Report NEP-FMK-2022-06-20

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:

• Yong Xie & Dakuo Wang & Pin-Yu Chen & Jinjun Xiong & Sijia Liu & Sanmi Koyejo, 2022. "A Word is Worth A Thousand Dollars: Adversarial Attack on Tweets Fools Stock Predictions," Papers 2205.01094, arXiv.org, revised Jul 2022.
• Ming Zeng & Guihai Zhao, 2022. "Expectation-Driven Term Structure of Equity and Bond Yields," Staff Working Papers 22-21, Bank of Canada.
• Cyril Bachelard & Apostolos Chalkis & Vissarion Fisikopoulos & Elias Tsigaridas, 2022. "Randomized geometric tools for anomaly detection in stock markets," Papers 2205.03852, arXiv.org, revised May 2022.
• Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
• Taras Bodnar & Vilhelm Niklasson & Erik Thors'en, 2022. "Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR," Papers 2205.01444, arXiv.org.
• Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
• Claudiu Vinte & Marcel Ausloos & Titus Felix Furtuna, 2022. "A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model," Papers 2205.01370, arXiv.org.
• King, Benjamin & Semark, James, 2022. "Reducing liquidity mismatch in open-ended funds: a cost-benefit analysis," Bank of England working papers 975, Bank of England.
• Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022. "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers 202227, University of Pretoria, Department of Economics.
• Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
• Darmouni, Olivier & Papoutsi, Melina, 2022. "The rise of bond financing in Europe: five facts about new and small issuers," Working Paper Series 2663, European Central Bank.
• Andreas Kick & Horst Rottmann, 2022. "The Relevance of Banks to the European Stock Market," CESifo Working Paper Series 9752, CESifo.
• Richard Finlay & Dmitry Titkov & Michelle Xiang, 2022. "The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases," RBA Research Discussion Papers rdp2022-02, Reserve Bank of Australia.
• Chenrui Zhang, 2022. "Deep learning based Chinese text sentiment mining and stock market correlation research," Papers 2205.04743, arXiv.org.
• Chenrui Zhang & Xinyi Wu & Hailu Deng & Huiwei Zhang, 2022. "A time-varying study of Chinese investor sentiment, stock market liquidity and volatility: Based on deep learning BERT model and TVP-VAR model," Papers 2205.05719, arXiv.org, revised May 2022.
• Manuel Ennes Ferreira & João Dias & Jelson Serafim, 2022. "Stock Market and Economic Growth: Evidence from Africa," Working Papers REM 2022/0228, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.