Report NEP-FMK-2022-01-24

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:

• Yi Liang & James Unwin, 2021. "COVID-19 Forecasts via Stock Market Indicators," Papers 2112.06393, arXiv.org.
• Adam Copeland & Antoine Martin, 2021. "Repo over the Financial Crisis," Staff Reports 996, Federal Reserve Bank of New York.
• Yu Zhao & Huaming Du & Ying Liu & Shaopeng Wei & Xingyan Chen & Fuzhen Zhuang & Qing Li & Ji Liu & Gang Kou, 2022. "Stock Movement Prediction Based on Bi-typed Hybrid-relational Market Knowledge Graph via Dual Attention Networks," Papers 2201.04965, arXiv.org, revised Jan 2022.
• Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," LSE Research Online Documents on Economics 112960, London School of Economics and Political Science, LSE Library.
• Kazuki Kanehira & Norikazu Todoroki, 2021. "Stationarity analysis of the stock market data and its application to mechanical trading," Papers 2112.12459, arXiv.org, revised Feb 2022.
• Mark L. Egan & Alexander MacKay & Hanbin Yang, 2021. "What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences," NBER Working Papers 29604, National Bureau of Economic Research, Inc.
• Guijin Son & Joocheol Kim, 2021. "Neural Networks for Delta Hedging," Papers 2112.10084, arXiv.org.
• Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Papers 2112.02269, arXiv.org, revised Jun 2023.