Report NEP-FMK-2021-12-13

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:

• Andrew Hawley & Ke Wang, 2021. "Credit Portfolio Convergence in U.S. Banks since the COVID-19 Shock," FEDS Notes 2021-11-26-1, Board of Governors of the Federal Reserve System (U.S.).
• Berk, Jonathan B. & van Binsbergen, Jules H., 2021. "The Impact of Impact Investing," Research Papers 3981, Stanford University, Graduate School of Business.
• Matic, Jovanka & Packham, Natalie & Härdle, Wolfgang, 2021. "Hedging cryptocurrency options," IRTG 1792 Discussion Papers 2021-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Francesco Cesarone & Manuel L Martino & Fabio Tardella, 2021. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," Papers 2111.09773, arXiv.org.
• Xiao-Yang Liu & Hongyang Yang & Jiechao Gao & Christina Dan Wang, 2021. "FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance," Papers 2111.09395, arXiv.org.
• Chao Zhang & Zihao Zhang & Mihai Cucuringu & Stefan Zohren, 2021. "A Universal End-to-End Approach to Portfolio Optimization via Deep Learning," Papers 2111.09170, arXiv.org.
• Radwanski, Juliusz, 2021. "The Equilibrium Value of Bitcoin," MPRA Paper 110746, University Library of Munich, Germany.
• Vaiva Vasiliauskaite & Fabrizio Lillo & Nino Antulov-Fantulin, 2021. "Information dynamics of price and liquidity around the 2017 Bitcoin markets crash," Papers 2111.09057, arXiv.org.
• Maxime Merli & Antoine Parent & Cécile Edlinger, 2021. "Portfolio advice before modern portfolio theory : the Belle Époque for french analyst Alfred Neymarck," Post-Print hal-03403339, HAL.