Report NEP-FMK-2019-09-30

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:

• Loc Tran & Linh Tran, 2019. "To Detect Irregular Trade Behaviors In Stock Market By Using Graph Based Ranking Methods," Papers 1909.08964, arXiv.org.
• Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
• Roland Fuess & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns," BAFFI CAREFIN Working Papers 19116, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Dangxing Chen, 2019. "Does the leverage effect affect the return distribution?," Papers 1909.08662, arXiv.org, revised Sep 2019.
• Bastien Baldacci & Paul Jusselin & Mathieu Rosenbaum, 2019. "How to design a derivatives market?," Papers 1909.09257, arXiv.org.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Stulz, Rene M., 2019. "FinTech, BigTech, and the Future of Banks," Working Paper Series 2019-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
• Jialin Liu & Chih-Min Lin & Fei Chao, 2019. "Gradient Boost with Convolution Neural Network for Stock Forecast," Papers 1909.09563, arXiv.org.
• Angelos Filos, 2019. "Reinforcement Learning for Portfolio Management," Papers 1909.09571, arXiv.org.
• José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019. "A Volatility Smile-Based Uncertainty Index," Working Papers Series 502, Central Bank of Brazil, Research Department.
• Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019. "The Economic Value of VIX ETPs," CREATES Research Papers 2019-14, Department of Economics and Business Economics, Aarhus University.
• J. Lussange & I. Lazarevich & S. Bourgeois-Gironde & S. Palminteri & B. Gutkin, 2019. "Stock market microstructure inference via multi-agent reinforcement learning," Papers 1909.07748, arXiv.org, revised Oct 2019.
• Ufuk Akcigit & Emin Dinlersoz & Jeremy Greenwood & Veronika Penciakova, 2019. "Synergizing Ventures," 2019 Meeting Papers 36, Society for Economic Dynamics.
• Aldasoro, Inaki & Balke, Florian & Barth, Andreas & Eren, Egemen, 2019. "Spillovers of funding dry-ups," SAFE Working Paper Series 259, Leibniz Institute for Financial Research SAFE.
• Congressional Budget Office, 2019. "Financial Regulation and the Federal Budget," Reports 55586, Congressional Budget Office.
• Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
• Chatterjee, Sris & Gu, Xian & Hasan, Iftekhar & Lu, Haitian, 2019. "Ownership structure and the cost of debt : Evidence from the Chinese corporate bond market," BOFIT Discussion Papers 18/2019, Bank of Finland, Institute for Economies in Transition.