Report NEP-FMK-2022-08-22

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:

• Dimitrios Vamvourellis & Mate Attila Toth & Dhruv Desai & Dhagash Mehta & Stefano Pasquali, 2022. "Learning Mutual Fund Categorization using Natural Language Processing," Papers 2207.04959, arXiv.org.
• Jimei Shen & Zhehu Yuan & Yifan Jin, 2022. "AlphaMLDigger: A Novel Machine Learning Solution to Explore Excess Return on Investment," Papers 2206.11072, arXiv.org, revised Dec 2022.
• Charl Maree & Christian W. Omlin, 2022. "Balancing Profit, Risk, and Sustainability for Portfolio Management," Papers 2207.02134, arXiv.org.
• Jungyu Ahn & Sungwoo Park & Jiwoon Kim & Ju-hong Lee, 2022. "Reinforcement Learning Portfolio Manager Framework with Monte Carlo Simulation," Papers 2207.02458, arXiv.org.
• Joseph Jerome & Gregory Palmer & Rahul Savani, 2022. "Market Making with Scaled Beta Policies," Papers 2207.03352, arXiv.org, revised Sep 2022.
• M. Shadmangohar & S. M. S. Movahed, 2022. "Clustering of Excursion Sets in Financial Market," Papers 2207.03221, arXiv.org.
• Dimitris Malliaropulos & Petros Migiakis, 2022. "A global monetary policy factor in sovereign bond yields," Working Papers 301, Bank of Greece.
• Neuhierl, Andreas & Tang, Xiaoxiao & Varneskov, Rasmus Tangsgaard & Zhou, Guofu, 2022. "Option characteristics as cross-sectional predictors," LawFin Working Paper Series 37, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Rodrigo Alfaro & Alejandra Inzunza, 2022. "Modeling S&P500 returns with GARCH models," Working Papers Central Bank of Chile 955, Central Bank of Chile.
• Federico Mecchia & Marcellino Gaudenzi, 2022. "The dynamics of the prices of the companies of the STOXX Europe 600 Index through the logit model and neural network," Papers 2206.09899, arXiv.org.