Report NEP-FMK-2020-02-10

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:

• Michael Junho Lee & Antoine Martin, 2020. "How Does Information Affect Liquidity in Over-the-Counter Markets?," Liberty Street Economics 20200113, Federal Reserve Bank of New York.
• Naji Massad & Jørgen Vitting Andersen, 2019. "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print halshs-02385901, HAL.
• Mehmet Caner & Marcelo Medeiros & Gabriel Vasconcelos, 2020. "Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models," Papers 2002.01800, arXiv.org, revised Feb 2022.
• Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2019. "A Mixed Frequency Approach for Stock Returns and Valuation Ratios," Discussion Paper Series 2019_08, Department of Economics, University of Macedonia, revised Nov 2019.
• Abootaleb Shirvani & Frank J. Fabozzi, 2020. "Choosing the Right Return Distribution and the Excess Volatility Puzzle," Papers 2001.08865, arXiv.org.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019. "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers wp651, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
• Hans Buehler & Lukas Gonon & Josef Teichmann & Ben Wood & Baranidharan Mohan & Jonathan Kochems, 2019. "Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning," Swiss Finance Institute Research Paper Series 19-80, Swiss Finance Institute.
• Silvia Marchesi & Tania Masi, 2020. "The price of haircuts: private and official default," Development Working Papers 460, Centro Studi Luca d'Agliano, University of Milano, revised 06 Feb 2020.
• Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseries," Papers 2001.09769, arXiv.org.
• Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2019. "Winners and losers from Sovereign debt inflows: evidence from the stock market," Economics Working Papers 1693, Department of Economics and Business, Universitat Pompeu Fabra.
• Louis Abraham & Dominique Guegan, 2019. "The other side of the Coin: Risks of the Libra Blockchain," Post-Print halshs-02325808, HAL.
• Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020. "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance 2020-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.