Report NEP-FMK-2021-07-26

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:

• Sepúlveda Velásquez, Jorge & Tapia Griñen, Pablo & Pastén Henríquez, Boris, 2021. "Analyzing stock market signals for H1N1 and COVID-19: The BRIC case," MPRA Paper 108764, University Library of Munich, Germany.
• Jianan Liu & Tobias J. Moskowitz & Robert F. Stambaugh, 2021. "Pricing Without Mispricing," NBER Working Papers 29016, National Bureau of Economic Research, Inc.
• Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth, 2021. "A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities," Papers 2107.06460, arXiv.org, revised Oct 2023.
• Nicklas Werge, 2021. "Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model," Papers 2107.05535, arXiv.org.
• Asger Lau Andersen & Niels Johannesen & Adam Sheridan, 2021. "Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-Lotteries on the Stock Market," CESifo Working Paper Series 9184, CESifo.
• Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
• Sohrab Mokhtari & Kang K. Yen & Jin Liu, 2021. "Effectiveness of Artificial Intelligence in Stock Market Prediction based on Machine Learning," Papers 2107.01031, arXiv.org.
• Priyank Sonkiya & Vikas Bajpai & Anukriti Bansal, 2021. "Stock price prediction using BERT and GAN," Papers 2107.09055, arXiv.org.
• Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
• Amavi Agbodji & Emmanuelle Nys & Alain Sauviat, 2021. "Do CDS maturities matter in the evaluation of the information content of regulatory banking stress tests? Evidence from European and US stress tests," Working Papers hal-03267704, HAL.
• Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021. "Emotions in Macroeconomic News and their Impact on the European Bond Market," Papers 2106.15698, arXiv.org.
• Supriya Bajpai, 2021. "Application of deep reinforcement learning for Indian stock trading automation," Papers 2106.16088, arXiv.org.