Report NEP-FMK-2022-08-08

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:

• Fengyu Han & Yue Wang, 2022. "Predicting Stock Price Movement after Disclosure of Corporate Annual Reports: A Case Study of 2021 China CSI 300 Stocks," Papers 2206.12528, arXiv.org, revised Jul 2022.
• Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
• Elivelto Ebermam & Helder Knidel & Renato A. Krohling, 2022. "Development of a hybrid method for stock trading based on TOPSIS, EMD and ELM," Papers 2206.06723, arXiv.org.
• Anish Rai & Salam Rabindrajit Luwang & Md Nurujjaman & Chittaranjan Hens & Pratyay Kuila & Kanish Debnath, 2022. "Detection and Forecasting of Extreme event in Stock Price Triggered by Fundamental, Technical, and External Factors," Papers 2206.13860, arXiv.org, revised Apr 2023.
• Hugo Inzirillo & Stanislas de Quenetain, 2022. "Managing Risk in DeFi Portfolios," Papers 2205.14699, arXiv.org, revised Sep 2022.
• Luyao Zhang & Tianyu Wu & Saad Lahrichi & Carlos-Gustavo Salas-Flores & Jiayi Li, 2022. "A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics," Papers 2206.14932, arXiv.org.
• Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
• Ivan Arraut & Joao Alexandre Lobo Marques & Sergio Gomes, 2022. "The probability flow in the Stock market and Spontaneous symmetry breaking in Quantum Finance," Papers 2206.07130, arXiv.org.
• Lael Brainard, 2022. "Crypto-Assets and Decentralized Finance through a Financial Stability Lens, a speech at Bank of England Conference, London, United Kingdom, July 8, 2022," Speech 94445, Board of Governors of the Federal Reserve System (U.S.).
• Tingting Cao & Weiqing Sun & Cuiping Sun & Lin Hao, 2022. "Unique futures in China: studys on volatility spillover effects of ferrous metal futures," Papers 2206.15039, arXiv.org.