Report NEP-FMK-2021-03-15

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:

• Jacky Lin & Genevieve C. Selden & John B. Shoven & Clemens Sialm, 2021. "Replicating the Dow Jones Industrial Average," NBER Working Papers 28528, National Bureau of Economic Research, Inc.
• Di Muzio, Tim, 2021. "GameStop Capitalism. Wall Street vs. The Reddit Rally (Part I)," EconStor Preprints 229951, ZBW - Leibniz Information Centre for Economics.
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
• Nassim Dehouche, 2021. "Scale matters: The daily, weekly and monthly volatility and predictability of Bitcoin, Gold, and the S&P 500," Papers 2103.00395, arXiv.org.
• Tobias Dieler & Loriano Mancini & Norman Schürhoff, 2021. "(In)efficient repo markets," Swiss Finance Institute Research Paper Series 21-10, Swiss Finance Institute.
• M. Avellaneda & T. N. Li & A. Papanicolaou & G. Wang, 2021. "Trading Signals In VIX Futures," Papers 2103.02016, arXiv.org, revised Nov 2021.
• Charles Smith & Peter Van Tassel, 2021. "The Law of One Price in Equity Volatility Markets," Liberty Street Economics 20210201, Federal Reserve Bank of New York.
• Geoffrey Ducournau, 2021. "Stock market's physical properties description based on Stokes law," Papers 2103.00721, arXiv.org.
• Henri Fraisse & Matthias Laporte, 2021. "Return on Investment on AI: The Case of Capital Requirement," Working papers 809, Banque de France.
• Charles Smith & Peter Van Tassel, 2021. "Equity Volatility Term Premia," Liberty Street Economics 20210203, Federal Reserve Bank of New York.
• Spilak, Bruno & Härdle, Wolfgang Karl, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers 2020-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Philippe van der Beck & Coralie Jaunin, 2021. "The Equity Market Implications of the Retail Investment Boom," Swiss Finance Institute Research Paper Series 21-12, Swiss Finance Institute.
• Jérémy Fouliard & Michael Howell & Hélène Rey, 2021. "Answering the Queen: Machine learning and financial crises," BIS Working Papers 926, Bank for International Settlements.
• Ateeb Akhter Shah Syed & Kaneez Fatima, 2021. "The Impact of COVID-19 on Stock Market Volatility in Pakistan," Papers 2103.03219, arXiv.org.