER Working Papers 26147, National Bureau of Economic Research, Inc.
• Alvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2019. "Hedging Non-Tradable Risks with Transaction Costs and Price Impact," Papers 1908.00054, arXiv.org, revised Mar 2020.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
• Xinyi Li & Yinchuan Li & Xiao-Yang Liu & Christina Dan Wang, 2019. "Risk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm Stock Prediction," Papers 1908.01112, arXiv.org.
• Bracke, Philippe & Datta, Anupam & Jung, Carsten & Sen, Shayak, 2019. "Machine learning explainability in finance: an application to default risk analysis," Bank of England working papers 816, Bank of England.
• Corsetti, G. & Lafarguette, R. & Mehl, A., 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics 1970, Faculty of Economics, University of Cambridge.
• Milo Bianchi & Philippe Jehiel, 2019. "Bundling, Belief Dispersion, and Mispricing in Financial Markets," PSE Working Papers halshs-02183306, HAL.
• Elias Cavalcante-Filho, Fernando Chague, Rodrigo De Losso, Bruno Giovannetti, 2019. "US Risk Premia under Emerging Markets Constraints," Working Papers, Department of Economics 2019_28, University of São Paulo (FEA-USP).
• Mallaburn, David & Roberts-Sklar, Matt & Silvestri, Laura, 2019. "Resilience of trading networks: evidence from the sterling corporate bond market," Bank of England working papers 813, Bank of England.
• Jean-Sébastien Fontaine & Jabir Sandhu & Adrian Walton, 2019. "Relative Value of Government of Canada Bonds," Staff Analytical Notes 2019-23, Bank of Canada.
• Camilleri, Silvio John & Galea, Francelle, 2019. "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper 95298, University Library of Munich, Germany.
• Breunig, Christoph & Huck, Steffen & Schmidt, Tobias & Weizsäcker, Georg, 2019. "The Standard Portfolio Choice Problem in Germany," Rationality and Competition Discussion Paper Series 171, CRC TRR 190 Rationality and Competition.
• Yang Mestre-Zhou, 2019. "Reforms’ Effects on Chinese stock markets world integration - An Empirical analysis with t-DCCGARCH model," Cahiers de recherche 19-06, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.