Report NEP-FMK-2020-09-14

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:

• Lubos Pastor & M. Blair Vorsatz, 2020. "Mutual Fund Performance and Flows During the COVID-19 Crisis," NBER Working Papers 27551, National Bureau of Economic Research, Inc.
• Guillaume Ouellet Leblanc & Ryan Shotlander, 2020. "What COVID-19 revealed about the resilience of bond funds," Staff Analytical Notes 2020-18, Bank of Canada.
• Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020. "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper 102458, University Library of Munich, Germany, revised Jul 2020.
• James Kyeong, 2020. "Is the stock market pricing in a V‑shaped recovery?," Staff Analytical Notes 2020-17, Bank of Canada.
• Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020. "The Effect of Managers on Systematic Risk," NBER Working Papers 27487, National Bureau of Economic Research, Inc.
• Shengfeng Mei & Hong Gao, 2020. "The Time Function of Stock Price," Papers 2008.11806, arXiv.org, revised Feb 2023.
• Jeffrey Cohen & Alex Khan & Clark Alexander, 2020. "Portfolio Optimization of 60 Stocks Using Classical and Quantum Algorithms," Papers 2008.08669, arXiv.org.
• Jeffrey Cohen & Alex Khan & Clark Alexander, 2020. "Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer," Papers 2007.01430, arXiv.org.
• Joel da Costa & Tim Gebbie, 2020. "Learning low-frequency temporal patterns for quantitative trading," Papers 2008.09481, arXiv.org.
• Bairui Du & Delmiro Fernandez-Reyes & Paolo Barucca, 2020. "Image Processing Tools for Financial Time Series Classification," Papers 2008.06042, arXiv.org, revised Aug 2020.
• Michael J. Fleming, 2020. "How Does the Liquidity of New Treasury Securities Evolve?," Liberty Street Economics 20200826, Federal Reserve Bank of New York.
• James Collin Harkrader & Michael Puglia, 2020. "Fixed Income Market Structure: Treasuries vs. Agency MBS," FEDS Notes 2020-08-25, Board of Governors of the Federal Reserve System (U.S.).
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Sarah Brown & Alessandro Bucciol & Alberto Montagnoli & Karl Taylor, 2020. "Financial Advice and Household Financial Portfolios," Working Papers 15/2020, University of Verona, Department of Economics.
• Linyu Zheng & Hongmei He, 2020. "Share Price Prediction of Aerospace Relevant Companies with Recurrent Neural Networks based on PCA," Papers 2008.11788, arXiv.org.
• Sakarombe, Upenyu & Marimbe-Makoni, Rudo, 2020. "Stock Exchange Fungibility and Exchange Rate Volatility in Zimbabwe," MPRA Paper 102464, University Library of Munich, Germany, revised 2020.