Report NEP-FMK-2021-07-19

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:

• Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).
• Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
• Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
• Sebastian M. Krause & Edgar Jungblut & Thomas Guhr, 2021. "Two Price Regimes in Limit Order Books: Liquidity Cushion and Fragmented Distant Field," Papers 2106.11691, arXiv.org, revised Oct 2022.
• Yoshi Fujiwara & Rubaiyat Islam, 2021. "Bitcoin's Crypto Flow Network," Papers 2106.11446, arXiv.org, revised Jul 2021.
• Rian Dolphin & Barry Smyth & Yang Xu & Ruihai Dong, 2021. "Measuring Financial Time Series Similarity With a View to Identifying Profitable Stock Market Opportunities," Papers 2107.03926, arXiv.org.
• Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021. "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers 21-062/III, Tinbergen Institute.
• Mimansa Rana & Nanxiang Mao & Ming Ao & Xiaohui Wu & Poning Liang & Matloob Khushi, 2021. "Clustering and attention model based for intelligent trading," Papers 2107.06782, arXiv.org, revised Aug 2021.
• R. Jay Kahn & Luke Olson, 2021. "Who Participates in Cleared Repo?," Briefs 21-01, Office of Financial Research, US Department of the Treasury.
• Ayse Sinem Uysal & Xiaoyue Li & John M. Mulvey, 2021. "End-to-End Risk Budgeting Portfolio Optimization with Neural Networks," Papers 2107.04636, arXiv.org.
• Asger Lau Andersen & Niels Johannesen & Adam Sheridan, 2021. "Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-lotteries on the Stock Market," CEBI working paper series 21-11, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
• Ullah, Nazim, 2021. "Financial Ratios Analysis of 7-Elaven: An Analysis of Five Years Financial Statement," MPRA Paper 108675, University Library of Munich, Germany.
• Ozili, Peterson K, 2021. "Basel III in Nigeria: making it work," MPRA Paper 108495, University Library of Munich, Germany.